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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: ewald@maths.usyd.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). My CV


 

Research Interests

 

 

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


 

Publications

Published or accepted by peer reviewed journals :

·         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

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

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

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

·         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

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

·         A Short Derivation of An Explicit Hull and White Option Pricing Formula. ( joint with Zhaojun Yang and Klaur-Reiner Schenk-Hopper ) To appear in Finance Letters

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

·         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

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

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

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

·         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

·         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

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

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

·         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

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

·         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

·         Stochastic Volatility : Risk Minimization and Model Risk ( joint with Rolf Poulsen and Klaus-Rainer Schenk-Hoppe ) to appear in Quantitative Finance

Preprints (submitted) :

·         Information: Price and Impact on General Welfare and? Optimal Investment. An anticipative Stochastic Differential Game Model. SSRN-Preprint 2007

·         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

·         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

·         The Value of Full Information and Comparative Statics : A Continuous Time Market Model with Partial Information and Log-Utility from terminal wealth ( joint with Zhaojun Yang ). SSRN-Preprint.

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

·         Irreversible investment in Cox-Ingersoll-Ross type mean reversion. Working paper. (joint with Wen-Kai Wang) SSRN-preprint

·         On the Non-Equilibrium Density of Geometric Mean reversion (joint with Zhaojun Yang) SSRN-Preprint

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

·         Dynamic Voluntary Provision of Public Goods with Uncertainty: A Stochastic Differential Game Model (joint with Wen-Kai Wang)?SSRN-Preprint

·         A Stochastic Differential Fishery Game for a Two Species Fish Population with Ecological Interaction (joint with Wen-Kai Wang)?SSRN-Preprint

·         Sustainable Yields in Fisheries: Uncertainty, Risk-Aversion and Mean-Variance Analysis. (joint with Wen-Kai Wang) SSRN-Preprint

·         Some Notes on Golden Rules and Risk Aversion in a Merton Type Solow Model.(joint with Johannes Geissler) SSRN-Preprint

·         NEW  Inflation Linked Bond from a Central Banks Perspective (joint with Johannes Geissler) SSRN-Preprint

·         NEW  Analytic Solutions for Infinite Horizon Stochastic Optimal Control Problems via Finite Horizon Approximation: A Practical Guide (joint with Wen-Kai Wang) SSRN-Preprint

·         NEW Pricing and Hedging of Asian Options: Quasi-Explicit Solutions via Malliavin Calculus SSRN-Preprint

·         NEW  Malliavin Differentiability of a Class of Feller-Diffusions with Relevance in Finance SSRN-Preprint

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

·         NEW  Australian Options are Truely Asian and Some Notes on Milevsky and Posner's Reciprocal Gamma-Approximation SSRN-Preprint

Working papers (not submitted):

·         A Note on the Malliavin differentiability of the Heston volatility. ( joint with Elisa Alos ) SSRN-Preprint 2006

 

·         On the adaptive dynamics imposed by linear reaction strategies near a Nash?      equilibrium in two player games with continuous strategy sets. ( joint with John McNamara and Alastair Houston ) Working paper 2006

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: 08/09/2009)

 

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