Information about:
Christian-Oliver Ewald

Other registered authors

Email:
Homepage: http://www.maths.usyd.edu.au/u/ewald/
Postal Address: Associate Professor Christian-Oliver Ewald School of Mathematics and Statistics Carslaw Building (F07) University of Sydney NSW 2006
Phone:

Affiliation

• University of Sydney, School of Mathematics and Statistics

  Homepage: http://www.maths.usyd.edu.au
  Location: Australia, Sydney
  

• School of Economics and Finance
  University of St. Andrews

  Location: Fife, United Kingdom
  Homepage: http://www.st-andrews.ac.uk/economics/
  Email:
  Phone: +44 (0)1334 462420
  Fax:
  Postal: St. Andrews, Fife KY16 9AL
  Handle: RePEc:edi:destauk (registered authors at this institution)

Working papers

1. Zhaojun Yang & Christian-Oliver Ewald & Olaf Menkens, 2009. "Pricing and Hedging of Asian Options: Quasi-Explicit Solutions via Malliavin Calculus," CRIEFF Discussion Papers 0910, Centre for Research into Industry, Enterprise, Finance and the Firm. [Downloadable!]

2. Peter Carr & Christian-Oliver Ewald & Yajun Xiao, 2008. "On the Qualitative Effect of Volatility and Duration on Prices of Asian Options," CRIEFF Discussion Papers 0803, Centre for Research into Industry, Enterprise, Finance and the Firm. [Downloadable!]
   Published as:
   • Carr, Peter & Ewald, Christian-Oliver & Xiao, Yajun, 2008. "On the qualitative effect of volatility and duration on prices of Asian options," Finance Research Letters, Elsevier, vol. 5(3), pages 162-171, September. [Downloadable!] (restricted)

3. ZHANG, AIHUA & Korn, Ralf & Ewald, Christian-Oliver, 2007. "Optimal Management And Inflation Protection For Defined Contribution Pension Plans," MPRA Paper 3300, University Library of Munich, Germany. [Downloadable!]

4. Alos, Elisa & Ewald, Christian-Oliver, 2007. "Malliavin differentiability of the Heston volatility and applications to option pricing," MPRA Paper 3237, University Library of Munich, Germany. [Downloadable!]

5. Ewald, Christian-Oliver & Xiao, Yajun, 2007. "Information : Price And Impact On General Welfare And Optimal Investment. An Anticipative Stochastic Differential Game Model," MPRA Paper 3301, University Library of Munich, Germany. [Downloadable!]

6. Christian-Olivier Ewald & Rolf Poulsen & Klaus Reiner Schenk-Hoppe, 2007. "Stochastic Volatility: Risk Minimization and Model Risk," Swiss Finance Institute Research Paper Series 07-10, Swiss Finance Institute. [Downloadable!]

7. Christian-Olivier Ewald & Klaus Reiner Schenk-Hoppe & Zhaojun Yang, 2006. "Closed-Form Solutions For European And Digital Calls In The Hull And White Stochastic Volatility Model And Their Relation To Locally R-Minimizing And Delta Hedges," Swiss Finance Institute Research Paper Series 07-11, Swiss Finance Institute. [Downloadable!]

8. Elisa Alòs & Christian-Olivier Ewald, 2005. "A Note on the Malliavin differentiability of the Heston Volatility," Economics Working Papers 880, Department of Economics and Business, Universitat Pompeu Fabra. [Downloadable!]

1. Zhaojun Yang & Christian-Oliver Ewald & Yajun Xiao, 2009. "Implied Volatility From Asian Options Via Monte Carlo Methods," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 12(02), pages 153-178. [Downloadable!] (restricted)

2. Ewald, Christian-Oliver, 2008. "A note on the Malliavin derivative operator under change of variable," Statistics & Probability Letters, Elsevier, vol. 78(2), pages 173-178, February. [Downloadable!] (restricted)

3. Carr, Peter & Ewald, Christian-Oliver & Xiao, Yajun, 2008. "On the qualitative effect of volatility and duration on prices of Asian options," Finance Research Letters, Elsevier, vol. 5(3), pages 162-171, September. [Downloadable!] (restricted)
   Other versions:
   • Peter Carr & Christian-Oliver Ewald & Yajun Xiao, 2008. "On the Qualitative Effect of Volatility and Duration on Prices of Asian Options," CRIEFF Discussion Papers 0803, Centre for Research into Industry, Enterprise, Finance and the Firm. [Downloadable!]

4. Christian-Oliver Ewald & Aihua Zhang, 2006. "A new technique for calibrating stochastic volatility models: the Malliavin gradient method," Quantitative Finance, Taylor and Francis Journals, vol. 6(2), pages 147-158, April. [Downloadable!] (restricted)

5. Christian-Oliver Ewald, 2005. "Optimal Logarithmic Utility And Optimal Portfolios For An Insider In A Stochastic Volatility Market," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 8(03), pages 301-319. [Downloadable!] (restricted)

1. NEP-DGE: Dynamic General Equilibrium (1) 2007-05-26
2. NEP-FIN: Finance (1) 2005-09-29
3. NEP-FMK: Financial Markets (1) 2008-02-23
4. NEP-GTH: Game Theory (1) 2007-05-26
5. NEP-IAS: Insurance Economics (1) 2007-05-26
6. NEP-MAC: Macroeconomics (2) 2005-09-29 2007-05-26 Author is listed
7. NEP-MIC: Microeconomics (1) 2007-05-26
8. NEP-MST: Market Microstructure (1) 2007-05-26
9. NEP-RMG: Risk Management (3) 2007-10-20 2008-02-23 2009-09-05 Author is listed
10. NEP-SEA: South East Asia (2) 2008-02-23 2009-09-05 Author is listed
11. NEP-UPT: Utility Models & Prospect Theory (1) 2007-05-26

This page was last updated on 2009-11-8.