Access Statistics for Christian-Oliver Ewald

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A note on the Malliavin differentiability of the Heston volatility 0 1 3 189 0 1 3 429
Closed-Form Solutions For European And Digital Calls In The Hull And White Stochastic Volatility Model And Their Relation To Locally R-Minimizing And Delta Hedges 0 1 1 56 1 2 5 308
Hedging longevity risk in defined contribution pension schemes 0 0 0 6 0 1 3 34
INFORMATION: PRICE AND IMPACT ON GENERAL WELFARE AND OPTIMAL INVESTMENT. AN ANTICIPATIVE STOCHASTIC DIFFERENTIAL GAME MODEL 0 0 0 42 0 0 0 169
Malliavin differentiability of the Heston volatility and applications to option pricing 0 0 0 66 0 0 4 202
On the Impact of Feeding Cost Risk in Aquaculture Valuation and Decision Making 0 0 0 0 0 0 0 0
Optimal management and inflation protection for defined contribution pension plans 1 1 1 85 1 1 1 370
Sharing of longevity basis risk in pension schemes with income-drawdown guarantees 0 0 0 8 0 0 2 32
Sharing of longevity basis risk in pension schemes with income-drawdown guarantees 0 0 0 17 0 0 0 8
Stochastic Volatility: Risk Minimization and Model Risk 0 0 0 128 0 0 0 283
Total Working Papers 1 3 5 597 2 5 18 1,835
2 registered items for which data could not be found

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Comparative Analysis of the Value of Information in a Continuous Time Market Model with Partial Information: The Cases of Log-Utility and CRRA 0 0 0 0 0 0 0 3
A Numerical Method for Solving Stochastic Optimal Control Problems with Linear Control 0 0 1 49 0 0 2 141
A new technique for calibrating stochastic volatility models: the Malliavin gradient method 0 0 0 191 0 0 0 397
A note on the Malliavin derivative operator under change of variable 0 0 1 31 0 0 1 85
A stochastic differential Fishery game for a two species fish population with ecological interaction 0 0 1 32 0 0 2 127
An Analysis of the Fish Pool Market in the Context of Seasonality and Stochastic Convenience Yield 0 1 1 9 0 1 1 23
Analytic formulas for futures and options for a linear quadratic jump diffusion model with seasonal stochastic volatility and convenience yield: Do fish jump? 0 1 3 8 0 1 3 18
Analytic solutions for infinite horizon stochastic optimal control problems via finite horizon approximation: A practical guide 0 0 0 14 0 0 0 59
Asian and Australian options: A common perspective 0 0 0 10 0 0 0 50
Asymptotic Solutions for Australian Options with Low Volatility 0 0 0 2 0 0 0 25
Dynamic voluntary provision of public goods with uncertainty: a stochastic differential game model 0 0 1 16 0 0 1 68
Hedge fund seeding via fees-for-seed swaps under idiosyncratic risk 0 0 1 9 0 0 2 46
Hedging longevity risk in defined contribution pension schemes 0 0 0 0 1 1 3 3
IMPLIED VOLATILITY FROM ASIAN OPTIONS VIA MONTE CARLO METHODS 0 0 1 4 0 0 1 13
Irreversible investment with Cox-Ingersoll-Ross type mean reversion 0 0 1 18 0 0 1 100
Local volatility in the Heston model: a Malliavin calculus approach 0 0 0 0 0 0 1 5
MARKETS FOR INFLATION-INDEXED BONDS AS MECHANISMS FOR EFFICIENT MONETARY POLICY 0 0 1 6 0 0 1 22
Minimal variance hedging of natural gas derivatives in exponential Lévy models: Theory and empirical performance 0 0 0 10 0 0 0 77
OPTIMAL LOGARITHMIC UTILITY AND OPTIMAL PORTFOLIOS FOR AN INSIDER IN A STOCHASTIC VOLATILITY MARKET 0 0 1 3 0 0 1 7
On increasing risk, inequality and poverty measures: Peacocks, lyrebirds and exotic options 0 0 0 7 0 0 1 54
On peacocks and lyrebirds: Australian options, Brownian bridges, and the average of submartingales 0 0 0 0 0 0 0 15
On the Market-consistent Valuation of Fish Farms: Using the Real Option Approach and Salmon Futures 0 1 1 11 0 1 1 35
On the Performance of the Comonotonicity Approach for Pricing Asian Options in Some Benchmark Models from Equities and Commodities 0 0 2 3 1 1 6 29
On the calibration of the Schwartz two-factor model to WTI crude oil options and the extended Kalman Filter 0 1 1 11 3 5 9 46
On the effects of changing mortality patterns on investment, labour and consumption under uncertainty 0 0 0 3 0 0 0 30
On the investment–uncertainty relationship in a real option model with stochastic volatility 0 0 0 14 0 0 0 51
On the non-equilibrium density of geometric mean reversion 0 0 1 22 0 0 1 85
On the performance of asymptotic locally risk minimising hedges in the Heston stochastic volatility model 0 0 0 1 0 0 1 13
On the qualitative effect of volatility and duration on prices of Asian options 0 0 0 19 0 0 0 88
Optimal contracts for central bankers: Calls on inflation 0 0 0 1 0 0 3 15
Optimal investment for a pension fund under inflation risk 0 1 6 18 0 1 8 54
Pricing Asian options with stochastic convenience yield and jumps 0 1 1 1 0 1 1 1
Pricing and hedging of Asian options: quasi-explicit solutions via Malliavin calculus 1 1 1 5 1 1 2 19
Pricing commodity futures and determining risk premia in a three factor model with stochastic volatility: the case of Brent crude oil 1 3 3 4 2 5 7 11
Pricing commodity futures options in the Schwartz multi factor model with stochastic volatility: An asymptotic method 0 0 1 12 0 1 3 61
Privatization of businesses and flexible investment: a real option approach 0 0 0 7 0 0 1 50
Real options, risk aversion and markets: A corporate finance perspective 0 0 2 8 0 1 8 21
Risk minimization in stochastic volatility models: model risk and empirical performance 0 0 0 27 0 0 0 148
Special Issue of on ‘Commodity Markets’ 0 0 0 1 1 1 1 6
Stochastic volatility: A tale of co-jumps, non-normality, GMM and high frequency data 0 2 3 3 0 2 6 13
The market for salmon futures: an empirical analysis of the Fish Pool using the Schwartz multi-factor model 0 0 0 2 0 0 1 17
Trading time seasonality in commodity futures: An opportunity for arbitrage in the natural gas and crude oil markets? 0 1 5 5 1 12 34 34
Trading time seasonality in electricity futures 0 1 1 1 0 1 1 1
Utility based pricing and exercising of real options under geometric mean reversion and risk aversion toward idiosyncratic risk 0 0 0 2 0 0 0 29
Total Journal Articles 2 14 41 600 10 36 115 2,195

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Statistics updated 2023-11-05