Browsing Brage INN by Author "Ewald, Christian Oliver"
Now showing items 1-8 of 8
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Hedging longevity risk in defined contribution pension schemes
Agarwal, Ankush; Ewald, Christian Oliver; Wang, Yongjie (Peer reviewed; Journal article, 2023)Pension schemes all over the world are under increasing pressure to efficiently hedge longevity risk imposed by ageing populations. In this work, we study an optimal investment problem for a defined contribution pension ... -
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 Oliver; Ouyang, Ruolan; Westgaard, Sjur; Xiao, Xiaoxia (Peer reviewed; Journal article, 2021)In this paper we introduce a three factor model to price commodity futures contracts. This model allows both the spot price volatility and convenience yield to be stochastic, nevertheless futures prices can be obtained ... -
Real options, risk aversion and markets: A corporate finance perspective
Ewald, Christian Oliver; Taub, Bart (Peer reviewed; Journal article, 2022)We analyze how the presence of financial markets affects the optimal exercise of real options for a risk averse agent. Extending the results of Shackleton and Sodal (2005), we characterize the optimal exercise rule in terms ... -
Salmon futures and the Fish Pool market in the context of the CAPM and a three-factor model
Ewald, Christian Oliver; Haugom, Erik; Kanthan, Leslie; Lien, Gudbrand; Salehi, Pariya; Størdal, Ståle (Peer reviewed; Journal article, 2021-07-31)Futures on fresh farmed salmon traded at the Fish Pool market in Norway are analyzed in the context of the Capital Asset Pricing Model (CAPM) and a corresponding three-factor model where contracts are separated based on ... -
Sample frequency robustness and accuracy in forecasting Value-at-Risk for Brent Crude Oil futures
Ewald, Christian Oliver; Hadina, Jelena; Haugom, Erik; Lien, Gudbrand; Størdal, Ståle; Yahya, Muhammad (Peer reviewed; Journal article, 2023)In this paper we examine how sensitive Value-at-Risk (VaR) forecasts based on simple linear quantile regressions are to the sampling frequency used to calculate realized volatility. We use sampling frequencies from one to ... -
Trading Time Seasonality in Commodity Futures: An Opportunity for Arbitrage in the Natural Gas and Crude Oil Markets?
Ewald, Christian Oliver; Haugom, Erik; Lien, Gudbrand; Størdal, Ståle; Wu, Yuexiang (Peer reviewed; Journal article, 2022)In this paper we investigate energy futures contracts and the presence of a type of seasonality, that has been given very little to no attention in the literature. We call it trading time seasonality. Such seasonality is ... -
Trading time seasonality in commodity futures: An opportunity for arbitrage in the natural gas and crude oil markets?
Ewald, Christian Oliver; Haugom, Erik; Lien, Gudbrand; Størdal, Ståle; Wu, Yuexiang (Peer reviewed; Journal article, 2022)In this paper we investigate energy futures contracts and the presence of a type of seasonality, that has beengiven very little to no attention in the literature —- we call it trading time seasonality. Such seasonality is ... -
Trading Time Seasonality in Electricity Futures
Størdal, Ståle; Ewald, Christian Oliver; Lien, Gudbrand; Haugom, Erik (Peer reviewed; Journal article, 2022-10-12)Trading time seasonality reflects the seasonal behavior of futures prices with the same time of maturity. Hence, it differs from classical seasonality, which reflects seasonal behavior induced by the spot price observed ...