Access Statistics for Marcos Escobar Anel

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Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Closed-form portfolio optimization under GARCH models 0 0 1 21 3 7 16 42
Decrease of capital guarantees in life insurance products: can reinsurance stop it? 0 0 0 12 1 5 6 26
Derivatives-based portfolio decisions. An expected utility insight 0 0 0 11 3 10 22 35
Mind the Cap! -- Constrained Portfolio Optimisation in Heston's Stochastic Volatility Model 0 0 1 4 1 6 13 17
Optimal fees in hedge funds with first-loss compensation 0 0 3 8 3 6 14 24
Optimal market completion through financial derivatives with applications to volatility risk 0 0 0 12 0 4 10 28
Portfolio Optimization in Affine Models with Markov Switching 0 0 1 15 0 3 9 59
Portfolio Optimization with Allocation Constraints and Stochastic Factor Market Dynamics 0 1 2 6 0 4 10 20
Unraveling the Trade-off between Sustainability and Returns: A Multivariate Utility Analysis 1 2 10 16 6 12 24 46
Value-at-Risk constrained portfolios in incomplete markets: a dynamic programming approach to Heston's model 0 1 1 15 1 4 10 28
Total Working Papers 1 4 19 120 18 61 134 325

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A General Structural Approach For Credit Modeling Under Stochastic Volatility 0 0 0 0 3 5 6 99
A Neural Network Monte Carlo Approximation for Expected Utility Theory 0 0 0 3 1 5 8 27
A Note on the Distribution of Multivariate Brownian Extrema 0 0 0 1 2 7 10 17
A Note on the Impact of Parameter Uncertainty on Barrier Derivatives 0 0 0 1 1 4 8 31
A Polynomial-Affine Approximation for Dynamic Portfolio Choice 0 0 0 0 0 5 8 10
A class of portfolio optimization solvable problems 0 0 1 6 0 5 10 19
A dynamic programming approach to path-dependent constrained portfolios 0 1 3 10 0 4 16 47
A generalized constant elasticity of volatility and correlation ratio (CEVC) model: Empirical evidence and application for portfolio optimization 0 0 2 2 3 7 14 14
A mean reverting affine GARCH model for commodities 0 0 0 0 1 1 1 1
A multivariate 4/2 stochastic covariance model: properties and applications to portfolio decisions 0 0 1 6 2 9 11 27
A multivariate stochastic volatility model with applications in the foreign exchange market 0 0 0 28 1 7 13 129
Affine multivariate GARCH models 0 0 0 17 2 5 8 72
An intensity‐based approach for equity modeling 0 0 0 0 3 4 6 9
Analytical fixed income pricing in discrete time: A new family of models 0 0 0 0 0 1 3 3
Asymptotic behavior of maximum likelihood estimators in a branching diffusion model 0 0 0 7 1 2 3 74
BEHAVIORAL PORTFOLIO CHOICE UNDER HYPERBOLIC ABSOLUTE RISK AVERSION 0 0 0 17 0 8 9 60
Barrier options in three dimensions 0 0 0 14 1 3 4 45
Bayesian Learning in an Affine GARCH Model with Application to Portfolio Optimization 0 0 0 1 0 0 4 7
Behavioral portfolio insurance strategies 0 0 0 14 0 6 16 53
Closed-Form Pricing of Two-Asset Barrier Options with Stochastic Covariance 0 0 0 26 2 8 13 100
Closed-form portfolio optimization under GARCH models 0 0 2 7 2 9 24 44
Conditional Correlation via Generalized Random Forests with Application to Hedge Funds 0 0 0 0 2 4 4 4
Correction: Revisiting the 1/N-strategy: a neural network framework for optimal strategies 0 0 0 0 0 2 5 9
Covariance dependent kernels, a Q-affine GARCH for multi-asset option pricing 0 0 2 5 1 5 12 17
Data-Based Parametrization for Affine GARCH Models Across Multiple Time Scales—Roughness Implications 0 0 2 2 3 4 9 19
Decrease of capital guarantees in life insurance products: Can reinsurance stop it? 0 0 1 15 3 9 18 45
Default models based on scale mixtures of Marshall-Olkin copulas: properties and applications 0 0 0 17 1 7 9 80
Derivatives-based portfolio decisions: an expected utility insight 0 0 2 4 2 11 19 37
Do jumps matter in discrete-time portfolio optimization? 0 0 1 1 1 4 11 19
Dynamic derivative strategies with stochastic interest rates and model uncertainty 1 1 3 18 1 6 15 99
Dynamic portfolio strategies under a fully correlated jump-diffusion process 0 0 1 9 5 13 19 55
Efficiently pricing double barrier derivatives in stochastic volatility models 0 0 0 10 1 4 6 67
Expected Utility Theory on General Affine GARCH Models 0 0 0 3 1 5 7 18
Generalized Mean-Reverting 4/2 Factor Model 1 1 2 4 1 5 9 39
HARA utility maximization in a Markov-switching bond–stock market 0 0 0 7 1 11 17 52
Impact of factor models on portfolio risk measures: a structural approach 0 0 1 1 2 4 5 12
Incorporation of Stochastic Policyholder Behavior in Analytical Pricing of GMABs and GMDBs 0 0 0 6 1 4 7 73
International portfolio choice under multi-factor stochastic volatility 0 0 1 2 1 6 11 15
Local Stochastic Correlation Models for Derivative Pricing 0 0 0 0 0 3 5 5
Markov-Modulated and Shifted Wishart Processes with Applications in Derivatives Pricing 0 1 1 1 4 19 22 22
Mean-Reverting 4/2 Principal Components Model. Financial Applications 0 0 0 2 1 4 5 15
Mean–variance optimization of terminal wealth and consumption 0 0 0 0 1 1 1 1
Mean–variance optimization under affine GARCH: A utility-based solution 0 0 1 4 4 18 27 43
Mind the cap!—constrained portfolio optimisation in Heston's stochastic volatility model 0 0 0 0 1 4 5 7
Model uncertainty on commodity portfolios, the role of convenience yield 0 0 1 4 0 2 6 12
Multivariate Affine GARCH in portfolio optimization. Analytical solutions and applications 0 0 2 2 0 7 16 16
Multivariate risk aversion utility, application to ESG investments 0 0 3 11 2 11 20 43
Not all VIXs are (Informationally) equal: Evidence from affine GARCH option pricing models 0 0 0 0 1 2 7 8
OPTIMAL INSURANCE CONTRACTS UNDER DISTORTION RISK MEASURES WITH AMBIGUITY AVERSION 0 1 1 16 1 4 5 42
Optimal Consumption and Robust Portfolio Choice for the 3/2 and 4/2 Stochastic Volatility Models 0 0 0 0 0 3 6 10
Optimal HARA Investments with Terminal VaR Constraints 0 0 1 2 3 10 11 18
Optimal Market Completion through Financial Derivatives with Applications to Volatility Risk 0 0 1 1 2 5 13 13
Optimal consumption and investment in general affine GARCH models 0 0 1 1 1 4 13 16
Optimal fee structures in hedge funds 0 0 0 35 3 10 18 160
Optimal fees in hedge funds with first-loss compensation 0 0 1 37 3 11 16 124
Optimal investment in multidimensional Markov-modulated affine models 0 0 0 12 1 8 12 125
Optimal investment strategy in the family of 4/2 stochastic volatility models 0 0 0 7 2 4 8 24
Optimal investment under multi-factor stochastic volatility 0 1 1 8 3 5 8 38
Option pricing with conditional GARCH models 0 0 1 30 1 6 13 134
PORTFOLIO OPTIMIZATION IN AFFINE MODELS WITH MARKOV SWITCHING 0 0 1 5 1 11 14 30
PRICING TWO-ASSET BARRIER OPTIONS UNDER STOCHASTIC CORRELATION VIA PERTURBATION 0 0 0 13 2 9 10 46
Polynomial affine approach to HARA utility maximization with applications to OrnsteinUhlenbeck 4/2 models 0 0 0 3 1 3 9 19
Portfolio choice with stochastic interest rates and learning about stock return predictability 0 0 0 19 0 2 4 59
Portfolio optimization under Solvency II 0 1 5 44 1 10 29 130
Portfolio optimization with wealth-dependent risk constraints 0 0 1 3 1 3 6 8
Portfolio optimization: not necessarily concave utility and constraints on wealth and allocation 0 0 0 6 1 4 7 25
Pricing a CDO on stochastically correlated underlyings 0 0 0 25 1 3 7 92
Pricing multiple barrier derivatives under stochastic volatility 0 0 2 2 1 4 7 8
Pricing of mountain range derivatives under a principal component stochastic volatility model 0 0 0 4 2 5 7 19
Pricing of spread options on stochastically correlated underlyings 0 1 1 1 1 5 5 5
Pricing two dimensional derivatives under stochastic correlation 0 0 0 22 1 3 3 76
Principal component models with stochastic mean‐reverting levels. Pricing and covariance surface improvements 0 0 0 0 0 5 6 9
RISK MANAGEMENT UNDER A FACTOR STOCHASTIC VOLATILITY MODEL 0 0 0 0 4 11 15 24
Residual Model for Future Prices 0 0 0 0 6 16 17 18
Revisiting the 1/N-strategy: a neural network framework for optimal strategies 0 0 1 1 2 9 14 17
Robust Portfolio Choice under the Modified Constant Elasticity of Variance 0 0 0 0 2 5 13 15
Robust Portfolio Optimization with Environmental, Social, and Corporate Governance Preference 0 0 0 2 3 10 14 19
Robust multivariate portfolio choice with stochastic covariance in the presence of ambiguity 0 0 0 8 0 4 7 29
Robust portfolio choice with derivative trading under stochastic volatility 0 0 2 22 0 9 12 114
Robust portfolios with commodities and stochastic interest rates 0 1 2 2 0 3 7 11
Single and Double Black-Cox: Two approaches for modelling debt restructuring 0 0 0 57 2 12 18 291
Stochastic Correlation and Volatility Mean-reversion - Empirical Motivation and Derivatives Pricing via Perturbation Theory 0 0 0 15 1 8 10 54
Stochastic covariance and dimension reduction in the pricing of basket options 0 0 0 10 2 5 10 65
Stochastic volatility models for the implied correlation index 1 1 2 9 3 12 17 48
The SEV-SV Model—Applications in Portfolio Optimization 0 0 0 1 0 7 9 23
The benefits of returns and options in the estimation of GARCH models. A Heston-Nandi GARCH insight 0 0 0 0 1 6 10 10
The mean‐reverting 4/2 stochastic volatility model: Properties and financial applications 0 1 2 12 2 9 11 42
The power of derivatives in portfolio optimization under affine GARCH models 0 0 0 3 3 13 17 22
The shifted GARCH model with affine variance: Applications in pricing 0 0 1 1 0 4 7 14
Two asset-barrier option under stochastic volatility 0 0 0 2 1 6 8 26
Unraveling the relationship between sustainability and returns: a multi-attribute utility analysis 0 2 5 5 3 6 16 18
Value-at-risk constrained portfolios in incomplete markets: a dynamic programming approach to Heston’s model 0 0 0 0 1 8 10 10
Total Journal Articles 3 13 65 734 135 580 971 3,820

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
PRICING CERTIFICATES UNDER ISSUER RISK 0 0 2 5 0 1 4 9
The Mathematics of Risk Transfer 0 0 0 0 3 4 5 10
Total Chapters 0 0 2 5 3 5 9 19

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Statistics updated 2026-03-04