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Details about Marcos Escobar Anel

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Homepage:https://www.uwo.ca/stats/people/bios/marcos-escobar-anel.html
Workplace:University of Western Ontario, Department of Statistical and Actuarial Sciences

Access statistics for papers by Marcos Escobar Anel.

Last updated 2023-09-10. Update your information in the RePEc Author Service.

Short-id: pes169


Jump to Journal Articles Chapters

Working Papers

2023

  1. Mind the Cap! -- Constrained Portfolio Optimisation in Heston's Stochastic Volatility Model
    Papers, arXiv.org Downloads
  2. Portfolio Optimization with Allocation Constraints and Stochastic Factor Market Dynamics
    Papers, arXiv.org Downloads View citations (1)
  3. Unraveling the Trade-off between Sustainability and Returns: A Multivariate Utility Analysis
    Papers, arXiv.org Downloads
  4. Value-at-Risk constrained portfolios in incomplete markets: a dynamic programming approach to Heston's model
    Papers, arXiv.org Downloads

2022

  1. Derivatives-based portfolio decisions. An expected utility insight
    Papers, arXiv.org Downloads
    See also Journal Article in Annals of Finance (2022)
  2. Optimal market completion through financial derivatives with applications to volatility risk
    Papers, arXiv.org Downloads

2021

  1. Closed-form portfolio optimization under GARCH models
    Papers, arXiv.org Downloads
    See also Journal Article in Operations Research Perspectives (2022)
  2. Decrease of capital guarantees in life insurance products: can reinsurance stop it?
    Papers, arXiv.org Downloads View citations (1)
    See also Journal Article in Insurance: Mathematics and Economics (2022)

2014

  1. Portfolio Optimization in Affine Models with Markov Switching
    Papers, arXiv.org Downloads View citations (3)
    See also Journal Article in International Journal of Theoretical and Applied Finance (IJTAF) (2015)

Journal Articles

2023

  1. A class of portfolio optimization solvable problems
    Finance Research Letters, 2023, 52, (C) Downloads
  2. A multivariate 4/2 stochastic covariance model: properties and applications to portfolio decisions
    Quantitative Finance, 2023, 23, (3), 497-519 Downloads
  3. Covariance dependent kernels, a Q-affine GARCH for multi-asset option pricing
    International Review of Financial Analysis, 2023, 87, (C) Downloads
  4. The SEV-SV Model—Applications in Portfolio Optimization
    Risks, 2023, 11, (2), 1-34 Downloads

2022

  1. A dynamic programming approach to path-dependent constrained portfolios
    Annals of Operations Research, 2022, 315, (1), 141-157 Downloads
  2. Closed-form portfolio optimization under GARCH models
    Operations Research Perspectives, 2022, 9, (C) Downloads
    See also Working Paper (2021)
  3. Decrease of capital guarantees in life insurance products: Can reinsurance stop it?
    Insurance: Mathematics and Economics, 2022, 105, (C), 14-40 Downloads View citations (1)
    See also Working Paper (2021)
  4. Derivatives-based portfolio decisions: an expected utility insight
    Annals of Finance, 2022, 18, (2), 217-246 Downloads
    See also Working Paper (2022)
  5. International portfolio choice under multi-factor stochastic volatility
    Quantitative Finance, 2022, 22, (6), 1193-1216 Downloads
  6. Multivariate risk aversion utility, application to ESG investments
    The North American Journal of Economics and Finance, 2022, 63, (C) Downloads View citations (2)
  7. Optimal HARA Investments with Terminal VaR Constraints
    Advances in Operations Research, 2022, 2022, 1-20 Downloads
  8. Polynomial affine approach to HARA utility maximization with applications to OrnsteinUhlenbeck 4/2 models
    Applied Mathematics and Computation, 2022, 418, (C) Downloads View citations (2)
  9. Portfolio optimization with wealth-dependent risk constraints
    Scandinavian Actuarial Journal, 2022, 2022, (3), 244-268 Downloads
  10. Portfolio optimization: not necessarily concave utility and constraints on wealth and allocation
    Mathematical Methods of Operations Research, 2022, 95, (1), 101-140 Downloads

2021

  1. A Neural Network Monte Carlo Approximation for Expected Utility Theory
    JRFM, 2021, 14, (7), 1-18 Downloads
  2. Expected Utility Theory on General Affine GARCH Models
    Applied Mathematical Finance, 2021, 28, (6), 477-507 Downloads
  3. Mean-Reverting 4/2 Principal Components Model. Financial Applications
    Risks, 2021, 9, (8), 1-23 Downloads
  4. Model uncertainty on commodity portfolios, the role of convenience yield
    Annals of Finance, 2021, 17, (4), 501-528 Downloads
  5. Optimal investment strategy in the family of 4/2 stochastic volatility models
    Quantitative Finance, 2021, 21, (10), 1723-1751 Downloads View citations (7)
  6. Option pricing with conditional GARCH models
    European Journal of Operational Research, 2021, 289, (1), 350-363 Downloads View citations (3)
  7. Robust portfolios with commodities and stochastic interest rates
    Quantitative Finance, 2021, 21, (6), 991-1010 Downloads View citations (1)

2020

  1. Affine multivariate GARCH models
    Journal of Banking & Finance, 2020, 118, (C) Downloads View citations (4)
  2. BEHAVIORAL PORTFOLIO CHOICE UNDER HYPERBOLIC ABSOLUTE RISK AVERSION
    International Journal of Theoretical and Applied Finance (IJTAF), 2020, 23, (07), 1-33 Downloads
  3. Behavioral portfolio insurance strategies
    Financial Markets and Portfolio Management, 2020, 34, (4), 353-399 Downloads View citations (3)
  4. OPTIMAL INSURANCE CONTRACTS UNDER DISTORTION RISK MEASURES WITH AMBIGUITY AVERSION
    ASTIN Bulletin, 2020, 50, (2), 619-646 Downloads View citations (5)
  5. Optimal fees in hedge funds with first-loss compensation
    Journal of Banking & Finance, 2020, 118, (C) Downloads
  6. Stochastic volatility models for the implied correlation index
    Finance Research Letters, 2020, 35, (C) Downloads
  7. The mean‐reverting 4/2 stochastic volatility model: Properties and financial applications
    Applied Stochastic Models in Business and Industry, 2020, 36, (5), 836-856 Downloads View citations (3)

2019

  1. Dynamic portfolio strategies under a fully correlated jump-diffusion process
    Annals of Finance, 2019, 15, (3), 421-453 Downloads
  2. Generalized Mean-Reverting 4/2 Factor Model
    JRFM, 2019, 12, (4), 1-21 Downloads View citations (3)
  3. Portfolio optimization under Solvency II
    Annals of Operations Research, 2019, 281, (1), 193-227 Downloads View citations (4)

2018

  1. A multivariate stochastic volatility model with applications in the foreign exchange market
    Review of Derivatives Research, 2018, 21, (1), 1-43 Downloads View citations (6)
  2. Dynamic derivative strategies with stochastic interest rates and model uncertainty
    Journal of Economic Dynamics and Control, 2018, 86, (C), 49-71 Downloads View citations (9)
  3. Optimal fee structures in hedge funds
    Journal of Asset Management, 2018, 19, (7), 522-542 Downloads View citations (2)
  4. Robust multivariate portfolio choice with stochastic covariance in the presence of ambiguity
    Quantitative Finance, 2018, 18, (8), 1265-1294 Downloads View citations (7)

2017

  1. HARA utility maximization in a Markov-switching bond–stock market
    Quantitative Finance, 2017, 17, (11), 1715-1733 Downloads View citations (6)
  2. Optimal investment under multi-factor stochastic volatility
    Quantitative Finance, 2017, 17, (2), 241-260 Downloads View citations (8)
  3. Two asset-barrier option under stochastic volatility
    Applied Mathematical Finance, 2017, 24, (6), 520-546 Downloads

2016

  1. A Note on the Impact of Parameter Uncertainty on Barrier Derivatives
    Risks, 2016, 4, (4), 1-25 Downloads
  2. Incorporation of Stochastic Policyholder Behavior in Analytical Pricing of GMABs and GMDBs
    Risks, 2016, 4, (4), 1-36 Downloads View citations (3)
  3. Portfolio choice with stochastic interest rates and learning about stock return predictability
    International Review of Economics & Finance, 2016, 41, (C), 347-370 Downloads View citations (2)
  4. 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 Downloads View citations (1)
  5. Stochastic covariance and dimension reduction in the pricing of basket options
    Review of Derivatives Research, 2016, 19, (3), 165-200 Downloads

2015

  1. Optimal investment in multidimensional Markov-modulated affine models
    Annals of Finance, 2015, 11, (3), 503-530 Downloads View citations (2)
  2. PORTFOLIO OPTIMIZATION IN AFFINE MODELS WITH MARKOV SWITCHING
    International Journal of Theoretical and Applied Finance (IJTAF), 2015, 18, (05), 1-46 Downloads View citations (5)
    See also Working Paper (2014)
  3. PRICING TWO-ASSET BARRIER OPTIONS UNDER STOCHASTIC CORRELATION VIA PERTURBATION
    International Journal of Theoretical and Applied Finance (IJTAF), 2015, 18, (03), 1-44 Downloads View citations (1)
  4. Robust portfolio choice with derivative trading under stochastic volatility
    Journal of Banking & Finance, 2015, 61, (C), 142-157 Downloads View citations (24)

2014

  1. A Note on the Distribution of Multivariate Brownian Extrema
    International Journal of Stochastic Analysis, 2014, 2014, 1-6 Downloads View citations (5)
  2. Barrier options in three dimensions
    International Journal of Financial Markets and Derivatives, 2014, 3, (3), 260-292 Downloads View citations (1)
  3. Closed-Form Pricing of Two-Asset Barrier Options with Stochastic Covariance
    Applied Mathematical Finance, 2014, 21, (4), 363-397 Downloads View citations (1)
  4. Efficiently pricing double barrier derivatives in stochastic volatility models
    Review of Derivatives Research, 2014, 17, (2), 191-216 Downloads View citations (3)
  5. Stochastic Correlation and Volatility Mean-reversion - Empirical Motivation and Derivatives Pricing via Perturbation Theory
    Applied Mathematical Finance, 2014, 21, (6), 555-594 Downloads View citations (2)

2013

  1. 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 Downloads View citations (9)
  2. Pricing of mountain range derivatives under a principal component stochastic volatility model
    Applied Stochastic Models in Business and Industry, 2013, 29, (1), 31-44 Downloads View citations (6)

2012

  1. Residual Model for Future Prices
    Journal of Business Administration Research, 2012, 1, (2), 110-119 Downloads

2011

  1. A General Structural Approach For Credit Modeling Under Stochastic Volatility
    Journal of Financial Transformation, 2011, 32, 123-132 View citations (1)
  2. An intensity‐based approach for equity modeling
    Applied Stochastic Models in Business and Industry, 2011, 27, (6), 676-690 Downloads
  3. Pricing two dimensional derivatives under stochastic correlation
    International Journal of Financial Markets and Derivatives, 2011, 2, (4), 265-287 Downloads View citations (2)
  4. RISK MANAGEMENT UNDER A FACTOR STOCHASTIC VOLATILITY MODEL
    Asia-Pacific Journal of Operational Research (APJOR), 2011, 28, (01), 65-80 Downloads View citations (1)

2010

  1. Pricing a CDO on stochastically correlated underlyings
    Quantitative Finance, 2010, 10, (3), 265-277 Downloads View citations (2)

2009

  1. Asymptotic behavior of maximum likelihood estimators in a branching diffusion model
    Statistical Inference for Stochastic Processes, 2009, 12, (2), 115-137 Downloads View citations (1)
  2. Single and Double Black-Cox: Two approaches for modelling debt restructuring
    Economic Modelling, 2009, 26, (5), 910-917 Downloads View citations (4)

Chapters

2010

  1. PRICING CERTIFICATES UNDER ISSUER RISK
    Chapter 6 in Alternative Investments And Strategies, 2010, pp 123-146 Downloads

2008

  1. The Mathematics of Risk Transfer
    Springer
 
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