Marcos Escobar Anel
Names
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Marcos |
| last: |
Escobar Anel |
Identifer
Contact
Affiliations
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University of Western Ontario, Department of Statistical and Actuarial Sciences
- https://www.uwo.ca/stats/index.html
- location: Canada, London
Research profile
author of:
- Portfolio Optimization in Affine Models with Markov Switching (RePEc:arx:papers:1403.5247)
by Marcos Escobar & Daniela Neykova & Rudi Zagst - Closed-form portfolio optimization under GARCH models (RePEc:arx:papers:2109.00433)
by Marcos Escobar-Anel & Maximilian Gollart & Rudi Zagst - Decrease of capital guarantees in life insurance products: can reinsurance stop it? (RePEc:arx:papers:2111.03603)
by Marcos Escobar-Anel & Yevhen Havrylenko & Michel Kschonnek & Rudi Zagst - Derivatives-based portfolio decisions. An expected utility insight (RePEc:arx:papers:2201.03717)
by Marcos Escobar-Anel & Matt Davison & Yichen Zhu - Optimal market completion through financial derivatives with applications to volatility risk (RePEc:arx:papers:2202.08148)
by Matt Davison & Marcos Escobar-Anel & Yichen Zhu - Value-at-Risk constrained portfolios in incomplete markets: a dynamic programming approach to Heston's model (RePEc:arx:papers:2208.14152)
by Marcos Escobar-Anel & Yevhen Havrylenko & Rudi Zagst - Portfolio Optimization with Allocation Constraints and Stochastic Factor Market Dynamics (RePEc:arx:papers:2303.09835)
by Marcos Escobar-Anel & Michel Kschonnek & Rudi Zagst - Mind the Cap! -- Constrained Portfolio Optimisation in Heston's Stochastic Volatility Model (RePEc:arx:papers:2306.11158)
by Marcos Escobar-Anel & Michel Kschonnek & Rudi Zagst - Unraveling the Trade-off between Sustainability and Returns: A Multivariate Utility Analysis (RePEc:arx:papers:2307.12161)
by Marcos Escobar-Anel & Yiyao Jiao - Optimal fees in hedge funds with first-loss compensation (RePEc:arx:papers:2310.19023)
by Marcos Escobar-Anel & Yevhen Havrylenko & Rudi Zagst - Optimal Insurance Contracts Under Distortion Risk Measures With Ambiguity Aversion (RePEc:cup:astinb:v:50:y:2020:i:2:p:619-646_10)
by Jiang, Wenjun & Escobar-Anel, Marcos & Ren, Jiandong - Polynomial affine approach to HARA utility maximization with applications to OrnsteinUhlenbeck 4/2 models (RePEc:eee:apmaco:v:418:y:2022:i:c:s009630032100919x)
by Zhu, Yichen & Escobar-Anel, Marcos - Dynamic derivative strategies with stochastic interest rates and model uncertainty (RePEc:eee:dyncon:v:86:y:2018:i:c:p:49-71)
by Escobar, Marcos & Ferrando, Sebastian & Rubtsov, Alexey - Single and Double Black-Cox: Two approaches for modelling debt restructuring (RePEc:eee:ecmode:v:26:y:2009:i:5:p:910-917)
by Abínzano, Isabel & Seco, Luis & Escobar, Marcos & Olivares, Pablo - Multivariate risk aversion utility, application to ESG investments (RePEc:eee:ecofin:v:63:y:2022:i:c:s1062940822001280)
by Escobar-Anel, Marcos - Option pricing with conditional GARCH models (RePEc:eee:ejores:v:289:y:2021:i:1:p:350-363)
by Escobar-Anel, Marcos & Rastegari, Javad & Stentoft, Lars - Covariance dependent kernels, a Q-affine GARCH for multi-asset option pricing (RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001382)
by Escobar-Anel, Marcos & Rastegari, Javad & Stentoft, Lars - Stochastic volatility models for the implied correlation index (RePEc:eee:finlet:v:35:y:2020:i:c:s154461231930056x)
by Escobar, Marcos & Fang, Lin - A class of portfolio optimization solvable problems (RePEc:eee:finlet:v:52:y:2023:i:c:s1544612322005505)
by Cheng, Yuyang & Escobar-Anel, Marcos - Mean–variance optimization under affine GARCH: A utility-based solution (RePEc:eee:finlet:v:59:y:2024:i:c:s1544612323011212)
by Escobar-Anel, Marcos & Spies, Ben & Zagst, Rudi - Not all VIXs are (Informationally) equal: Evidence from affine GARCH option pricing models (RePEc:eee:finlet:v:69:y:2024:i:pa:s1544612324010833)
by Escobar-Anel, Marcos & Stentoft, Lars & Ye, Xize - Decrease of capital guarantees in life insurance products: Can reinsurance stop it? (RePEc:eee:insuma:v:105:y:2022:i:c:p:14-40)
by Escobar-Anel, Marcos & Havrylenko, Yevhen & Kschonnek, Michel & Zagst, Rudi - Optimal fees in hedge funds with first-loss compensation (RePEc:eee:jbfina:v:118:y:2020:i:c:s0378426620301503)
by Escobar-Anel, M. & Havrylenko, Y. & Zagst, R. - Affine multivariate GARCH models (RePEc:eee:jbfina:v:118:y:2020:i:c:s0378426620301618)
by Escobar-Anel, Marcos & Rastegari, Javad & Stentoft, Lars - Robust portfolio choice with derivative trading under stochastic volatility (RePEc:eee:jbfina:v:61:y:2015:i:c:p:142-157)
by Escobar, Marcos & Ferrando, Sebastian & Rubtsov, Alexey - Closed-form portfolio optimization under GARCH models (RePEc:eee:oprepe:v:9:y:2022:i:c:s2214716021000300)
by Escobar-Anel, Marcos & Gollart, Maximilian & Zagst, Rudi - Portfolio choice with stochastic interest rates and learning about stock return predictability (RePEc:eee:reveco:v:41:y:2016:i:c:p:347-370)
by Escobar, Marcos & Ferrando, Sebastian & Rubtsov, Alexey - Generalized Mean-Reverting 4/2 Factor Model (RePEc:gam:jjrfmx:v:12:y:2019:i:4:p:159-:d:274079)
by Yuyang Cheng & Marcos Escobar-Anel & Zhenxian Gong - A Neural Network Monte Carlo Approximation for Expected Utility Theory (RePEc:gam:jjrfmx:v:14:y:2021:i:7:p:322-:d:593076)
by Yichen Zhu & Marcos Escobar-Anel - Optimal Market Completion through Financial Derivatives with Applications to Volatility Risk (RePEc:gam:jjrfmx:v:17:y:2024:i:10:p:457-:d:1494361)
by Matt Davison & Marcos Escobar-Anel & Yichen Zhu - Optimal Consumption and Robust Portfolio Choice for the 3/2 and 4/2 Stochastic Volatility Models (RePEc:gam:jmathe:v:11:y:2023:i:18:p:4020-:d:1245070)
by Yuyang Cheng & Marcos Escobar-Anel - Bayesian Learning in an Affine GARCH Model with Application to Portfolio Optimization (RePEc:gam:jmathe:v:12:y:2024:i:11:p:1611-:d:1398670)
by Marcos Escobar-Anel & Max Speck & Rudi Zagst - Robust Portfolio Choice under the Modified Constant Elasticity of Variance (RePEc:gam:jmathe:v:12:y:2024:i:3:p:440-:d:1329551)
by Wei Li Fan & Marcos Escobar Anel - The SEV-SV Model—Applications in Portfolio Optimization (RePEc:gam:jrisks:v:11:y:2023:i:2:p:30-:d:1049784)
by Marcos Escobar-Anel & Weili Fan - Robust Portfolio Optimization with Environmental, Social, and Corporate Governance Preference (RePEc:gam:jrisks:v:12:y:2024:i:2:p:33-:d:1333422)
by Marcos Escobar-Anel & Yiyao Jiao - A Note on the Impact of Parameter Uncertainty on Barrier Derivatives (RePEc:gam:jrisks:v:4:y:2016:i:4:p:35-:d:79467)
by Marcos Escobar & Sven Panz - Incorporation of Stochastic Policyholder Behavior in Analytical Pricing of GMABs and GMDBs (RePEc:gam:jrisks:v:4:y:2016:i:4:p:41-:d:82367)
by Marcos Escobar & Mikhail Krayzler & Franz Ramsauer & David Saunders & Rudi Zagst - Mean-Reverting 4/2 Principal Components Model. Financial Applications (RePEc:gam:jrisks:v:9:y:2021:i:8:p:141-:d:602549)
by Marcos Escobar-Anel & Zhenxian Gong - A Note on the Distribution of Multivariate Brownian Extrema (RePEc:hin:jnijsa:575270)
by Marcos Escobar & Julio Hernandez - Optimal HARA Investments with Terminal VaR Constraints (RePEc:hin:jnlaor:6357701)
by Marcos Escobar-Anel & Maximilian Keller & Rudi Zagst & Egidio D'Amato - Pricing two dimensional derivatives under stochastic correlation (RePEc:ids:ijfmkd:v:2:y:2011:i:4:p:265-287)
by Alexander Alvarez & Marcos Escobar & Pablo Olivares - Barrier options in three dimensions (RePEc:ids:ijfmkd:v:3:y:2014:i:3:p:260-292)
by Marcos Escobar & Sebastian Ferrando & Xianzhang Wen - Residual Model for Future Prices (RePEc:jfr:jbar11:v:1:y:2012:i:2:p:110-119)
by Marcos Escobar & Luis Seco - Optimal investment in multidimensional Markov-modulated affine models (RePEc:kap:annfin:v:11:y:2015:i:3:p:503-530)
by Daniela Neykova & Marcos Escobar & Rudi Zagst - Dynamic portfolio strategies under a fully correlated jump-diffusion process (RePEc:kap:annfin:v:15:y:2019:i:3:d:10.1007_s10436-019-00350-3)
by Marcos Escobar-Anel & Harold A. Moreno-Franco - Model uncertainty on commodity portfolios, the role of convenience yield (RePEc:kap:annfin:v:17:y:2021:i:4:d:10.1007_s10436-021-00393-5)
by Junhe Chen & Marcos Escobar-Anel - Derivatives-based portfolio decisions: an expected utility insight (RePEc:kap:annfin:v:18:y:2022:i:2:d:10.1007_s10436-022-00409-8)
by Marcos Escobar-Anel & Matt Davison & Yichen Zhu - A Polynomial-Affine Approximation for Dynamic Portfolio Choice (RePEc:kap:compec:v:62:y:2023:i:3:d:10.1007_s10614-022-10297-9)
by Yichen Zhu & Marcos Escobar-Anel & Matt Davison - Behavioral portfolio insurance strategies (RePEc:kap:fmktpm:v:34:y:2020:i:4:d:10.1007_s11408-020-00353-5)
by Marcos Escobar-Anel & Andreas Lichtenstern & Rudi Zagst - Efficiently pricing double barrier derivatives in stochastic volatility models (RePEc:kap:revdev:v:17:y:2014:i:2:p:191-216)
by Marcos Escobar & Peter Hieber & Matthias Scherer - Stochastic covariance and dimension reduction in the pricing of basket options (RePEc:kap:revdev:v:19:y:2016:i:3:d:10.1007_s11147-016-9119-x)
by Marcos Escobar & Daniel Krause & Rudi Zagst - A multivariate stochastic volatility model with applications in the foreign exchange market (RePEc:kap:revdev:v:21:y:2018:i:1:d:10.1007_s11147-017-9132-8)
by Marcos Escobar & Christoph Gschnaidtner - Optimal fee structures in hedge funds (RePEc:pal:assmgt:v:19:y:2018:i:7:d:10.1057_s41260-018-0094-7)
by Marcos Escobar-Anel & Vincent Höhn & Luis Seco & Rudi Zagst - A General Structural Approach For Credit Modeling Under Stochastic Volatility (RePEc:ris:jofitr:1462)
by Escobar, Marcos & Friederich, Tim & Seco, Luis & Zagst, Rudi - Portfolio optimization under Solvency II (RePEc:spr:annopr:v:281:y:2019:i:1:d:10.1007_s10479-018-2835-x)
by Marcos Escobar & Paul Kriebel & Markus Wahl & Rudi Zagst - A dynamic programming approach to path-dependent constrained portfolios (RePEc:spr:annopr:v:315:y:2022:i:1:d:10.1007_s10479-022-04640-4)
by Marcos Escobar-Anel - Revisiting the 1/N-strategy: a neural network framework for optimal strategies (RePEc:spr:decfin:v:46:y:2023:i:2:d:10.1007_s10203-023-00388-z)
by Marcos Escobar-Anel & Lorenz Theilacker & Rudi Zagst - Correction: Revisiting the 1/N-strategy: a neural network framework for optimal strategies (RePEc:spr:decfin:v:46:y:2023:i:2:d:10.1007_s10203-023-00394-1)
by Marcos Escobar-Anel & Lorenz Theilacker & Rudi Zagst - The power of derivatives in portfolio optimization under affine GARCH models (RePEc:spr:decfin:v:47:y:2024:i:1:d:10.1007_s10203-024-00433-5)
by Marcos Escobar-Anel & Eric Molter & Rudi Zagst - Portfolio optimization: not necessarily concave utility and constraints on wealth and allocation (RePEc:spr:mathme:v:95:y:2022:i:1:d:10.1007_s00186-022-00772-2)
by Marcos Escobar-Anel & Michel Kschonnek & Rudi Zagst - Default models based on scale mixtures of Marshall-Olkin copulas: properties and applications (RePEc:spr:metrik:v:76:y:2013:i:2:p:179-203)
by German Bernhart & Marcos Escobar Anel & Jan-Frederik Mai & Matthias Scherer - Optimal consumption and investment in general affine GARCH models (RePEc:spr:orspec:v:46:y:2024:i:3:d:10.1007_s00291-024-00749-z)
by Marcos Escobar-Anel & Ben Spies & Rudi Zagst - Asymptotic behavior of maximum likelihood estimators in a branching diffusion model (RePEc:spr:sistpr:v:12:y:2009:i:2:p:115-137)
by Janko Hernandez & Pablo Olivares & Marcos Escobar - The Mathematics of Risk Transfer (RePEc:spr:sprchp:978-3-540-78642-9_7)
by M. Escobar & L. Seco - Closed-Form Pricing of Two-Asset Barrier Options with Stochastic Covariance (RePEc:taf:apmtfi:v:21:y:2014:i:4:p:363-397)
by Barbara G�tz & Marcos Escobar & Rudi Zagst - Stochastic Correlation and Volatility Mean-reversion - Empirical Motivation and Derivatives Pricing via Perturbation Theory (RePEc:taf:apmtfi:v:21:y:2014:i:6:p:555-594)
by Marcos Escobar & Barbara G�tz & Daniela Neykova & Rudi Zagst - Two asset-barrier option under stochastic volatility (RePEc:taf:apmtfi:v:24:y:2017:i:6:p:520-546)
by Barbara Goetz & Marcos Escobar & Rudi Zagst - Expected Utility Theory on General Affine GARCH Models (RePEc:taf:apmtfi:v:28:y:2021:i:6:p:477-507)
by Marcos Escobar-Anel & Ben Spies & Rudi Zagst - Pricing a CDO on stochastically correlated underlyings (RePEc:taf:quantf:v:10:y:2010:i:3:p:265-277)
by Marcos Escobar & Barbara Gotz & Luis Seco & Rudi Zagst - HARA utility maximization in a Markov-switching bond–stock market (RePEc:taf:quantf:v:17:y:2017:i:11:p:1715-1733)
by M. Escobar & D. Neykova & R. Zagst - Optimal investment under multi-factor stochastic volatility (RePEc:taf:quantf:v:17:y:2017:i:2:p:241-260)
by Marcos Escobar & Sebastian Ferrando & Alexey Rubtsov - Robust multivariate portfolio choice with stochastic covariance in the presence of ambiguity (RePEc:taf:quantf:v:18:y:2018:i:8:p:1265-1294)
by V. Bergen & M. Escobar & A. Rubtsov & R. Zagst - Optimal investment strategy in the family of 4/2 stochastic volatility models (RePEc:taf:quantf:v:21:y:2021:i:10:p:1723-1751)
by Yuyang Cheng & Marcos Escobar-Anel - Robust portfolios with commodities and stochastic interest rates (RePEc:taf:quantf:v:21:y:2021:i:6:p:991-1010)
by Junhe Chen & Matt Davison & M. Escobar-Anel & Golara Zafari - International portfolio choice under multi-factor stochastic volatility (RePEc:taf:quantf:v:22:y:2022:i:6:p:1193-1216)
by Marcos Escobar-Anel & Sebastian Ferrando & Christoph Gschnaidtner & Alexey Rubtsov - Mind the cap!—constrained portfolio optimisation in Heston's stochastic volatility model (RePEc:taf:quantf:v:23:y:2023:i:12:p:1793-1813)
by M. Escobar-Anel & M. Kschonnek & R. Zagst - A multivariate 4/2 stochastic covariance model: properties and applications to portfolio decisions (RePEc:taf:quantf:v:23:y:2023:i:3:p:497-519)
by Yuyang Cheng & Marcos Escobar-Anel - Portfolio optimization with wealth-dependent risk constraints (RePEc:taf:sactxx:v:2022:y:2022:i:3:p:244-268)
by Marcos Escobar-Anel & Markus Wahl & Rudi Zagst - An intensity‐based approach for equity modeling (RePEc:wly:apsmbi:v:27:y:2011:i:6:p:676-690)
by M. Escobar & T. Friederich & M. Krayzler & L. Seco & R. Zagst - Pricing of mountain range derivatives under a principal component stochastic volatility model (RePEc:wly:apsmbi:v:29:y:2013:i:1:p:31-44)
by Marcos Escobar & Pablo Olivares - Principal component models with stochastic mean‐reverting levels. Pricing and covariance surface improvements (RePEc:wly:apsmbi:v:32:y:2016:i:5:p:585-606)
by Monika Bi & Marcos Escobar & Barbara Goetz & Rudi Zagst - The mean‐reverting 4/2 stochastic volatility model: Properties and financial applications (RePEc:wly:apsmbi:v:36:y:2020:i:5:p:836-856)
by Marcos Escobar‐Anel & Zhenxian Gong - Risk Management Under A Factor Stochastic Volatility Model (RePEc:wsi:apjorx:v:28:y:2011:i:01:n:s0217595911003053)
by Marcos Escobar & Pablo Olivares - Pricing Two-Asset Barrier Options Under Stochastic Correlation Via Perturbation (RePEc:wsi:ijtafx:v:18:y:2015:i:03:n:s0219024915500181)
by Marcos Escobar & Barbara Götz & Daniela Neykova & Rudi Zagst - Portfolio Optimization In Affine Models With Markov Switching (RePEc:wsi:ijtafx:v:18:y:2015:i:05:n:s0219024915500302)
by Marcos Escobar & Daniela Neykova & Rudi Zagst - Behavioral Portfolio Choice Under Hyperbolic Absolute Risk Aversion (RePEc:wsi:ijtafx:v:23:y:2020:i:07:n:s0219024920500454)
by Marcos Escobar-Anel & Andreas Lichtenstern & Rudi Zagst - Pricing Certificates Under Issuer Risk (RePEc:wsi:wschap:9789814280112_0006)
by Barbara Götz & Rudi Zagst & Marcos Escobar