Christian-Oliver Ewald
Professor and Chair in Financial Economics, Department of Economics, University of Glasgow, United Kingdom
Education
Christian-Oliver Ewald studied Mathematics and Physics at the Universities of Mainz and Heidelberg (Germany) and was awarded a PhD in pure Mathematics from the University of Heidelberg in 2002. He started his research in Mathematical Finance and Economics at the University of Kaiserslautern were he held a Lectureship in Mathematical Finance from 2002-2004. Since then he has held positions at the Universities of Bristol, Leeds, St. Andrews and Cork joining the University of Sydney (Australia) as a Associate Professor in Mathematical Economics and Finance in 2009. Christian-Oliver Ewald also holds a higher doctorate in Mathematical Finance, which he was awarded in 2009 from the University of Kaiserslautern (Germany) in recognition of his research achievements In Mathematical Finance and Economics.
Research
Christian-Oliver Ewald's research focuses on theoretical and mathematical models in Finance and Economics. In particular he has worked on stochastic volatility models for Derivatives pricing, aspects of information heterogeneity in financial markets, long-term investment and inflationary risk, optimal monetary policy, Evolutionary Finance and Economics, Real Option theory and recently Environmental Economics and the Economics of Wildlife Conservation. His research involves advanced mathematical methods from probability theory and Game Theory.
Professional Experience and Affiliations
Christian-Oliver Ewald is an affiliated member of the Centre for Dynamic Macroeconomic Analysis at St.Andrews University and Nottingham University Business School China section. He has raised over 250.000 Dollars of research funding from Australian, British and German funding sources and has in addition been involved in consulting major companies within the financial industry.
Teaching
Christian-Oliver Ewald teaches undergraduate and graduate courses in Mathematical Finance and Economics at the University of Sydney. Prior to that, he played a significant role in the design and introduction of the Analytical Finance MSc program at St.Andrews University.
Recent selected publications
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.
Irreversible investment in Cox-Ingersoll-Ross type mean reversion (joint with Wen-Kai Wang) to appear in Mathematical Social Sciences.
Stochastic Volatility : Risk Minimization and Model Risk (joint with Rolf Poulsen and Klaus-Rainer Schenk-Hoppe) Quantitative Finance, Volume 9, Issue 6 September 2009.
Optimal investment for a pension fund under inflation risk (joint with Aihua Zhang) to appear in Mathematical Methods of Operations Research.
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.
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.
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.
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.
Insider Trading in Stochastic Volatility Models; International Journal of Theoretical and Applied Finance, Vol. 8 No.3 (2005) 1-19.
