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 13 39
Decrease of capital guarantees in life insurance products: can reinsurance stop it? 0 0 0 12 4 4 6 25
Derivatives-based portfolio decisions. An expected utility insight 0 0 0 11 3 11 19 32
Mind the Cap! -- Constrained Portfolio Optimisation in Heston's Stochastic Volatility Model 0 0 1 4 2 6 13 16
Optimal fees in hedge funds with first-loss compensation 0 1 3 8 2 5 11 21
Optimal market completion through financial derivatives with applications to volatility risk 0 0 0 12 3 6 10 28
Portfolio Optimization in Affine Models with Markov Switching 0 0 1 15 3 4 10 59
Portfolio Optimization with Allocation Constraints and Stochastic Factor Market Dynamics 1 1 2 6 4 8 10 20
Unraveling the Trade-off between Sustainability and Returns: A Multivariate Utility Analysis 1 1 9 15 5 6 23 40
Value-at-Risk constrained portfolios in incomplete markets: a dynamic programming approach to Heston's model 1 1 1 15 2 5 11 27
Total Working Papers 3 4 18 119 31 62 126 307

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 2 3 3 96
A Neural Network Monte Carlo Approximation for Expected Utility Theory 0 0 0 3 4 6 8 26
A Note on the Distribution of Multivariate Brownian Extrema 0 0 0 1 3 5 9 15
A Note on the Impact of Parameter Uncertainty on Barrier Derivatives 0 0 0 1 2 5 8 30
A Polynomial-Affine Approximation for Dynamic Portfolio Choice 0 0 0 0 4 6 8 10
A class of portfolio optimization solvable problems 0 0 1 6 3 8 10 19
A dynamic programming approach to path-dependent constrained portfolios 0 1 3 10 2 9 17 47
A generalized constant elasticity of volatility and correlation ratio (CEVC) model: Empirical evidence and application for portfolio optimization 0 1 2 2 2 8 11 11
A multivariate 4/2 stochastic covariance model: properties and applications to portfolio decisions 0 0 1 6 5 7 9 25
A multivariate stochastic volatility model with applications in the foreign exchange market 0 0 0 28 4 7 12 128
Affine multivariate GARCH models 0 0 0 17 3 4 6 70
An intensity‐based approach for equity modeling 0 0 0 0 1 2 3 6
Analytical fixed income pricing in discrete time: A new family of models 0 0 0 0 0 3 3 3
Asymptotic behavior of maximum likelihood estimators in a branching diffusion model 0 0 0 7 1 1 2 73
BEHAVIORAL PORTFOLIO CHOICE UNDER HYPERBOLIC ABSOLUTE RISK AVERSION 0 0 0 17 6 8 10 60
Barrier options in three dimensions 0 0 0 14 2 3 3 44
Bayesian Learning in an Affine GARCH Model with Application to Portfolio Optimization 0 0 0 1 0 1 5 7
Behavioral portfolio insurance strategies 0 0 0 14 5 9 17 53
Closed-Form Pricing of Two-Asset Barrier Options with Stochastic Covariance 0 0 0 26 3 9 12 98
Closed-form portfolio optimization under GARCH models 0 0 2 7 4 12 22 42
Conditional Correlation via Generalized Random Forests with Application to Hedge Funds 0 0 0 0 1 2 2 2
Correction: Revisiting the 1/N-strategy: a neural network framework for optimal strategies 0 0 0 0 2 3 6 9
Covariance dependent kernels, a Q-affine GARCH for multi-asset option pricing 0 0 2 5 4 5 11 16
Data-Based Parametrization for Affine GARCH Models Across Multiple Time Scales—Roughness Implications 0 0 2 2 0 3 16 16
Decrease of capital guarantees in life insurance products: Can reinsurance stop it? 0 0 1 15 3 8 15 42
Default models based on scale mixtures of Marshall-Olkin copulas: properties and applications 0 0 0 17 5 6 8 79
Derivatives-based portfolio decisions: an expected utility insight 0 0 2 4 6 11 17 35
Do jumps matter in discrete-time portfolio optimization? 0 0 1 1 1 5 10 18
Dynamic derivative strategies with stochastic interest rates and model uncertainty 0 0 2 17 5 7 15 98
Dynamic portfolio strategies under a fully correlated jump-diffusion process 0 0 1 9 4 9 14 50
Efficiently pricing double barrier derivatives in stochastic volatility models 0 0 0 10 2 5 5 66
Expected Utility Theory on General Affine GARCH Models 0 0 0 3 4 5 6 17
Generalized Mean-Reverting 4/2 Factor Model 0 1 1 3 2 6 8 38
HARA utility maximization in a Markov-switching bond–stock market 0 0 0 7 7 12 16 51
Impact of factor models on portfolio risk measures: a structural approach 0 0 1 1 1 2 6 10
Incorporation of Stochastic Policyholder Behavior in Analytical Pricing of GMABs and GMDBs 0 0 0 6 3 6 6 72
International portfolio choice under multi-factor stochastic volatility 0 0 1 2 4 8 11 14
Local Stochastic Correlation Models for Derivative Pricing 0 0 0 0 2 5 5 5
Markov-Modulated and Shifted Wishart Processes with Applications in Derivatives Pricing 0 1 1 1 13 16 18 18
Mean-Reverting 4/2 Principal Components Model. Financial Applications 0 0 0 2 3 4 4 14
Mean–variance optimization of terminal wealth and consumption 0 0 0 0 0 0 0 0
Mean–variance optimization under affine GARCH: A utility-based solution 0 0 1 4 13 15 24 39
Mind the cap!—constrained portfolio optimisation in Heston's stochastic volatility model 0 0 0 0 2 3 4 6
Model uncertainty on commodity portfolios, the role of convenience yield 0 0 1 4 1 5 6 12
Multivariate Affine GARCH in portfolio optimization. Analytical solutions and applications 0 0 2 2 3 7 16 16
Multivariate risk aversion utility, application to ESG investments 0 1 3 11 6 12 19 41
Not all VIXs are (Informationally) equal: Evidence from affine GARCH option pricing models 0 0 0 0 1 2 6 7
OPTIMAL INSURANCE CONTRACTS UNDER DISTORTION RISK MEASURES WITH AMBIGUITY AVERSION 0 1 1 16 1 4 5 41
Optimal Consumption and Robust Portfolio Choice for the 3/2 and 4/2 Stochastic Volatility Models 0 0 0 0 3 5 6 10
Optimal HARA Investments with Terminal VaR Constraints 0 0 1 2 4 7 9 15
Optimal Market Completion through Financial Derivatives with Applications to Volatility Risk 0 0 1 1 2 6 11 11
Optimal consumption and investment in general affine GARCH models 0 0 1 1 2 5 14 15
Optimal fee structures in hedge funds 0 0 0 35 5 7 15 157
Optimal fees in hedge funds with first-loss compensation 0 0 1 37 6 9 13 121
Optimal investment in multidimensional Markov-modulated affine models 0 0 0 12 4 9 11 124
Optimal investment strategy in the family of 4/2 stochastic volatility models 0 0 0 7 1 3 6 22
Optimal investment under multi-factor stochastic volatility 1 1 1 8 2 5 6 35
Option pricing with conditional GARCH models 0 0 1 30 4 7 13 133
PORTFOLIO OPTIMIZATION IN AFFINE MODELS WITH MARKOV SWITCHING 0 0 1 5 8 12 15 29
PRICING TWO-ASSET BARRIER OPTIONS UNDER STOCHASTIC CORRELATION VIA PERTURBATION 0 0 0 13 6 8 10 44
Polynomial affine approach to HARA utility maximization with applications to OrnsteinUhlenbeck 4/2 models 0 0 0 3 2 4 8 18
Portfolio choice with stochastic interest rates and learning about stock return predictability 0 0 0 19 2 3 4 59
Portfolio optimization under Solvency II 0 2 6 44 4 12 29 129
Portfolio optimization with wealth-dependent risk constraints 0 0 1 3 2 4 5 7
Portfolio optimization: not necessarily concave utility and constraints on wealth and allocation 0 0 0 6 3 5 7 24
Pricing a CDO on stochastically correlated underlyings 0 0 0 25 2 5 6 91
Pricing multiple barrier derivatives under stochastic volatility 0 1 2 2 3 4 7 7
Pricing of mountain range derivatives under a principal component stochastic volatility model 0 0 0 4 2 5 6 17
Pricing of spread options on stochastically correlated underlyings 0 1 1 1 2 4 4 4
Pricing two dimensional derivatives under stochastic correlation 0 0 0 22 1 2 2 75
Principal component models with stochastic mean‐reverting levels. Pricing and covariance surface improvements 0 0 0 0 5 6 6 9
RISK MANAGEMENT UNDER A FACTOR STOCHASTIC VOLATILITY MODEL 0 0 0 0 7 9 11 20
Residual Model for Future Prices 0 0 0 0 8 10 11 12
Revisiting the 1/N-strategy: a neural network framework for optimal strategies 0 0 1 1 5 8 12 15
Robust Portfolio Choice under the Modified Constant Elasticity of Variance 0 0 0 0 0 4 11 13
Robust Portfolio Optimization with Environmental, Social, and Corporate Governance Preference 0 0 0 2 5 8 11 16
Robust multivariate portfolio choice with stochastic covariance in the presence of ambiguity 0 0 0 8 3 5 8 29
Robust portfolio choice with derivative trading under stochastic volatility 0 0 2 22 4 9 12 114
Robust portfolios with commodities and stochastic interest rates 1 1 2 2 3 5 7 11
Single and Double Black-Cox: Two approaches for modelling debt restructuring 0 0 1 57 4 11 17 289
Stochastic Correlation and Volatility Mean-reversion - Empirical Motivation and Derivatives Pricing via Perturbation Theory 0 0 0 15 6 8 9 53
Stochastic covariance and dimension reduction in the pricing of basket options 0 0 0 10 2 4 9 63
Stochastic volatility models for the implied correlation index 0 0 2 8 8 11 16 45
The SEV-SV Model—Applications in Portfolio Optimization 0 0 0 1 4 7 10 23
The benefits of returns and options in the estimation of GARCH models. A Heston-Nandi GARCH insight 0 0 0 0 4 8 9 9
The mean‐reverting 4/2 stochastic volatility model: Properties and financial applications 1 1 2 12 4 8 9 40
The power of derivatives in portfolio optimization under affine GARCH models 0 0 1 3 8 11 16 19
The shifted GARCH model with affine variance: Applications in pricing 0 0 1 1 3 4 7 14
Two asset-barrier option under stochastic volatility 0 0 0 2 5 6 8 25
Unraveling the relationship between sustainability and returns: a multi-attribute utility analysis 1 2 5 5 1 4 14 15
Value-at-risk constrained portfolios in incomplete markets: a dynamic programming approach to Heston’s model 0 0 0 0 5 8 9 9
Total Journal Articles 4 15 66 731 319 577 886 3,685

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 2 4 9
The Mathematics of Risk Transfer 0 0 0 0 1 1 2 7
Total Chapters 0 0 2 5 1 3 6 16

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Statistics updated 2026-02-12