Professor Christian Ewald

Professor in Financial Economics (Economics)

telephone: 01413305354
email: Christian.Ewald@glasgow.ac.uk

Room 664 Level 6, Gilbert Scott Building, West Quadrangle, Glasgow G12 8QQ

Biography

Christian is a Professor in Financial Economics. His fields of interest are Quantitative Finance, Risk-Management and Commodities. He was educated at the Universities of Mainz (MSc) and Heidelberg (PhD) and holds a higher doctorate (Habilitation) from the University of Kaiserslautern, all in Germany. He also holds Research Professorships at Inland University of Applied Sciences in Lillehammer and NTNU in Trondheim, both in Norway. Prior to moving to Glasgow in 2011, he has held positions at the University of Sydney, Nottingham University Business School (China), University College Cork, University of St. Andrews and the University of Leeds. Besides his academic engagement, Christian is also Director at Great Britain Snowsports, the national governing body for Snowsports in the UK and member of the British Olympic Association, as well as discipline director for Nordic Ski.

Research interests

Christian is a member of the Finance research cluster.

Areas of Expertise:

Quantitative finance
Commodities
Derivatives
Natural resources
Risk management

Publications

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Jump to: 2024 | 2023 | 2022 | 2021 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 | 2005 | 2004

Number of items: 66.

2024

Ewald, C.-O. , Huang, C. and Ren, Y. (2024) On the effects of physical climate risks on the Chinese energy sector. Journal of Risk and Financial Management, (Accepted for Publication)

Ewald, C. O. and Nolan, C. (2024) On the adaptation of the Lagrange formalism to continuous time stochastic optimal control: a Lagrange-chow redux. Journal of Economic Dynamics and Control, 162, 104855. (doi: 10.1016/j.jedc.2024.104855)

2023

Agarwal, A. , Ewald, C.-O. and Wang, Y. (2023) Hedging longevity risk in defined contribution pension schemes. Computational Management Science, 20(1), 11. (doi: 10.1007/s10287-023-00440-8)

Ewald, C.-O. , Wu, Y. and Zhang, A. (2023) Pricing Asian options with stochastic convenience yield and jumps. Quantitative Finance, 23(4), pp. 677-692. (doi: 10.1080/14697688.2022.2160799)

2022

Ewald, C.-O. , Haugom, E., Lien, G., Størdal, S. and Wu, Y. (2022) Trading time seasonality in commodity futures: an opportunity for arbitrage in the natural gas and crude oil markets? Energy Economics, 115, 106324. (doi: 10.1016/j.eneco.2022.106324)

Ewald, C.-O. , Haugom, E., Lien, G., Song, P. and Størdal, S. (2022) Riding the Nordic German power-spread: the Einar Aas experiment. Energy Journal, 43(5), (doi: 10.5547/01956574.43.5.cewa)

Chen, J., Ewald, C. , Ouyang, R., Westgaard, S. and Xiao, X. (2022) Pricing commodity futures and determining risk premia in a three factor model with stochastic volatility: the case of Brent crude oil. Annals of Operations Research, 313(1), pp. 29-46. (doi: 10.1007/s10479-021-04198-7)

Ewald, C.-O. , Haugom, E., Kanthan, L., Lien, G., Salehi, P. and Størdal, S. (2022) Salmon futures and the Fish Pool market in the context of the CAPM and a three-factor model. Aquaculture Economics and Management, 26(2), pp. 171-191. (doi: 10.1080/13657305.2021.1958105)

Ewald, C. O. and Taub, B. (2022) Real options, risk aversion and markets: A corporate finance perspective. Journal of Corporate Finance, 72, 102164. (doi: 10.1016/j.jcorpfin.2022.102164)

2021

Ewald, C. and Zou, Y. (2021) Stochastic volatility: a tale of co-jumps, non-normality, GMM and high frequency data. Journal of Empirical Finance, 64, pp. 37-52. (doi: 10.1016/j.jempfin.2021.08.006)

Ewald, C. and Zou, Y. (2021) Analytic formulas for futures and options for a linear quadratic jump diffusion model with seasonal stochastic volatility and convenience yield: do fish jump? European Journal of Operational Research, 294(12), pp. 801-815. (doi: 10.1016/j.ejor.2021.02.004)

2019

Ewald, C.-O. , Zhang, A. and Zong, Z. (2019) On the calibration of the Schwartz two-factor model to WTI crude oil options and the extended Kalman Filter. Annals of Operations Research, 282(1-2), pp. 119-130. (doi: 10.1007/s10479-018-2770-x)

Chen, J., Ewald, C. and Kutan, A. M. (2019) Time-dependent volatility in futures contract options. Investment Analysts Journal, 48(1), pp. 30-41. (doi: 10.1080/10293523.2018.1560114)

2018

Ewald, C.-O. and Yor, M. (2018) On peacocks and lyrebirds: Australian options, Brownian bridges, and the average of sub-martingales. Mathematical Finance, 28(2), pp. 536-549. (doi: 10.1111/mafi.12144)

2017

Ewald, C.-O. and Ouyang, R. (2017) An analysis of the fish pool market in the context of seasonality and stochastic convenience yield. Marine Resource Economics, 32(4), pp. 431-449. (doi: 10.1086/693375)

Chen, J. and Ewald, C.-O. (2017) Pricing commodity futures options in the Schwartz multi factor model with stochastic volatility: An asymptotic method. International Review of Financial Analysis, 52, pp. 144-151. (doi: 10.1016/j.irfa.2017.05.002)

Ewald, C.-O. and Zhang, A. (2017) On the effects of changing mortality patterns on investment, labour and consumption under uncertainty. Insurance: Mathematics and Economics, 73, pp. 105-115. (doi: 10.1016/j.insmatheco.2017.01.008)

Ewald, C.-O. and Geißler, J. (2017) Optimal contracts for central bankers: calls on inflation. Applied Mathematics and Computation, 292, pp. 57-62. (doi: 10.1016/j.amc.2016.07.011)

Ewald, C.-O. , Ouyang, R. and Siu, T. K. (2017) On the market consistent valuation of fish farms: using the real option approach and salmon futures. American Journal of Agricultural Economics, 99(1), pp. 207-224. (doi: 10.1093/ajae/aaw052)

2016

Ewald, C.-O. , Nawar, R., Ouyang, R. and Siu, T. K. (2016) The market for salmon futures: an empirical analysis of fish pool using the Schwartz multifactor model. Quantitative Finance, 16(12), pp. 1823-1842. (doi: 10.1080/14697688.2016.1211792)

Ewald, C. and Zhang, H. (2016) Hedge fund seeding via fees-for-seed swaps under idiosyncratic risk. Journal of Economic Dynamics and Control, 71, pp. 45-59. (doi: 10.1016/j.jedc.2016.07.007)

2015

Ewald, C.-O. and Geissler, J. (2015) Markets for inflation-indexed bonds as mechanisms for efficient monetary policy. Mathematical Finance, 25(4), pp. 869-889. (doi: 10.1111/mafi.12039)

Ewald, C.-O. and Yor, M. (2015) On increasing risk, inequality and poverty measures: peacocks, lyrebirds and exotic options. Journal of Economic Dynamics and Control, 59, pp. 22-36. (doi: 10.1016/j.jedc.2015.07.004)

2014

Siu, T.K., Nawar, R. and Ewald, C.-O. (2014) Hedging crude oil derivatives in GARCH-type models. Journal of Energy Markets, 7(1), pp. 1-24.

Ting, S. H. M. and Ewald, C.-O. (2014) Asymptotic solutions for Australian options with low volatility. Applied Mathematical Finance, 21(6), pp. 595-613. (doi: 10.1080/1350486X.2014.906973)

2013

Ting, S.H.M., Ewald, C.-O. and Wang, W.-K. (2013) On the investment–uncertainty relationship in a real option model with stochastic volatility. Mathematical Social Sciences, 66(1), pp. 22-32. (doi: 10.1016/j.mathsocsci.2013.01.005)

Ewald, C.-O. , Nawar, R. and Siu, T.K. (2013) Minimising risk when hedging crude oil options: jumps count. Energy Risk, 10, pp. 64-68.

Ewald, C.-O. (2013) Derivatives on nonstorable renewable resources: Fish futures and options, not so fishy after all. Natural Resource Modeling, 26(2), pp. 215-236. (doi: 10.1111/j.1939-7445.2012.00135.x)

Ewald, C.-O. , Menkens, O. and Ting, S.H.M. (2013) Asian and Australian options: a common perspective. Journal of Economic Dynamics and Control, 37(5), pp. 1001-1018. (doi: 10.1016/j.jedc.2013.01.006)

Ewald, C.-O. , Nawar, R. and Siu, T.K. (2013) Minimal variance hedging of natural gas derivatives in exponential Lévy models: theory and empirical performance. Energy Economics, 36, pp. 97-107. (doi: 10.1016/j.eneco.2012.12.004)

Ting, S.H.M. and Ewald, C.-O. (2013) On the performance of asymptotic locally risk minimising hedges in the Heston stochastic volatility model. Quantitative Finance, 13(6), pp. 939-954. (doi: 10.1080/14697688.2012.691987)

2012

Chavanasporn, W. and Ewald, C.-O. (2012) A numerical method for solving stochastic optimal control problems with linear control. Computational Economics, 39(4), pp. 429-446. (doi: 10.1007/s10614-011-9263-1)

Chavanasporn, W. and Ewald, C. (2012) Privatization of businesses and flexible investment: a real option approach. Decisions in Economics and Finance, 35(1), pp. 75-89. (doi: 10.1007/s10203-011-0115-1)

2011

Yang, Z., Ewald, C.-O. and Menkens, O. (2011) Pricing and hedging of Asian options: quasi-explicit solutions via Malliavin calculus. Mathematical Methods of Operations Research, 74(1), pp. 93-120. (doi: 10.1007/s00186-011-0352-7)

Ewald, C.-O. and Wang, W.-K. (2011) Analytic solutions for infinite horizon stochastic optimal control problems via finite horizon approximation: A practical guide. Mathematical Social Sciences, 61(3), pp. 146-151. (doi: 10.1016/j.mathsocsci.2011.03.001)

Ewald, C.-O. and Xiao, Y. (2011) Information: price and impact on general welfare and optimal investment. An anticipative stochastic differential game model. Advances in Applied Probability, 43(1), pp. 97-120. (doi: 10.1239/aap/1300198514)

Yang, Z., Ewald, C.-O. and Wang, W.-K. (2011) A comparative analysis of the value of information in a continuous time market model with partial information: the cases of log-utility and CRRA. Journal of Probability and Statistics, 2011(238623), (doi: 10.1155/2011/238623)

2010

Ewald, C. and Geissler, J. (2010) Some notes on golden rules and risk aversion in a Merton type Solow growth model. International Review of Applied Financial Issues and Economics, 2(4), 760- 768.

Wang, W.-K. and Ewald, C.-O. (2010) Dynamic voluntary provision of public goods with uncertainty: a stochastic differential game model. Decisions in Economics and Finance, 33(2), pp. 97-116. (doi: 10.1007/s10203-009-0100-0)

Ewald, C.-O. and Wang, W.-K. (2010) Sustainable yields in fisheries: uncertainty, risk-aversion and mean-variance analysis. Natural Resource Modeling, 23(3), pp. 303-323. (doi: 10.1111/j.1939-7445.2010.00065.x)

Ewald, C. and Wang, W.-K. (2010) Irreversible investment with Cox-Ingersoll-Ross type mean reversion. Mathematical Social Sciences, 59(3), pp. 314-318. (doi: 10.1016/j.mathsocsci.2009.12.002)

Wang, W.-K. and Ewald, C.-O. (2010) A stochastic differential fishery game for a two species fish population with ecological interaction. Journal of Economic Dynamics and Control, 34(5), pp. 844-857. (doi: 10.1016/j.jedc.2009.12.001)

Yang, Z. and Ewald, C.O. (2010) On the non-equilibrium density of geometric mean reversion. Statistics and Probability Letters, 80(7-8), pp. 608-611. (doi: 10.1016/j.spl.2009.12.017)

Zhang, A. and Ewald, C.-O. (2010) Optimal investment for a pension fund under inflation risk. Mathematical Methods of Operations Research, 71(2), pp. 353-369. (doi: 10.1007/s00186-009-0294-5)

Chavanasporn, W. and Ewald, C. (2010) Development under a concessionary agreement: a real option approach. Investment Management and Financial Innovation, 7(2),

Yang, Z., Ewald, C.O. and Schenk-Hoppe, K.-R. (2010) An explicit expression to the locally R-minimizing hedge of a European call in the hull and white model. Quantitative and Qualitative Analysis in Social Sciences, 4(1), pp. 1-18.

2009

Ewald, C.-O. (2009) A general approach for solving differential public good games and a comparison to the static case. In: Petrosian, L.A. and Mazalov, V.V. (eds.) Game Theory and Applications. Nova Science: Hauppauge, N.Y., USA, pp. 25-39. ISBN 9781606924136

Ewald, C.-O. and Geissler, J. (2009) Stochastic reaction strategies and a zero inflation equilibrium in a Barro-Gordon model. In: Petrosjan, L.A. and Zenkevich, N.A. (eds.) Contributions to Game Theory and Management. Graduate School of Management, St. Petersburg State University: St. Petersburg, Russia. ISBN 9785992400205

Poulsen, R., Schenk-Hoppe, K.-R. and Ewald, C.-O. (2009) Risk minimization in stochastic volatility models: model risk and empirical performance. Quantitative Finance, 9(6), pp. 693-704. (doi: 10.1080/14697680902852738)

Yang, Z., Ewald, C.-O. and Xiao, Y. (2009) Implied volatility from Asian options via Monte Carlo methods. International Journal of Theoretical and Applied Finance, 12(2), pp. 153-178.

2008

Carr, P., Ewald, C.-O. and Xiao, Y. (2008) On the qualitative effect of volatility and duration on prices of Asian options. Finance Research Letters, 5(3), pp. 162-171. (doi: 10.1016/j.frl.2008.05.001)

Ewald, C.-O. and Yang, Z. (2008) Utility based pricing and exercising of real options under geometric mean reversion and risk aversion toward idiosyncratic risk. Mathematical Methods of Operations Research, 68(1), pp. 97-123. (doi: 10.1007/s00186-007-0190-9)

Ewald, C.-O. (2008) A note on the Malliavin derivative operator under change of variable. Statistics and Probability Letters, 78(2), pp. 173-178. (doi: 10.1016/j.spl.2007.05.017)

Alos, E. and Ewald, C.-O. (2008) Malliavin differentiability of the Heston volatility and applications to option pricing. Advances in Applied Probability, 40(1), pp. 144-162. (doi: 10.1239/aap/1208358890)

Chavanasporn, W. and Ewald, C.-O. (2008) Numerical simulation of a diffusion type evolutionary stock market model. Applied Mathematical Sciences, 2(47), pp. 2323-2339.

Yang, Z. and Ewald, C.-O. (2008) Continuous time evolutionary market dynamics: the case of fix-mix strategies. Investment Management and Financial Innovation, 5(1), pp. 32-40.

2007

Zhang, A., Korn, R. and Ewald, C.-O. (2007) Optimal management and inflation protection for defined contribution pension plans. Blätter der DGVFM, 28(2), pp. 239-258. (doi: 10.1007/s11857-007-0019-x)

Ewald, C. , McNamara, J. and Houston, A. (2007) Parental care as a differential game: A dynamic extension of the Houston–Davies game. Applied Mathematics and Computation, 190(2), pp. 1450-1465. (doi: 10.1016/j.amc.2007.02.060)

Ewald, C.-O. (2007) The Malliavin calculus and stochastic differential games with information asymmetry. In: Gao, H. and Petrosyan, L. (eds.) Proceedings of the Second Conference on Game Theory and Applications. World Academic Union Ltd. ISBN 9781846261664

Ewald, C.-O. and Xiao, Y. (2007) Optimal portfolios in a competing-insiders market: An anticipative stochastic differential game model. In: Gao, H. and Petrosyan, L. (eds.) Proceedings of the Second Conference on Game Theory and Applications. World Academic Union Ltd. ISBN 9781846261664

2006

Ewald, C.-O. (2006) The Malliavin gradient method for the calibration of stochastic dynamical models. Applied Mathematics and Computation, 175(2), pp. 1332-1352. (doi: 10.1016/j.amc.2005.08.050)

Ewald, C.-O. and Zhang, A. (2006) A new technique for calibrating stochastic volatility models: the Malliavin gradient method. Quantitative Finance, 6(2), pp. 147-158. (doi: 10.1080/14697680500531676)

2005

Ewald, C.-O. (2005) Optimal logarithmic utility and optimal portfolios for an insider in a stochastic volatility market. International Journal of Theoretical and Applied Finance, 8(3), pp. 301-319. (doi: 10.1142/S0219024905003025)

Ewald, C.-O. (2005) A de Rham isomorphism in singular cohomology and Stokes theorem for stratifolds. International Journal of Geometrics in Modern Physics, 2(1), pp. 63-81. (doi: 10.1142/S0219887805000454)

Ewald, C.-O. (2005) Local volatility in the Heston model: a Malliavin calculus approach. Journal of Applied Mathematics and Stochastic Analysis, 2005(3), pp. 307-322. (doi: 10.1155/JAMSA.2005.307)

2004

Ewald, C.-O. (2004) Hochschild- and cyclic-homology of LCNT-spaces. Communications in Mathematical Physics, 250(1), pp. 195-213. (doi: 10.1007/s00220-004-1149-9)

This list was generated on Wed Nov 20 17:33:34 2024 GMT.

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