Narrow search
Showing 1 - 8 of 8
Cover Image
Sharing of longevity basis risk in pension schemes with income-drawdown guarantees
Agarwal, Ankush; Ewald, Christian; Wang, Yongjie - 2020
Persistent link: https://www.econbiz.de/10012661294
Cover Image
Stochastic volatility : a tale of co-jumps, non-normality, GMM and high frequency data
Ewald, Christian; Zou, Yihan - In: Journal of empirical finance 64 (2021), pp. 37-52
Persistent link: https://www.econbiz.de/10013259396
Cover Image
Analytic formulas for futures and options for a linear quadratic jump diffusion model with seasonal stochastic volatility and convenience yield : do fish jump?
Ewald, Christian; Zou, Yihan - In: European journal of operational research : EJOR 294 (2021) 2, pp. 801-815
Persistent link: https://www.econbiz.de/10012595911
Cover Image
Pricing commodity futures and determining risk premia in a three factor model with stochastic volatility : the case of Brent crude oil
Chen, Jilong; Ewald, Christian; Ouyang, Ruolan; … - In: Financial modeling and risk management of energy and …, (pp. 29-46). 2022
Persistent link: https://www.econbiz.de/10013349908
Cover Image
Pricing Asian options with stochastic convenience yield and jumps
Ewald, Christian; Wu, Yuexiang; Zhang, Aihua - In: Quantitative finance 23 (2023) 4, pp. 677-692
Persistent link: https://www.econbiz.de/10014304306
Cover Image
Hedging longevity risk in defined contribution pension schemes
Agarwal, Ankush; Ewald, Christian; Wang, Yongjie - In: Computational management science 20 (2023) 1, pp. 1-34
Persistent link: https://www.econbiz.de/10014228476
Cover Image
On the adaptation of the Lagrange formalism to continuous time stochastic optimal control : a Lagrange-Chow redux
Ewald, Christian; Nolan, Charles - In: Journal of economic dynamics & control 162 (2024), pp. 1-18
Persistent link: https://www.econbiz.de/10015050299
Cover Image
On the adaptation of the Lagrange formalism to continuous time stochastic optimal control : a Lagrange-Chow redux
Ewald, Christian; Nolan, Charles - 2024
Persistent link: https://www.econbiz.de/10014529902