University of Sydney

                                                      School of Mathematics and Statistics

·         University Home

·         Science Faculty

website_08

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

 

 

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 Science 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) to appear in Mathematical Methods of Operations Research

22.  A Stochastic Differential Fishery Game for a Two Species Fish Population with Ecological Interaction (joint with Wen-Kai Wang) to appear in Journal of Economic Dynamics and Control

23.  On the Non-Equilibrium Density of Geometric Mean reversion (joint with Zhaojun Yang) to appear in Statistics and Probability Letters

24.  Dynamic Voluntary Provision of Public Goods with Uncertainty: A Stochastic Differential Game Model (joint with Wen-Kai Wang) to appear in Decisions in Economics and Finance

25.  Irreversible investment in Cox-Ingersoll-Ross type mean reversion (joint with Wen-Kai Wang) to appear in Mathematical Social Sciences

Preprints (submitted) :

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

27.  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

28.  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

29.  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.

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

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

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

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

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

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

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

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

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

39.  NEW  Australian Options are Truely Asian and Some Notes on Milevsky and Posner's Reciprocal Gamma-Approximation 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)

 

Home  |  Top