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Privatization of businesses and flexible investment: a real option approach

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  1. Article

    Open Access

    Hedging longevity risk in defined contribution pension schemes

    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 contributi...

    Ankush Agarwal, Christian-Oliver Ewald, Yongjie Wang in Computational Management Science (2023)

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  2. Article

    Open Access

    On the calibration of the Schwartz two-factor model to WTI crude oil options and the extended Kalman Filter

    The Schwartz (J Finance 52(3):923–973, 1997) two factor model serves as a benchmark for pricing commodity contracts, futures and options. It is normally calibrated to fit the term-structure of a range of future c...

    Christian-Oliver Ewald, Aihua Zhang, Zhe Zong in Annals of Operations Research (2019)

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