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
Portfolio Optimization in Affine Models with Markov Switching 0 0 0 11 1 3 4 33
Total Working Papers 0 0 0 11 1 3 4 33


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 0 5 85
A Note on the Distribution of Multivariate Brownian Extrema 0 0 0 0 0 0 0 1
A Note on the Impact of Parameter Uncertainty on Barrier Derivatives 0 0 0 1 1 3 10 20
A multivariate stochastic volatility model with applications in the foreign exchange market 0 1 5 22 1 4 29 84
An intensity‐based approach for equity modeling 0 0 0 0 0 0 0 0
Asymptotic behavior of maximum likelihood estimators in a branching diffusion model 0 0 0 7 0 0 1 71
Barrier options in three dimensions 0 0 0 12 0 2 4 34
Closed-Form Pricing of Two-Asset Barrier Options with Stochastic Covariance 1 3 4 20 1 3 6 67
Default models based on scale mixtures of Marshall-Olkin copulas: properties and applications 0 0 0 16 0 0 2 63
Dynamic derivative strategies with stochastic interest rates and model uncertainty 1 1 5 13 1 6 19 61
Dynamic portfolio strategies under a fully correlated jump-diffusion process 0 0 3 3 0 4 14 14
Efficiently pricing double barrier derivatives in stochastic volatility models 0 0 0 10 0 0 1 54
Generalized Mean-Reverting 4/2 Factor Model 0 0 2 2 1 3 14 14
HARA utility maximization in a Markov-switching bond–stock market 0 1 2 5 0 1 7 21
Incorporation of Stochastic Policyholder Behavior in Analytical Pricing of GMABs and GMDBs 0 0 0 3 3 4 17 48
OPTIMAL INSURANCE CONTRACTS UNDER DISTORTION RISK MEASURES WITH AMBIGUITY AVERSION 0 1 1 1 0 3 4 4
Optimal fee structures in hedge funds 0 6 14 20 4 13 48 79
Optimal investment in multidimensional Markov-modulated affine models 0 0 4 11 1 5 20 58
Optimal investment under multi-factor stochastic volatility 0 0 0 2 0 0 5 18
PORTFOLIO OPTIMIZATION IN AFFINE MODELS WITH MARKOV SWITCHING 0 0 1 2 0 0 4 9
PRICING TWO-ASSET BARRIER OPTIONS UNDER STOCHASTIC CORRELATION VIA PERTURBATION 0 1 3 7 0 1 5 18
Portfolio choice with stochastic interest rates and learning about stock return predictability 0 1 1 16 1 2 8 43
Portfolio optimization under Solvency II 0 4 13 13 2 8 22 22
Pricing a CDO on stochastically correlated underlyings 0 0 0 23 0 0 0 80
Pricing of mountain range derivatives under a principal component stochastic volatility model 0 0 0 0 0 0 1 1
Pricing two dimensional derivatives under stochastic correlation 0 0 3 20 0 1 7 64
Principal component models with stochastic mean‐reverting levels. Pricing and covariance surface improvements 0 0 0 0 0 0 0 1
RISK MANAGEMENT UNDER A FACTOR STOCHASTIC VOLATILITY MODEL 0 0 0 0 0 1 1 6
Robust multivariate portfolio choice with stochastic covariance in the presence of ambiguity 0 1 2 4 1 2 4 9
Robust portfolio choice with derivative trading under stochastic volatility 0 0 3 13 1 1 19 76
Single and Double Black-Cox: Two approaches for modelling debt restructuring 0 0 1 54 1 3 14 233
Stochastic Correlation and Volatility Mean-reversion - Empirical Motivation and Derivatives Pricing via Perturbation Theory 0 0 0 13 0 0 2 39
Stochastic covariance and dimension reduction in the pricing of basket options 0 1 2 9 6 7 8 38
Stochastic volatility models for the implied correlation index 0 2 2 2 1 5 5 5
Two asset-barrier option under stochastic volatility 0 0 0 2 0 0 1 7
Total Journal Articles 2 23 71 326 26 82 307 1,447
1 registered items for which data could not be found


Statistics updated 2020-09-04