Christian-Oliver Ewald

Publication Activity (10 Years)

Years Active: 2006-2023
Publications (10 Years): 6

Top Topics

Extended Kalman Filter

Linear Quadratic

Top Venues

Ann. Oper. Res.

Math. Soc. Sci.

Appl. Math. Comput.

Publications

Ankush Agarwal, Christian-Oliver Ewald, Yongjie Wang
Hedging longevity risk in defined contribution pension schemes. Comput. Manag. Sci. 20 (1) (2023)
Christian-Oliver Ewald, Kevin Kamm
On the Impact of Feeding Cost Risk in Aquaculture Valuation and Decision Making. CoRR (2023)
Jilong Chen, Christian-Oliver Ewald, Ruolan Ouyang, Sjur Westgaard, Xiaoxia Xiao
Pricing commodity futures and determining risk premia in a three factor model with stochastic volatility: the case of Brent crude oil. Ann. Oper. Res. 313 (1) (2022)
Christian-Oliver Ewald, Yihan Zou
Analytic formulas for futures and options for a linear quadratic jump diffusion model with seasonal stochastic volatility and convenience yield: Do fish jump? Eur. J. Oper. Res. 294 (2) (2021)
Christian-Oliver Ewald, Aihua Zhang, Zhe Zong
On the calibration of the Schwartz two-factor model to WTI crude oil options and the extended Kalman Filter. Ann. Oper. Res. 282 (1-2) (2019)
Christian-Oliver Ewald, Johannes Geißler
Optimal contracts for central bankers: Calls on inflation. Appl. Math. Comput. 292 (2017)
Sai Hung Marten Ting, Christian-Oliver Ewald, Wen-Kai Wang
On the investment-uncertainty relationship in a real option model with stochastic volatility. Math. Soc. Sci. 66 (1) (2013)
Christian-Oliver Ewald, Wen-Kai Wang
Analytic solutions for infinite horizon stochastic optimal control problems via finite horizon approximation: A practical guide. Math. Soc. Sci. 61 (3) (2011)
Zhaojun Yang, Christian-Oliver Ewald, Olaf Menkens
Pricing and hedging of Asian options: quasi-explicit solutions via Malliavin calculus. Math. Methods Oper. Res. 74 (1) (2011)
Aihua Zhang, Christian-Oliver Ewald
Optimal investment for a pension fund under inflation risk. Math. Methods Oper. Res. 71 (2) (2010)
Christian-Oliver Ewald, Wen-Kai Wang
Irreversible investment with Cox-Ingersoll-Ross type mean reversion. Math. Soc. Sci. 59 (3) (2010)
Christian-Oliver Ewald, Zhaojun Yang
Utility based pricing and exercising of real options under geometric mean reversion and risk aversion toward idiosyncratic risk. Math. Methods Oper. Res. 68 (1) (2008)
Christian-Oliver Ewald, John McNamara, Alasdair Houston
Parental care as a differential game: A dynamic extension of the Houston-Davies game. Appl. Math. Comput. 190 (2) (2007)
Christian-Oliver Ewald
The Malliavin gradient method for the calibration of stochastic dynamical models. Appl. Math. Comput. 175 (2) (2006)