Person:429544

Available identifiers

zbMath Open ewald.christian-oliverMaRDI QIDQ429544

List of research outcomes

Publication	Date of Publication	Type
Hedging longevity risk in defined contribution pension schemes	2023-12-14	Paper
Pricing Asian options with stochastic convenience yield and jumps	2023-06-20	Paper
Pricing commodity futures and determining risk premia in a three factor model with stochastic volatility: the case of Brent crude oil	2022-06-30	Paper
Analytic formulas for futures and options for a linear quadratic jump diffusion model with seasonal stochastic volatility and convenience yield: do fish jump?	2021-11-05	Paper
A lattice method for option evaluation with regime-switching asset correlation structure	2021-09-10	Paper
On the calibration of the Schwartz two-factor model to WTI crude oil options and the extended Kalman filter	2020-01-20	Paper
Optimal contracts for central bankers: calls on inflation	2019-03-25	Paper
The market for salmon futures: an empirical analysis of the Fish Pool using the Schwartz multi-factor model	2018-11-13	Paper
Asian and Australian options: a common perspective	2018-11-01	Paper
Asymptotic Solutions for Australian Options with Low Volatility	2018-09-12	Paper
On increasing risk, inequality and poverty measures: peacocks, lyrebirds and exotic options	2018-08-13	Paper
On peacocks and lyrebirds: Australian options, Brownian bridges, and the average of submartingales	2018-05-25	Paper
On the effects of changing mortality patterns on investment, labour and consumption under uncertainty	2017-11-23	Paper
MARKETS FOR INFLATION-INDEXED BONDS AS MECHANISMS FOR EFFICIENT MONETARY POLICY	2015-10-20	Paper
On the performance of asymptotic locally risk minimising hedges in the Heston stochastic volatility model	2014-02-20	Paper
On the investment-uncertainty relationship in a real option model with stochastic volatility	2014-02-11	Paper
https://portal.mardi4nfdi.de/entity/Q4925738	2013-06-12	Paper
Privatization of businesses and flexible investment: a real option approach	2013-02-25	Paper
A numerical method for solving stochastic optimal control problems with linear control	2012-06-19	Paper
Pricing and hedging of Asian options: Quasi-explicit solutions via Malliavin calculus	2011-09-20	Paper
Analytic solutions for infinite horizon stochastic optimal control problems via finite horizon approximation: a practical guide	2011-06-22	Paper
Information: price and impact on general welfare and optimal investment. an anticipative stochastic differential game model	2011-05-03	Paper
A comparative analysis of the value of information in a continuous time market model with partial information: the cases of log-utility and CRRA	2010-12-01	Paper
Dynamic voluntary provision of public goods with uncertainty: a stochastic differential game model	2010-11-12	Paper
https://portal.mardi4nfdi.de/entity/Q3582288	2010-09-02	Paper
SUSTAINABLE YIELDS IN FISHERIES: UNCERTAINTY, RISK-AVERSION, AND MEAN-VARIANCE ANALYSIS	2010-09-02	Paper
Irreversible investment with Cox-Ingersoll-Ross type mean reversion	2010-06-11	Paper
Optimal investment for a pension fund under inflation risk	2010-04-23	Paper
A stochastic differential Fishery game for a two species fish population with ecological interaction	2010-04-22	Paper
On the non-equilibrium density of geometric mean reversion	2010-04-01	Paper
https://portal.mardi4nfdi.de/entity/Q3400138	2010-02-05	Paper
Risk minimization in stochastic volatility models: model risk and empirical performance	2009-10-16	Paper
IMPLIED VOLATILITY FROM ASIAN OPTIONS VIA MONTE CARLO METHODS	2009-08-03	Paper
Utility based pricing and exercising of real options under geometric mean reversion and risk aversion toward idiosyncratic risk	2009-03-25	Paper
https://portal.mardi4nfdi.de/entity/Q3599322	2009-02-03	Paper
https://portal.mardi4nfdi.de/entity/Q3516997	2008-08-12	Paper
https://portal.mardi4nfdi.de/entity/Q3517062	2008-08-12	Paper
Malliavin differentiability of the Heston volatility and applications to option pricing	2008-05-15	Paper
A note on the Malliavin derivative operator under change of variable	2008-03-12	Paper
Optimal management and inflation protection for defined contribution pension plans	2008-01-11	Paper
Parental care as a differential game: a dynamic extension of the Houston-Davies game	2007-09-19	Paper
Local volatility in the Heston model: a Malliavin calculus approach	2006-08-28	Paper
A new technique for calibrating stochastic volatility models: the Malliavin gradient method	2006-08-21	Paper
The Malliavin gradient method for the calibration of stochastic dynamical models	2006-06-16	Paper
OPTIMAL LOGARITHMIC UTILITY AND OPTIMAL PORTFOLIOS FOR AN INSIDER IN A STOCHASTIC VOLATILITY MARKET	2005-07-06	Paper
A DE RHAM ISOMORPHISM IN SINGULAR COHOMOLOGY AND STOKES THEOREM FOR STRATIFOLDS	2005-05-09	Paper
Hochschild- and cyclic-homology of LCNT-spaces	2005-04-18	Paper
https://portal.mardi4nfdi.de/entity/Q4780770	2002-11-21	Paper

Research outcomes over time

Doctoral students

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Known relations from the MaRDI Knowledge Graph

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MaRDI profile type	MaRDI person profile
instance of	human

This page was built for person: Christian-Oliver Ewald