Christian Ewald

Christian Ewald är professor i finansiell matematik vid institutionen för matematik och matematisk statistik, Umeå universitet, Sverige. Han är också tilknyttet till HINN Business Analytic Group Lillehammer (Norway) och Adam Smith Business School, University of Glasgow (UK). Christians intresseområden är finansiell matematik, kvantitativ finansiering, riskhantering och råvaror. Han är utbildad vid universiteten i Mainz (MSc, Mathematics) och Heidelberg (PhD, Mathematics) och har en högre doktorsexamen (Habilitation, Doctor of Science) från University of Kaiserslautern. Christian har tidigare innehaft en professur i finansiell ekonomi vid University of Glasgow, en professur i matematik vid University of Sydney (2009-2011) samt associerade professurer vid Nottingham University Business School (Kina), University College Cork (Irland), University of St. Andrews (UK) och University of Leeds (UK). Det samhällsvetenskapliga forskningsnätverket (ssrn.com) listar Christian bland de 80 bästa ekonomiförfattarna världen över.

Additional Information:

Forskningsfinansiering från Kempe Stiftelserne “Distributional and Behavioural Dynamics in Fund Management, Pensions and Life Cycle Wealth: On the Role of Inflation, Mortality and Inequality”

Associate Editor Quantitative Finance, Taylor and Francis
Associate Editor European Journal of Finance, Taylor and Francis
Member of the Grant Assessor Panel of the Australian Research Council
Honorary Professor at the University of Sydney (2011-2015)
Research Affiliate at the "Centre for Dynamic Macro Economic Analysis" University of St. Andrews 

Peer reviewed published articles:

Ewald, C.-O., Wu, Y. and Zhang, A. (2023) Pricing Asian Options with Stochastic Convenience Yield and Jumps. Quantitative Finance (Published Online)

Agarwal, A. , Ewald, C.-O. and Wang, Y. (2022) Hedging longevity risk in defined contribution pension schemes. Computational Management Science, (Published Online))

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. and Taub, B. (2022) Real Options, Risk Aversion and Markets: A Corporate Finance Perspective. Journal of Corporate Finance.Volume 72, February 2022

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)

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)

Ewald, C.-O. , Haugom, E., Kanthan, L., Lien, G., Salehi, P. and Størdal, S. (2021) Salmon futures and the Fish Pool market in the context of the CAPM and a three-factor model. Aquaculture Economics and Management, (doi: 10.1080/13657305.2021.1958105) (Early Online Publication)

Chen, J., Ewald, C. , Ouyang, R., Westgaard, S. and Xiao, X. (2021) 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, (doi: 10.1007/s10479-021-04198-7) (Early Online Publication)

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)

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)

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)

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)

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)

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)

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)

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), 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.

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)

Doktorander som jag handlett tidigare:

Yajun Xiao (University of Frankfurt) Professour of Finance at Xian Jiatong Liverpool University

Wen-Kai Wang (University of St. Andrews) Professor of Finance in National University of Kaohsiung

Walailuck Chavanasporn (University of St. Andrews) Professor at King Mongkut's University of Technology North Bangkok

Johannes Geissler (University of St. Andrews) (Quantitative Analysist at FMS Wertmanagement)

Ian Gregory (University of Sydney) (Quant, Hedgefund Manager, Tokyo)

Marten Ting (University of Sydney) (Credit Risk Analytics, Sydney)

Roy Nawar (University of Sydney) (Quantitative Analysist, MUFG, London)

Amalia Christoforidou (University of Glasgow) (Senior Quantitative Analysist at RWEST)

Hai Zhang (University of Glasgow) (Senior Lecturer in Finance, Strathclyde University, Glasgow)

Jilong Chen (University of Glasgow) (Lecturer at Jiangxi University of Finance and Economics)

Ruolan Ouyang (University of Glasgow) (Associate Professor in Finance, School of Economics, Jinan University, Guangzhou, China)

Yang Zhao (University of Glasgow) (Associate Professor in Finance at Central University of Finance and Economics, China)

Zong Zhe (University of Glasgow) (on the job market)

Yixiao Mao (University of Glasgow) (on the job market)

Pengcheng Song (University of Glasgow) (post-doc at Tsinghua University, Beijing)

Yuexiang Wu (University of Glasgow) (fund manager at Kingston Rayliant (Rayliant Global Advisors))

Yihan Zou (University of Glasgow) (Lecturer of Finance at University of Glasgow)

Yongjie Wang (University of Glasgow) (on the job market)

Tren Ma (University of Glasgow) (on the job market)