Professor Christian Ewald

Professor Christian Ewald
  • Professor in Financial Economics (Economics)

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

Room 207b Level 2
Main Building
West Quadrangle
Glasgow G12 8QQ


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.

List all 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 . ISSN 0960-1627 (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. ISSN 0165-4896 (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. ISSN 0890-8575 (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. ISSN 0165-1889 (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. ISSN 0140-9883 (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. ISSN 1469-7688 (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. ISSN 0927-7099 (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. ISSN 1593-8883 (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. ISSN 1432-2994 (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. ISSN 0165-4896 (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. ISSN 0001-8678 (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). ISSN 1687-952X (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. ISSN 9210 - 1737

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. ISSN 1593-8883 (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. ISSN 0890-8575 (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. ISSN 0165-4896 (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. ISSN 0165-1889 (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. ISSN 0167-7152 (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. ISSN 1432-2994 (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). ISSN 1810-4967

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. ISSN 1752-8925

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. ISSN 1469-7688 (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. ISSN 0219-0249

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 . ISSN 1544-6123 (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. ISSN 1432-2994 (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 . ISSN 0167-7152 (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. ISSN 0001-8678 (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. ISSN 1312-885X

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. ISSN 1810-4967

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. ISSN 1864-0281 (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. ISSN 0096-3003 (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. ISSN 0096-3003 (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. ISSN 1469-7688 (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. ISSN 0219-0249 (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. ISSN 0219-8878 (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. ISSN 1048-9533 (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. ISSN 0010-3616 (doi:10.1007/s00220-004-1149-9)

This list was generated on Mon Sep 1 18:08:12 2014 BST.
Number of items: 41.

Article

Ewald, C.-O., and Geissler, J. (2014) Markets for inflation-indexed bonds as mechanisms for efficient monetary policy. Mathematical Finance . ISSN 0960-1627 (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. ISSN 0165-4896 (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. ISSN 0890-8575 (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. ISSN 0165-1889 (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. ISSN 0140-9883 (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. ISSN 1469-7688 (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. ISSN 0927-7099 (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. ISSN 1593-8883 (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. ISSN 1432-2994 (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. ISSN 0165-4896 (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. ISSN 0001-8678 (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). ISSN 1687-952X (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. ISSN 9210 - 1737

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. ISSN 1593-8883 (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. ISSN 0890-8575 (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. ISSN 0165-4896 (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. ISSN 0165-1889 (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. ISSN 0167-7152 (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. ISSN 1432-2994 (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). ISSN 1810-4967

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. ISSN 1752-8925

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. ISSN 1469-7688 (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. ISSN 0219-0249

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 . ISSN 1544-6123 (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. ISSN 1432-2994 (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 . ISSN 0167-7152 (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. ISSN 0001-8678 (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. ISSN 1312-885X

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. ISSN 1810-4967

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. ISSN 1864-0281 (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. ISSN 0096-3003 (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. ISSN 0096-3003 (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. ISSN 1469-7688 (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. ISSN 0219-0249 (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. ISSN 0219-8878 (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. ISSN 1048-9533 (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. ISSN 0010-3616 (doi:10.1007/s00220-004-1149-9)

Book Section

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 Mon Sep 1 18:08:12 2014 BST.

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

 

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

Postgraduate: Mathematical Finance, Computational Economics and Finance

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.