Professor Christian Ewald

  • Professor in Financial Economics (Economics)

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

Research interests

Research interests

Quantitative Finance, Mathematical Economics, Macroeconomics and Financial Linkages, Environmental amd Resource Economics

Biography

Christian was educated at the Universities of Mainz (MSc) and Heidelberg (PhD) and holds a higher doctorate (Habilitation) from the University of Kaiserslautern. 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.

Grants

ARC Discovery Project "Quantitative and qualitative aspects of Asian and Australian options" funded with 150.000 AUD (approx. 98.000 GBP)

Fields Institute Toronto "Quantitative Finance" funded with 3.000 CAD (approx. 1.900 GBP)

University of Sydney "Starting Grant" funded with 40.000 AUD (approx. 26.000 GBP)

Royal Society UK "Exterior Differential Calculus in Macroeconomics" funded with 3.000 GBP

Economics Network and UK Higher Education Council "PhD Seminars in Mathematical Economics" funded with 2.750 GBP

 

Supervision

PhD Supervision areas

Professor Ewald is interested in supervising PhD students in the following areas: Quantitative Finance, Mathematical Economics, Macroeconomics and Financial Linkages, Environmental and Resource Economics.

Current PhD students

Jilong Chen

Co-supervisor: Dr Minjoo Kim

Amalia Christoforidou

Thesis title: Optimal execution strategies via optimal stopping time and Markov controls.
Co-supervisor: Dr Georgios Sermpinis and Dr Giamouridis (Athens University of Economics and Business)

Yating Li

Thesis title: Credit scoring using parallel data mining.
Co-supervisor: Professor Mario Cerrato

Yang Zhao

Thesis title: Estimating VaR and CVaR by a pair-copula-GARCH model with MCMC methods: Empirical research on foreign exchange markets.
Co-supervisor: Professor Mario Cerrato

Teaching

Postgraduate: Mathematical Finance, Computational Economics and Finance

Additional information

Some of Christian's working papers are available at the social science research network (SSRN):

http://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=548390

Christian is a Honorary Research Fellow of the University of Sydney as well as a Research Affiliate of the "Centre for Dynamic Macro Economic Analysis" and the "Centre for Research into Industry, Enterprise, Finance and the Firm" at the University of St. Andrews.

Christian currently acts as an external examiner for Xian Jiatong & Liverpool University in Suzhou, China.

Publications

List by: Type | Date

Jump to: 2014 | 2013 | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 | 2005 | 2004
Number of items: 41.

2014

Ewald, C.-O., and Geissler, J. (2014) Markets for inflation-indexed bonds as mechanisms for efficient monetary policy. Mathematical Finance, (doi:10.1111/mafi.12039) (Early Online Publication)

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. (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), 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), 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 Sat Mar 28 16:36:53 2015 GMT.
Number of items: 41.

Articles

Ewald, C.-O., and Geissler, J. (2014) Markets for inflation-indexed bonds as mechanisms for efficient monetary policy. Mathematical Finance, (doi:10.1111/mafi.12039) (Early Online Publication)

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. (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)

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)

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)

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.

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.

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), 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), 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.

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. (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)

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)

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)

Book Sections

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

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

This list was generated on Sat Mar 28 16:36:53 2015 GMT.