Access Statistics for Marcos Escobar Anel

Author contact details at EconPapers.

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 5 9 35
Decrease of capital guarantees in life insurance products: can reinsurance stop it? 0 0 0 12 0 0 2 21
Derivatives-based portfolio decisions. An expected utility insight 0 0 0 11 4 9 12 25
Mind the Cap! -- Constrained Portfolio Optimisation in Heston's Stochastic Volatility Model 0 1 1 4 1 5 8 11
Optimal fees in hedge funds with first-loss compensation 1 2 3 8 2 6 10 18
Optimal market completion through financial derivatives with applications to volatility risk 0 0 0 12 2 5 6 24
Portfolio Optimization in Affine Models with Markov Switching 0 0 1 15 1 2 7 56
Portfolio Optimization with Allocation Constraints and Stochastic Factor Market Dynamics 0 1 1 5 4 6 7 16
Unraveling the Trade-off between Sustainability and Returns: A Multivariate Utility Analysis 0 2 8 14 0 5 18 34
Value-at-Risk constrained portfolios in incomplete markets: a dynamic programming approach to Heston's model 0 0 1 14 2 4 11 24
Total Working Papers 1 6 16 116 19 47 90 264

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 1 1 1 94
A Neural Network Monte Carlo Approximation for Expected Utility Theory 0 0 1 3 2 2 6 22
A Note on the Distribution of Multivariate Brownian Extrema 0 0 0 1 0 1 5 10
A Note on the Impact of Parameter Uncertainty on Barrier Derivatives 0 0 0 1 2 4 5 27
A Polynomial-Affine Approximation for Dynamic Portfolio Choice 0 0 0 0 1 2 3 5
A class of portfolio optimization solvable problems 0 0 1 6 3 4 5 14
A dynamic programming approach to path-dependent constrained portfolios 0 1 2 9 5 9 15 43
A generalized constant elasticity of volatility and correlation ratio (CEVC) model: Empirical evidence and application for portfolio optimization 1 1 2 2 4 6 7 7
A multivariate 4/2 stochastic covariance model: properties and applications to portfolio decisions 0 0 1 6 0 0 3 18
A multivariate stochastic volatility model with applications in the foreign exchange market 0 0 0 28 1 3 6 122
Affine multivariate GARCH models 0 0 0 17 1 3 3 67
An intensity‐based approach for equity modeling 0 0 0 0 1 1 2 5
Analytical fixed income pricing in discrete time: A new family of models 0 0 0 0 2 2 2 2
Asymptotic behavior of maximum likelihood estimators in a branching diffusion model 0 0 0 7 0 0 1 72
BEHAVIORAL PORTFOLIO CHOICE UNDER HYPERBOLIC ABSOLUTE RISK AVERSION 0 0 0 17 0 0 2 52
Barrier options in three dimensions 0 0 0 14 1 1 1 42
Bayesian Learning in an Affine GARCH Model with Application to Portfolio Optimization 0 0 0 1 1 3 5 7
Behavioral portfolio insurance strategies 0 0 2 14 3 8 13 47
Closed-Form Pricing of Two-Asset Barrier Options with Stochastic Covariance 0 0 0 26 3 3 6 92
Closed-form portfolio optimization under GARCH models 0 2 2 7 5 11 16 35
Conditional Correlation via Generalized Random Forests with Application to Hedge Funds 0 0 0 0 0 0 0 0
Correction: Revisiting the 1/N-strategy: a neural network framework for optimal strategies 0 0 0 0 1 3 4 7
Covariance dependent kernels, a Q-affine GARCH for multi-asset option pricing 0 0 2 5 1 3 8 12
Data-Based Parametrization for Affine GARCH Models Across Multiple Time Scales—Roughness Implications 0 0 2 2 2 2 15 15
Decrease of capital guarantees in life insurance products: Can reinsurance stop it? 0 0 1 15 2 3 9 36
Default models based on scale mixtures of Marshall-Olkin copulas: properties and applications 0 0 0 17 0 1 2 73
Derivatives-based portfolio decisions: an expected utility insight 0 1 2 4 2 6 11 26
Do jumps matter in discrete-time portfolio optimization? 0 0 1 1 2 6 15 15
Dynamic derivative strategies with stochastic interest rates and model uncertainty 0 0 2 17 2 2 10 93
Dynamic portfolio strategies under a fully correlated jump-diffusion process 0 1 1 9 1 3 6 42
Efficiently pricing double barrier derivatives in stochastic volatility models 0 0 0 10 2 2 2 63
Expected Utility Theory on General Affine GARCH Models 0 0 0 3 1 1 2 13
Generalized Mean-Reverting 4/2 Factor Model 1 1 1 3 2 4 4 34
HARA utility maximization in a Markov-switching bond–stock market 0 0 0 7 2 5 6 41
Impact of factor models on portfolio risk measures: a structural approach 0 0 1 1 0 0 8 8
Incorporation of Stochastic Policyholder Behavior in Analytical Pricing of GMABs and GMDBs 0 0 0 6 3 3 4 69
International portfolio choice under multi-factor stochastic volatility 0 1 1 2 3 5 7 9
Local Stochastic Correlation Models for Derivative Pricing 0 0 0 0 2 2 2 2
Markov-Modulated and Shifted Wishart Processes with Applications in Derivatives Pricing 0 0 0 0 1 2 3 3
Mean-Reverting 4/2 Principal Components Model. Financial Applications 0 0 0 2 1 1 2 11
Mean–variance optimization under affine GARCH: A utility-based solution 0 0 2 4 1 7 12 25
Mind the cap!—constrained portfolio optimisation in Heston's stochastic volatility model 0 0 0 0 0 1 1 3
Model uncertainty on commodity portfolios, the role of convenience yield 0 1 1 4 3 4 4 10
Multivariate Affine GARCH in portfolio optimization. Analytical solutions and applications 0 0 2 2 0 6 9 9
Multivariate risk aversion utility, application to ESG investments 1 1 3 11 3 3 10 32
Not all VIXs are (Informationally) equal: Evidence from affine GARCH option pricing models 0 0 0 0 1 4 5 6
OPTIMAL INSURANCE CONTRACTS UNDER DISTORTION RISK MEASURES WITH AMBIGUITY AVERSION 0 0 1 15 1 1 4 38
Optimal Consumption and Robust Portfolio Choice for the 3/2 and 4/2 Stochastic Volatility Models 0 0 0 0 2 2 3 7
Optimal HARA Investments with Terminal VaR Constraints 0 0 1 2 0 0 2 8
Optimal Market Completion through Financial Derivatives with Applications to Volatility Risk 0 1 1 1 3 6 8 8
Optimal consumption and investment in general affine GARCH models 0 0 1 1 2 7 11 12
Optimal fee structures in hedge funds 0 0 1 35 0 0 10 150
Optimal fees in hedge funds with first-loss compensation 0 0 1 37 1 3 6 113
Optimal investment in multidimensional Markov-modulated affine models 0 0 0 12 2 4 4 117
Optimal investment strategy in the family of 4/2 stochastic volatility models 0 0 0 7 1 2 4 20
Optimal investment under multi-factor stochastic volatility 0 0 0 7 3 3 4 33
Option pricing with conditional GARCH models 0 0 2 30 2 2 10 128
PORTFOLIO OPTIMIZATION IN AFFINE MODELS WITH MARKOV SWITCHING 0 0 1 5 2 2 5 19
PRICING TWO-ASSET BARRIER OPTIONS UNDER STOCHASTIC CORRELATION VIA PERTURBATION 0 0 0 13 1 1 4 37
Polynomial affine approach to HARA utility maximization with applications to OrnsteinUhlenbeck 4/2 models 0 0 0 3 2 4 6 16
Portfolio choice with stochastic interest rates and learning about stock return predictability 0 0 0 19 1 2 2 57
Portfolio optimization under Solvency II 1 1 7 43 3 6 25 120
Portfolio optimization with wealth-dependent risk constraints 0 1 1 3 2 3 3 5
Portfolio optimization: not necessarily concave utility and constraints on wealth and allocation 0 0 0 6 2 3 4 21
Pricing a CDO on stochastically correlated underlyings 0 0 0 25 3 4 4 89
Pricing multiple barrier derivatives under stochastic volatility 1 1 2 2 1 1 4 4
Pricing of mountain range derivatives under a principal component stochastic volatility model 0 0 0 4 2 2 3 14
Pricing of spread options on stochastically correlated underlyings 0 0 0 0 0 0 0 0
Pricing two dimensional derivatives under stochastic correlation 0 0 0 22 0 0 0 73
Principal component models with stochastic mean‐reverting levels. Pricing and covariance surface improvements 0 0 0 0 1 1 1 4
RISK MANAGEMENT UNDER A FACTOR STOCHASTIC VOLATILITY MODEL 0 0 0 0 2 3 4 13
Residual Model for Future Prices 0 0 0 0 0 0 1 2
Revisiting the 1/N-strategy: a neural network framework for optimal strategies 0 1 1 1 1 5 6 8
Robust Portfolio Choice under the Modified Constant Elasticity of Variance 0 0 0 0 1 5 8 10
Robust Portfolio Optimization with Environmental, Social, and Corporate Governance Preference 0 0 1 2 1 3 6 9
Robust multivariate portfolio choice with stochastic covariance in the presence of ambiguity 0 0 0 8 1 1 4 25
Robust portfolio choice with derivative trading under stochastic volatility 0 0 2 22 0 1 3 105
Robust portfolios with commodities and stochastic interest rates 0 0 1 1 2 3 4 8
Single and Double Black-Cox: Two approaches for modelling debt restructuring 0 0 1 57 1 3 8 279
Stochastic Correlation and Volatility Mean-reversion - Empirical Motivation and Derivatives Pricing via Perturbation Theory 0 0 0 15 1 2 2 46
Stochastic covariance and dimension reduction in the pricing of basket options 0 0 0 10 1 4 7 60
Stochastic volatility models for the implied correlation index 0 0 2 8 2 4 7 36
The SEV-SV Model—Applications in Portfolio Optimization 0 0 0 1 0 1 4 16
The benefits of returns and options in the estimation of GARCH models. A Heston-Nandi GARCH insight 0 0 0 0 3 4 4 4
The mean‐reverting 4/2 stochastic volatility model: Properties and financial applications 0 0 2 11 1 1 3 33
The power of derivatives in portfolio optimization under affine GARCH models 0 0 1 3 1 4 6 9
The shifted GARCH model with affine variance: Applications in pricing 0 0 1 1 0 1 10 10
Two asset-barrier option under stochastic volatility 0 0 0 2 1 1 3 20
Unraveling the relationship between sustainability and returns: a multi-attribute utility analysis 0 0 3 3 1 2 12 12
Value-at-risk constrained portfolios in incomplete markets: a dynamic programming approach to Heston’s model 0 0 0 0 1 1 2 2
Total Journal Articles 5 15 67 721 132 251 499 3,240

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 1 1 3 8
The Mathematics of Risk Transfer 0 0 0 0 0 1 1 6
Total Chapters 0 0 2 5 1 2 4 14

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Statistics updated 2025-12-06