Details about Marcos Escobar Anel
Access statistics for papers by Marcos Escobar Anel.
Last updated 2023-09-10. Update your information in the RePEc Author Service.
Short-id: pes169
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Working Papers
2023
- Mind the Cap! -- Constrained Portfolio Optimisation in Heston's Stochastic Volatility Model
Papers, arXiv.org
- Portfolio Optimization with Allocation Constraints and Stochastic Factor Market Dynamics
Papers, arXiv.org View citations (1)
- Unraveling the Trade-off between Sustainability and Returns: A Multivariate Utility Analysis
Papers, arXiv.org
- Value-at-Risk constrained portfolios in incomplete markets: a dynamic programming approach to Heston's model
Papers, arXiv.org
2022
- Derivatives-based portfolio decisions. An expected utility insight
Papers, arXiv.org 
See also Journal Article in Annals of Finance (2022)
- Optimal market completion through financial derivatives with applications to volatility risk
Papers, arXiv.org
2021
- Closed-form portfolio optimization under GARCH models
Papers, arXiv.org 
See also Journal Article in Operations Research Perspectives (2022)
- Decrease of capital guarantees in life insurance products: can reinsurance stop it?
Papers, arXiv.org View citations (1)
See also Journal Article in Insurance: Mathematics and Economics (2022)
2014
- Portfolio Optimization in Affine Models with Markov Switching
Papers, arXiv.org View citations (3)
See also Journal Article in International Journal of Theoretical and Applied Finance (IJTAF) (2015)
Journal Articles
2023
- A class of portfolio optimization solvable problems
Finance Research Letters, 2023, 52, (C)
- A multivariate 4/2 stochastic covariance model: properties and applications to portfolio decisions
Quantitative Finance, 2023, 23, (3), 497-519
- Covariance dependent kernels, a Q-affine GARCH for multi-asset option pricing
International Review of Financial Analysis, 2023, 87, (C)
- The SEV-SV Model—Applications in Portfolio Optimization
Risks, 2023, 11, (2), 1-34
2022
- A dynamic programming approach to path-dependent constrained portfolios
Annals of Operations Research, 2022, 315, (1), 141-157
- Closed-form portfolio optimization under GARCH models
Operations Research Perspectives, 2022, 9, (C) 
See also Working Paper (2021)
- Decrease of capital guarantees in life insurance products: Can reinsurance stop it?
Insurance: Mathematics and Economics, 2022, 105, (C), 14-40 View citations (1)
See also Working Paper (2021)
- Derivatives-based portfolio decisions: an expected utility insight
Annals of Finance, 2022, 18, (2), 217-246 
See also Working Paper (2022)
- International portfolio choice under multi-factor stochastic volatility
Quantitative Finance, 2022, 22, (6), 1193-1216
- Multivariate risk aversion utility, application to ESG investments
The North American Journal of Economics and Finance, 2022, 63, (C) View citations (2)
- Optimal HARA Investments with Terminal VaR Constraints
Advances in Operations Research, 2022, 2022, 1-20
- Polynomial affine approach to HARA utility maximization with applications to OrnsteinUhlenbeck 4/2 models
Applied Mathematics and Computation, 2022, 418, (C) View citations (2)
- Portfolio optimization with wealth-dependent risk constraints
Scandinavian Actuarial Journal, 2022, 2022, (3), 244-268
- Portfolio optimization: not necessarily concave utility and constraints on wealth and allocation
Mathematical Methods of Operations Research, 2022, 95, (1), 101-140
2021
- A Neural Network Monte Carlo Approximation for Expected Utility Theory
JRFM, 2021, 14, (7), 1-18
- Expected Utility Theory on General Affine GARCH Models
Applied Mathematical Finance, 2021, 28, (6), 477-507
- Mean-Reverting 4/2 Principal Components Model. Financial Applications
Risks, 2021, 9, (8), 1-23
- Model uncertainty on commodity portfolios, the role of convenience yield
Annals of Finance, 2021, 17, (4), 501-528
- Optimal investment strategy in the family of 4/2 stochastic volatility models
Quantitative Finance, 2021, 21, (10), 1723-1751 View citations (7)
- Option pricing with conditional GARCH models
European Journal of Operational Research, 2021, 289, (1), 350-363 View citations (3)
- Robust portfolios with commodities and stochastic interest rates
Quantitative Finance, 2021, 21, (6), 991-1010 View citations (1)
2020
- Affine multivariate GARCH models
Journal of Banking & Finance, 2020, 118, (C) View citations (4)
- BEHAVIORAL PORTFOLIO CHOICE UNDER HYPERBOLIC ABSOLUTE RISK AVERSION
International Journal of Theoretical and Applied Finance (IJTAF), 2020, 23, (07), 1-33
- Behavioral portfolio insurance strategies
Financial Markets and Portfolio Management, 2020, 34, (4), 353-399 View citations (3)
- OPTIMAL INSURANCE CONTRACTS UNDER DISTORTION RISK MEASURES WITH AMBIGUITY AVERSION
ASTIN Bulletin, 2020, 50, (2), 619-646 View citations (5)
- Optimal fees in hedge funds with first-loss compensation
Journal of Banking & Finance, 2020, 118, (C)
- Stochastic volatility models for the implied correlation index
Finance Research Letters, 2020, 35, (C)
- The mean‐reverting 4/2 stochastic volatility model: Properties and financial applications
Applied Stochastic Models in Business and Industry, 2020, 36, (5), 836-856 View citations (3)
2019
- Dynamic portfolio strategies under a fully correlated jump-diffusion process
Annals of Finance, 2019, 15, (3), 421-453
- Generalized Mean-Reverting 4/2 Factor Model
JRFM, 2019, 12, (4), 1-21 View citations (3)
- Portfolio optimization under Solvency II
Annals of Operations Research, 2019, 281, (1), 193-227 View citations (4)
2018
- A multivariate stochastic volatility model with applications in the foreign exchange market
Review of Derivatives Research, 2018, 21, (1), 1-43 View citations (6)
- Dynamic derivative strategies with stochastic interest rates and model uncertainty
Journal of Economic Dynamics and Control, 2018, 86, (C), 49-71 View citations (9)
- Optimal fee structures in hedge funds
Journal of Asset Management, 2018, 19, (7), 522-542 View citations (2)
- Robust multivariate portfolio choice with stochastic covariance in the presence of ambiguity
Quantitative Finance, 2018, 18, (8), 1265-1294 View citations (7)
2017
- HARA utility maximization in a Markov-switching bond–stock market
Quantitative Finance, 2017, 17, (11), 1715-1733 View citations (6)
- Optimal investment under multi-factor stochastic volatility
Quantitative Finance, 2017, 17, (2), 241-260 View citations (8)
- Two asset-barrier option under stochastic volatility
Applied Mathematical Finance, 2017, 24, (6), 520-546
2016
- A Note on the Impact of Parameter Uncertainty on Barrier Derivatives
Risks, 2016, 4, (4), 1-25
- Incorporation of Stochastic Policyholder Behavior in Analytical Pricing of GMABs and GMDBs
Risks, 2016, 4, (4), 1-36 View citations (3)
- Portfolio choice with stochastic interest rates and learning about stock return predictability
International Review of Economics & Finance, 2016, 41, (C), 347-370 View citations (2)
- Principal component models with stochastic mean‐reverting levels. Pricing and covariance surface improvements
Applied Stochastic Models in Business and Industry, 2016, 32, (5), 585-606 View citations (1)
- Stochastic covariance and dimension reduction in the pricing of basket options
Review of Derivatives Research, 2016, 19, (3), 165-200
2015
- Optimal investment in multidimensional Markov-modulated affine models
Annals of Finance, 2015, 11, (3), 503-530 View citations (2)
- PORTFOLIO OPTIMIZATION IN AFFINE MODELS WITH MARKOV SWITCHING
International Journal of Theoretical and Applied Finance (IJTAF), 2015, 18, (05), 1-46 View citations (5)
See also Working Paper (2014)
- PRICING TWO-ASSET BARRIER OPTIONS UNDER STOCHASTIC CORRELATION VIA PERTURBATION
International Journal of Theoretical and Applied Finance (IJTAF), 2015, 18, (03), 1-44 View citations (1)
- Robust portfolio choice with derivative trading under stochastic volatility
Journal of Banking & Finance, 2015, 61, (C), 142-157 View citations (24)
2014
- A Note on the Distribution of Multivariate Brownian Extrema
International Journal of Stochastic Analysis, 2014, 2014, 1-6 View citations (5)
- Barrier options in three dimensions
International Journal of Financial Markets and Derivatives, 2014, 3, (3), 260-292 View citations (1)
- Closed-Form Pricing of Two-Asset Barrier Options with Stochastic Covariance
Applied Mathematical Finance, 2014, 21, (4), 363-397 View citations (1)
- Efficiently pricing double barrier derivatives in stochastic volatility models
Review of Derivatives Research, 2014, 17, (2), 191-216 View citations (3)
- Stochastic Correlation and Volatility Mean-reversion - Empirical Motivation and Derivatives Pricing via Perturbation Theory
Applied Mathematical Finance, 2014, 21, (6), 555-594 View citations (2)
2013
- Default models based on scale mixtures of Marshall-Olkin copulas: properties and applications
Metrika: International Journal for Theoretical and Applied Statistics, 2013, 76, (2), 179-203 View citations (9)
- Pricing of mountain range derivatives under a principal component stochastic volatility model
Applied Stochastic Models in Business and Industry, 2013, 29, (1), 31-44 View citations (6)
2012
- Residual Model for Future Prices
Journal of Business Administration Research, 2012, 1, (2), 110-119
2011
- A General Structural Approach For Credit Modeling Under Stochastic Volatility
Journal of Financial Transformation, 2011, 32, 123-132 View citations (1)
- An intensity‐based approach for equity modeling
Applied Stochastic Models in Business and Industry, 2011, 27, (6), 676-690
- Pricing two dimensional derivatives under stochastic correlation
International Journal of Financial Markets and Derivatives, 2011, 2, (4), 265-287 View citations (2)
- RISK MANAGEMENT UNDER A FACTOR STOCHASTIC VOLATILITY MODEL
Asia-Pacific Journal of Operational Research (APJOR), 2011, 28, (01), 65-80 View citations (1)
2010
- Pricing a CDO on stochastically correlated underlyings
Quantitative Finance, 2010, 10, (3), 265-277 View citations (2)
2009
- Asymptotic behavior of maximum likelihood estimators in a branching diffusion model
Statistical Inference for Stochastic Processes, 2009, 12, (2), 115-137 View citations (1)
- Single and Double Black-Cox: Two approaches for modelling debt restructuring
Economic Modelling, 2009, 26, (5), 910-917 View citations (4)
Chapters
2010
- PRICING CERTIFICATES UNDER ISSUER RISK
Chapter 6 in Alternative Investments And Strategies, 2010, pp 123-146
2008
- The Mathematics of Risk Transfer
Springer
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