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 0 1 15 43
Decrease of capital guarantees in life insurance products: can reinsurance stop it? 0 0 0 12 1 4 10 30
Derivatives-based portfolio decisions. An expected utility insight 0 1 1 12 0 2 21 37
Mind the Cap! -- Constrained Portfolio Optimisation in Heston's Stochastic Volatility Model 0 1 2 5 0 9 22 26
Optimal fees in hedge funds with first-loss compensation 0 0 3 8 6 19 33 43
Optimal market completion through financial derivatives with applications to volatility risk 0 0 0 12 0 2 12 30
Portfolio Optimization in Affine Models with Markov Switching 0 0 1 15 0 3 12 62
Portfolio Optimization with Allocation Constraints and Stochastic Factor Market Dynamics 0 0 2 6 0 3 13 23
Unraveling the Trade-off between Sustainability and Returns: A Multivariate Utility Analysis 1 1 9 17 2 8 30 54
Value-at-Risk constrained portfolios in incomplete markets: a dynamic programming approach to Heston's model 0 0 1 15 0 0 8 28
Total Working Papers 1 3 20 123 9 51 176 376

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 0 2 8 101
A Neural Network Monte Carlo Approximation for Expected Utility Theory 0 1 1 4 3 8 15 35
A Note on the Distribution of Multivariate Brownian Extrema 0 0 0 1 0 7 17 24
A Note on the Impact of Parameter Uncertainty on Barrier Derivatives 0 0 0 1 0 0 8 31
A Polynomial-Affine Approximation for Dynamic Portfolio Choice 0 0 0 0 2 5 12 15
A class of portfolio optimization solvable problems 1 1 1 7 2 5 14 24
A dynamic programming approach to path-dependent constrained portfolios 0 1 3 11 0 3 17 50
A generalized constant elasticity of volatility and correlation ratio (CEVC) model: Empirical evidence and application for portfolio optimization 0 0 2 2 1 7 21 21
A mean reverting affine GARCH model for commodities 0 0 0 0 3 5 6 6
A multivariate 4/2 stochastic covariance model: properties and applications to portfolio decisions 0 0 0 6 0 1 10 28
A multivariate stochastic volatility model with applications in the foreign exchange market 1 1 1 29 2 6 19 135
Affine multivariate GARCH models 0 0 0 17 0 2 10 74
An intensity‐based approach for equity modeling 0 0 0 0 0 3 9 12
Analytical fixed income pricing in discrete time: A new family of models 0 1 1 1 3 6 9 9
Asymptotic behavior of maximum likelihood estimators in a branching diffusion model 0 0 0 7 0 1 4 75
BEHAVIORAL PORTFOLIO CHOICE UNDER HYPERBOLIC ABSOLUTE RISK AVERSION 0 0 0 17 0 4 12 64
Barrier options in three dimensions 0 0 0 14 0 1 5 46
Bayesian Learning in an Affine GARCH Model with Application to Portfolio Optimization 0 0 0 1 0 2 6 9
Behavioral portfolio insurance strategies 0 0 0 14 0 0 16 53
Closed-Form Pricing of Two-Asset Barrier Options with Stochastic Covariance 0 0 0 26 1 2 14 102
Closed-form portfolio optimization under GARCH models 0 0 2 7 1 3 26 47
Conditional Correlation via Generalized Random Forests with Application to Hedge Funds 0 0 0 0 0 2 6 6
Correction: Revisiting the 1/N-strategy: a neural network framework for optimal strategies 0 0 0 0 1 4 9 13
Covariance dependent kernels, a Q-affine GARCH for multi-asset option pricing 1 1 1 6 2 4 13 21
Data-Based Parametrization for Affine GARCH Models Across Multiple Time Scales—Roughness Implications 0 1 2 3 1 3 10 22
Decrease of capital guarantees in life insurance products: Can reinsurance stop it? 0 0 0 15 1 3 19 48
Default models based on scale mixtures of Marshall-Olkin copulas: properties and applications 0 0 0 17 0 0 9 80
Derivatives-based portfolio decisions: an expected utility insight 0 0 2 4 0 2 21 39
Do jumps matter in discrete-time portfolio optimization? 0 0 1 1 0 4 15 23
Dynamic derivative strategies with stochastic interest rates and model uncertainty 0 0 1 18 1 4 14 103
Dynamic portfolio strategies under a fully correlated jump-diffusion process 0 1 2 10 0 3 22 58
Efficiently pricing double barrier derivatives in stochastic volatility models 0 0 0 10 0 1 7 68
Expected Utility Theory on General Affine GARCH Models 0 0 0 3 1 2 9 20
Generalized Mean-Reverting 4/2 Factor Model 0 0 2 4 1 3 12 42
HARA utility maximization in a Markov-switching bond–stock market 0 0 0 7 0 3 20 55
Impact of factor models on portfolio risk measures: a structural approach 0 0 1 1 0 0 5 12
Incorporation of Stochastic Policyholder Behavior in Analytical Pricing of GMABs and GMDBs 0 0 0 6 0 3 10 76
International portfolio choice under multi-factor stochastic volatility 0 0 1 2 0 4 15 19
Local Stochastic Correlation Models for Derivative Pricing 0 0 0 0 2 5 10 10
Markov-Modulated and Shifted Wishart Processes with Applications in Derivatives Pricing 0 0 1 1 1 8 30 30
Mean-Reverting 4/2 Principal Components Model. Financial Applications 0 0 0 2 1 1 6 16
Mean–variance optimization of terminal wealth and consumption 0 0 0 0 0 1 2 2
Mean–variance optimization under affine GARCH: A utility-based solution 1 2 3 6 3 10 37 53
Mind the cap!—constrained portfolio optimisation in Heston's stochastic volatility model 0 0 0 0 1 3 8 10
Model uncertainty on commodity portfolios, the role of convenience yield 0 0 1 4 0 2 8 14
Multivariate Affine GARCH in portfolio optimization. Analytical solutions and applications 0 0 1 2 1 6 20 22
Multivariate risk aversion utility, application to ESG investments 0 0 2 11 0 4 21 47
Not all VIXs are (Informationally) equal: Evidence from affine GARCH option pricing models 0 0 0 0 2 7 13 15
OPTIMAL INSURANCE CONTRACTS UNDER DISTORTION RISK MEASURES WITH AMBIGUITY AVERSION 0 1 2 17 0 3 8 45
Optimal Consumption and Robust Portfolio Choice for the 3/2 and 4/2 Stochastic Volatility Models 0 0 0 0 0 2 7 12
Optimal HARA Investments with Terminal VaR Constraints 0 0 1 2 2 5 16 23
Optimal Market Completion through Financial Derivatives with Applications to Volatility Risk 0 0 1 1 0 3 15 16
Optimal consumption and investment in general affine GARCH models 0 0 1 1 2 6 19 22
Optimal fee structures in hedge funds 0 0 0 35 0 4 21 164
Optimal fees in hedge funds with first-loss compensation 0 0 1 37 0 8 24 132
Optimal investment in multidimensional Markov-modulated affine models 0 0 0 12 0 2 14 127
Optimal investment strategy in the family of 4/2 stochastic volatility models 0 0 0 7 1 8 15 32
Optimal investment under multi-factor stochastic volatility 0 0 1 8 0 1 9 39
Option pricing with conditional GARCH models 0 2 3 32 0 7 20 141
PORTFOLIO OPTIMIZATION IN AFFINE MODELS WITH MARKOV SWITCHING 0 0 1 5 3 8 22 38
PRICING TWO-ASSET BARRIER OPTIONS UNDER STOCHASTIC CORRELATION VIA PERTURBATION 0 1 1 14 0 5 15 51
Polynomial affine approach to HARA utility maximization with applications to OrnsteinUhlenbeck 4/2 models 0 0 0 3 2 3 12 22
Portfolio choice with stochastic interest rates and learning about stock return predictability 0 0 0 19 1 8 12 67
Portfolio optimization under Solvency II 0 2 6 46 1 9 31 139
Portfolio optimization with wealth-dependent risk constraints 0 0 1 3 0 0 6 8
Portfolio optimization: not necessarily concave utility and constraints on wealth and allocation 0 0 0 6 1 3 10 28
Pricing a CDO on stochastically correlated underlyings 0 0 0 25 0 1 8 93
Pricing multiple barrier derivatives under stochastic volatility 0 0 2 2 0 3 10 11
Pricing of mountain range derivatives under a principal component stochastic volatility model 0 0 0 4 0 1 8 20
Pricing of spread options on stochastically correlated underlyings 0 0 1 1 0 3 8 8
Pricing two dimensional derivatives under stochastic correlation 0 0 0 22 0 2 5 78
Principal component models with stochastic mean‐reverting levels. Pricing and covariance surface improvements 0 0 0 0 0 4 10 13
RISK MANAGEMENT UNDER A FACTOR STOCHASTIC VOLATILITY MODEL 0 0 0 0 1 2 17 26
Residual Model for Future Prices 0 0 0 0 2 5 22 23
Revisiting the 1/N-strategy: a neural network framework for optimal strategies 0 0 1 1 1 6 20 23
Robust Portfolio Choice under the Modified Constant Elasticity of Variance 0 0 0 0 0 3 16 18
Robust Portfolio Optimization with Environmental, Social, and Corporate Governance Preference 0 0 0 2 0 2 16 21
Robust multivariate portfolio choice with stochastic covariance in the presence of ambiguity 0 1 1 9 0 2 8 31
Robust portfolio choice with derivative trading under stochastic volatility 0 0 1 22 0 4 15 118
Robust portfolios with commodities and stochastic interest rates 0 1 2 3 0 4 10 15
Single and Double Black-Cox: Two approaches for modelling debt restructuring 0 0 0 57 0 2 20 293
Stochastic Correlation and Volatility Mean-reversion - Empirical Motivation and Derivatives Pricing via Perturbation Theory 0 0 0 15 0 1 11 55
Stochastic covariance and dimension reduction in the pricing of basket options 0 0 0 10 0 1 11 66
Stochastic volatility models for the implied correlation index 0 0 1 9 1 6 22 54
The SEV-SV Model—Applications in Portfolio Optimization 0 0 0 1 2 4 13 27
The benefits of returns and options in the estimation of GARCH models. A Heston-Nandi GARCH insight 0 0 0 0 1 7 17 17
The mean‐reverting 4/2 stochastic volatility model: Properties and financial applications 0 0 1 12 2 7 17 49
The power of derivatives in portfolio optimization under affine GARCH models 0 1 1 4 2 12 29 34
The shifted GARCH model with affine variance: Applications in pricing 0 1 2 2 0 7 13 21
Two asset-barrier option under stochastic volatility 0 0 0 2 0 0 8 26
Unraveling the relationship between sustainability and returns: a multi-attribute utility analysis 0 0 4 5 0 5 19 23
Value-at-risk constrained portfolios in incomplete markets: a dynamic programming approach to Heston’s model 0 0 0 0 0 2 12 12
Total Journal Articles 4 20 68 754 62 346 1,270 4,166

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 3 7 12
The Mathematics of Risk Transfer 0 0 0 0 0 3 8 13
Total Chapters 0 0 2 5 0 6 15 25

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Statistics updated 2026-06-04