University of Sydney

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Associate Professor Christian-Oliver Ewald

School of Mathematics and Statistics
Carslaw Building (F07)
University of Sydney NSW 2006

 

 

Room: Carslaw 622

Tel: + 61 2 9351 5778

Fax: + 61 2 9351 4534

Email: christian.ewald@sydney.edu.au

 


About

 I am an Associate Professor in Applied Mathematics at the University of Sydney. My main research fields are Mathematical Finance and Economics. I am also affiliated to the Center of Dynamic Macroeconomic Analysis at the University of St. Andrews (UK). 


 

Research Interests

 

 

Research Grants

 

 

 

 

 

 

 

 

 

 

Mathematical Finance, Optimal Control, Game Theory,  Monetary Policy, Environmental Economics

 

ARC Discovery Project “Quantitative and qualitative aspects of Asian and Australian options” funded with 150.000 AUD

Fields Institute Toronto “Quantitative Finance” funded with  3.000 CAD

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  

 


 

Publications

Published or accepted by peer reviewed journals :

1.     A new method for the calibration of stochastic volatility models : The Malliavin gradient method ( joint with Aihua Zhang ); Quantitative Finance , Vol.6 No.2, April 2006

2.     The Malliavin gradient method for the calibration of stochastic dynamical models; Applied Mathematics and Computation, Vol 175, Issue 2, April 2006

3.     Insider Trading in Stochastic Volatility Models; International Journal of Theoretical and Applied Finance, Vol. 8 No.3 (2005) 1-19

4.     Local Volatility in the Heston Model : A Malliavin Calculus Approach; Journal of Applied Mathematics and Stochastic Analysis, Vol 2005, Issue 3

5.     A de Rham Isomorphism in Singular Cohomology and Stokes Theorem for Stratifolds; International Journal of Geometric Methods in Modern Physics, Vol 2, No. 1 , February 2005

6.     Hochschild Homology of LCNT-spaces; Communications in Mathematical Physics, Vol250, Number 1 2004

7.     A Short Derivation of An Explicit Hull and White Option Pricing Formula. ( joint with Zhaojun Yang and Klaur-Reiner Schenk-Hoppe ) Quantitative and Qualitative Analysis in Social Sciences (QASS), Volume 4, Issue 1 2010

8.     Parental Care as a differential game: A dynamic extension of the Houston-Davies game. Applied Mathematics and Computations, Vol.190, Issue 2, 15 July 2007

9.     Optimal management and inflation protection for defined contribution pension plans. ( joint with Ralf Korn and Aihua Zhang ) Blaetter der DGFVM, Vol. 28, No. 2, 2007

10.  A Note on the Malliavin Derivative under Change of Variable. Statistics & Probability Letters, Volume 78, Issue 2, 1 February 2008

11.  A General Approach for Solving Differential Public Good Games and a Comparison to the Static Case. Game Theory and Applications, Vol. 14, 2009

12.  The Malliavin Calculus and Stochastic Differential games with Information Asymmetry Proceedings of the second international Conference on Game Theory and Applications

13.  Optimal portfolios in a Competing-Insiders Market: An anticpative Stochastic Differential Game Model ( joint with Yajun Xiao ) Proceedings of the second international Conference on Game Theory and Applications

14.  Utility Based pricing and Exercising of Real Options Under Geometric Mean Reversion and Risk Aversion toward Idiosyncratic Risk. ( joint with Zhaojun Yang ). Mathematical Methods of Operations Research, Vol 67, No.4 2008

15.  Malliavin Differentiability of the Heston Volatility and Applications to Option Pricing ( joint with Elisa Alos ) Advances in Applied Probability, Vol. 40 No 1, March 2008

16.  Continuous time evolutionary finance. The case of fix-mix strategies.?( joint with Zhaojun Yang ) Investment Management and Financial Innovation, Vol 5, issue 1, March 2008

17.  On the Qualitative Effect of Volatility and Duration on Prices of Asian Options (joint with Peter Carr and Yajun Xiao) Finance Research Letters, Volume 5, Issue 3, September 2008

18.  Numerical Simulation of a Diffusion Type Evolutionary Stock Market Model (joint with Walailuck Chavansporn) Applied Mathematical Sciences, Vol. 2, 2008

19.  Implied volatility from Asian options. ( joint with Zhaojun Yang and Yajun Xiao ) International Journal of Theoretical and Applied Finance, vol. 12, no. 2, March 2009

20.  Stochastic Volatility : Risk Minimization and Model Risk ( joint with Rolf Poulsen and Klaus-Rainer Schenk-Hoppe ) Quantitative Finance, Volume 9, Issue 6 September 2009

21.  Optimal investment for a pension fund under inflation risk (joint with Aihua Zhang)  Mathematical Methods of Operations Research (2010) vol. 71

22.  A Stochastic Differential Fishery Game for a Two Species Fish Population with Ecological Interaction (joint with Wen-Kai Wang)  Journal of Economic Dynamics and Control Volume 34, Issue 5, May 2010

23.  On the Non-Equilibrium Density of Geometric Mean reversion (joint with Zhaojun Yang)  Statistics and Probability Letters Volume 80, Issues 7-8

24.  Dynamic Voluntary Provision of Public Goods with Uncertainty: A Stochastic Differential Game Model (joint with Wen-Kai Wang) Decisions in Economics and Finance, Vol. 33, No. 2, November 2010

25.  Irreversible investment in Cox-Ingersoll-Ross type mean reversion (joint with Wen-Kai Wang) Mathematical Social Sciences Volume 59, Issue 3, May 2010

26.  Sustainable Yields in Fisheries: Uncertainty, Risk-Aversion and Mean-Variance Analysis. (joint with Wen-Kai Wang) Natural Resource Modeling, Vol. 23, Issue 3, August 2010

27.   A comparative analysis of the value of information in a continuous time market model with partial information: The cases of log-utility and CRRA. ( joint with Zhaojun Yang and Wen-Kai Wang) to appear in Journal of Probability and Statistics.

28.  Development under a concessionary agreement: a real option approach. (joint with W. Chavanasporn). Investment Management and Financial Innovation, Volume 7, Issue 2, 2010

29.  Some Notes on Golden Rules and Risk Aversion in a Merton Type Solow Model.(joint with Johannes Geissler) To appear in International Review of Applied Financial Issues and Economics, Vol. 2, Issue 4, 2010

30.  Information: Price and Impact on General Welfare and Optimal Investment. An anticipative Stochastic Differential Game Model. (joint with Yajun Xiao) To appear in Advances in Applied Probability, Vol. 43, No.1 March 2011

31.  A Numerical Method for Solving Stochastic Optimal Control Problems with Linear Control (joint with W. Chavanasporn) to appear in Computational Economics

32.  Analytic Solutions for Infinite Horizon Stochastic Optimal Control Problems via Finite Horizon Approximation: A Practical Guide (joint with Wen-Kai Wang) to appear in Mathematical Scoial Sciences

33.  Pricing and Hedging of Asian Options: Quasi-Explicit Solutions via Malliavin Calculus (joint with Z. Yang and O. Menkens) to appear in Mathematical Methods of Operations Research (2011)

 

Preprints (submitted) :

34.  Pricing and exercising real options in the Dixit and Pindyck geometric Ornstein-Uhlenbeck model : An analytic solution for the incomplete case. ( joint with Zhaojun Yang ) SSRN-Preprint 2006

35.  A Closed form Solution for European and Digital Calls, locally R-minimizing hedges and Delta hedges for Hull and White 85. ( joint with Zhaojun Yang and Klaus-Rainer Schenk Hoppe ) SSRN-Preprint 2006

36.  Geometric Mean Reversion : Formulas for the Equilibrium density and Analytic Moment Matching. SSRN-preprint

37.  Stochastic Reaction Strategies, the Barro-Gordon Framework and How Null-Inflation can Become an Equilibrium ( joint with Johannes Geissler ) SSRN-Preprint

38.  NEW Supply and Demand of Inflation Linked Bonds and Feedback Effects on Monetary Policy: A Continuous Time Partial Equilibrium Model  (joint with Johannes Geissler) SSRN-Preprint

39.  NEW  Malliavin Differentiability of a Class of Feller-Diffusions with Relevance in Finance (joint with Yajun Xiao and Zou Yang) SSRN-Preprint

40.  NEW  Options on Renewable Resources:  A New Version of the Black (1976) Pricing Formula for Commodity Options SSRN-Preprint

41.  NEW  Australian Options are Truely Asian and Some Notes on Milevsky and Posner's Reciprocal Gamma-Approximation (joint with O. Menkens) SSRN-Preprint

42.  Privatization of Businesses and Flexible Investment: A Real Option Approach (joint with W. Chavanasporn) SSRN-Preprint

43.  How Markets for Inflation Linked Derivatives lead to low Inflation : A General Equilibrium Model (joint with J. Geissler) SSRN-Preprint

44.  On the Performance of Asymptotic Locally Risk Minimizing Hedges in the Heston Stochastic Volatility Model (joint with M. Ting) SSRN-Preprint

 

Lecturenotes:

·         Lecture Notes : Mathematik fuer Wirtschaftswissenschaftler Univesitaet Kaiserslautern (2004) ( pdf )

·         Lecture Notes : Introduction to Continuous Time Mathematical Finance Univesitaet Kaiserslautern (2004) SSRN Lecture Notes

·         Lecture Notes : Games, Fixed Points and Mathematical Economics Univesitaet Kaiserslautern (2003) SSRN Lecturenotes

·         Discrete Time Finance Lecture Notes for MATH5320, University of Leeds (2005) SSRN Lecturenotes

Review articles published in Mathematical Reviews ( American Mathematical Society )

 

I have written 34 review articles for the Zentralblatt Math, which can be accessed under Zentralblatt MATH and abot 40 review articles for Mathscinet which can be accessed via the American Mathematical Society AMS.

 

 

 

 

 

 

(updated: 21/12/2009)

 

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