Marcos Escobar Anel : Citation Profile


Are you Marcos Escobar Anel?

4

H index

1

i10 index

41

Citations

RESEARCH PRODUCTION:

36

Articles

1

Papers

RESEARCH ACTIVITY:

   11 years (2009 - 2020). See details.
   Cites by year: 3
   Journals where Marcos Escobar Anel has often published
   Relations with other researchers
   Recent citing documents: 12.    Total self citations: 7 (14.58 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pes169
   Updated: 2020-09-14    RAS profile: 2020-07-28    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Marcos Escobar Anel.

Is cited by:

Castaneda, Pablo (1)

Shibata, Takashi (1)

Nikitopoulos-Sklibosios, Christina (1)

Schlogl, Erik (1)

Thérond, Pierre-Emmanuel (1)

Charpentier, Arthur (1)

Cites to:

merton, robert (20)

LIU, JUN (15)

Christoffersen, Peter (12)

Munk, Claus (11)

DA FONSECA, José (11)

Viceira, Luis (10)

pan, jun (9)

Chen, Zhiwu (7)

Cao, Charles (6)

Engle, Robert (5)

Tebaldi, Claudio (5)

Main data


Where Marcos Escobar Anel has published?


Journals with more than one article published# docs
Quantitative Finance4
Review of Derivatives Research3
Applied Mathematical Finance3
Applied Stochastic Models in Business and Industry3
Risks2
International Journal of Financial Markets and Derivatives2
International Journal of Theoretical and Applied Finance (IJTAF)2
Annals of Finance2

Recent works citing Marcos Escobar Anel (2020 and 2019)


YearTitle of citing document
2019Horizon-unbiased Investment with Ambiguity. (2019). Zhou, Chao ; Sun, Xianming ; Lin, Qian. In: Papers. RePEc:arx:papers:1904.09379.

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2019Portfolio liquidation under factor uncertainty. (2019). Zhou, Chao ; Xia, Xiaonyu ; Horst, Ulrich. In: Papers. RePEc:arx:papers:1909.00748.

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2019Optimal Convergence Trading with Unobservable Pricing Errors. (2019). Eksi, Zehra ; Colaneri, Katia ; Altay, Suhan. In: Papers. RePEc:arx:papers:1910.01438.

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2020Robust portfolio optimization with multi-factor stochastic volatility. (2019). Zhu, Song-Ping ; Ma, Guiyuan ; Lu, Xiaoping ; Yang, Ben-Zhang. In: Papers. RePEc:arx:papers:1910.06872.

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2019Suboptimal investment behavior and welfare costs: A simulation based approach. (2019). Reus, Lorenzo ; Castaeda, Pablo . In: Finance Research Letters. RePEc:eee:finlet:v:30:y:2019:i:c:p:170-180.

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2019Reinsurance contract design when the insurer is ambiguity-averse. (2019). Wang, Hailong ; Hu, Duni. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:86:y:2019:i:c:p:241-255.

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2019A finite difference scheme for variational inequalities arising in stochastic control problems with several singular control variables. (2019). Yoshioka, Hidekazu ; Yaegashi, Yuta. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:156:y:2019:i:c:p:40-66.

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2019Barrier option pricing of mean-reverting stock model in uncertain environment. (2019). Zhang, YI ; Yang, Xiangfeng ; Tian, Miao. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:166:y:2019:i:c:p:126-143.

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2019Modelling net carrying amount of shares for market consistent valuation of life insurance liabilities. (2019). Therond, Pierre-Emmanuel ; Salhi, Yahia ; Dorobantu, Diana. In: Post-Print. RePEc:hal:journl:hal-01840057.

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2020Robust portfolio optimization: a categorized bibliographic review. (2020). Steuer, Ralph ; Xidonas, Panos ; Hassapis, Christis. In: Annals of Operations Research. RePEc:spr:annopr:v:292:y:2020:i:1:d:10.1007_s10479-020-03630-8.

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2020Robust Portfolio Optimization with Multi-Factor Stochastic Volatility. (2020). Yang, Ben-Zhang ; Zhu, Song-Ping ; Ma, Guiyuan ; Lu, Xiaoping. In: Journal of Optimization Theory and Applications. RePEc:spr:joptap:v:186:y:2020:i:1:d:10.1007_s10957-020-01687-w.

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2019Interest rate risk in long‐dated commodity options positions: To hedge or not to hedge?. (2019). Schlogl, Erik ; Nikitopoulos-Sklibosios, Christina ; Cheng, Benjamin. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:1:p:109-127.

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Works by Marcos Escobar Anel:


YearTitleTypeCited
2014Portfolio Optimization in Affine Models with Markov Switching In: Papers.
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2015PORTFOLIO OPTIMIZATION IN AFFINE MODELS WITH MARKOV SWITCHING.(2015) In: International Journal of Theoretical and Applied Finance (IJTAF).
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article
2020OPTIMAL INSURANCE CONTRACTS UNDER DISTORTION RISK MEASURES WITH AMBIGUITY AVERSION In: ASTIN Bulletin.
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article0
2018Dynamic derivative strategies with stochastic interest rates and model uncertainty In: Journal of Economic Dynamics and Control.
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article3
2009Single and Double Black-Cox: Two approaches for modelling debt restructuring In: Economic Modelling.
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article3
2020Stochastic volatility models for the implied correlation index. In: Finance Research Letters.
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article0
2015Robust portfolio choice with derivative trading under stochastic volatility In: Journal of Banking & Finance.
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article11
2016Portfolio choice with stochastic interest rates and learning about stock return predictability In: International Review of Economics & Finance.
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article1
2019Generalized Mean-Reverting 4/2 Factor Model In: Journal of Risk and Financial Management.
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article0
2016A Note on the Impact of Parameter Uncertainty on Barrier Derivatives In: Risks.
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article0
2016Incorporation of Stochastic Policyholder Behavior in Analytical Pricing of GMABs and GMDBs In: Risks.
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article1
2014A Note on the Distribution of Multivariate Brownian Extrema In: International Journal of Stochastic Analysis.
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article2
2011Pricing two dimensional derivatives under stochastic correlation In: International Journal of Financial Markets and Derivatives.
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article0
2014Barrier options in three dimensions In: International Journal of Financial Markets and Derivatives.
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article1
2015Optimal investment in multidimensional Markov-modulated affine models In: Annals of Finance.
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article0
2019Dynamic portfolio strategies under a fully correlated jump-diffusion process In: Annals of Finance.
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article0
Behavioral portfolio insurance strategies In: Financial Markets and Portfolio Management.
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article0
2014Efficiently pricing double barrier derivatives in stochastic volatility models In: Review of Derivatives Research.
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article2
2016Stochastic covariance and dimension reduction in the pricing of basket options In: Review of Derivatives Research.
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article0
2018A multivariate stochastic volatility model with applications in the foreign exchange market In: Review of Derivatives Research.
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2018Optimal fee structures in hedge funds In: Journal of Asset Management.
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article0
2011A General Structural Approach For Credit Modeling Under Stochastic Volatility In: Journal of Financial Transformation.
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article0
2019Portfolio optimization under Solvency II In: Annals of Operations Research.
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article0
2013Default models based on scale mixtures of Marshall-Olkin copulas: properties and applications In: Metrika: International Journal for Theoretical and Applied Statistics.
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article5
2009Asymptotic behavior of maximum likelihood estimators in a branching diffusion model In: Statistical Inference for Stochastic Processes.
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article0
2014Closed-Form Pricing of Two-Asset Barrier Options with Stochastic Covariance In: Applied Mathematical Finance.
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article0
2014Stochastic Correlation and Volatility Mean-reversion - Empirical Motivation and Derivatives Pricing via Perturbation Theory In: Applied Mathematical Finance.
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article0
2017Two asset-barrier option under stochastic volatility In: Applied Mathematical Finance.
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article0
2010Pricing a CDO on stochastically correlated underlyings In: Quantitative Finance.
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article0
2017HARA utility maximization in a Markov-switching bond–stock market In: Quantitative Finance.
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article0
2017Optimal investment under multi-factor stochastic volatility In: Quantitative Finance.
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article0
2018Robust multivariate portfolio choice with stochastic covariance in the presence of ambiguity In: Quantitative Finance.
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article5
2011An intensity‐based approach for equity modeling In: Applied Stochastic Models in Business and Industry.
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article0
2013Pricing of mountain range derivatives under a principal component stochastic volatility model In: Applied Stochastic Models in Business and Industry.
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2016Principal component models with stochastic mean‐reverting levels. Pricing and covariance surface improvements In: Applied Stochastic Models in Business and Industry.
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article0
2011RISK MANAGEMENT UNDER A FACTOR STOCHASTIC VOLATILITY MODEL In: Asia-Pacific Journal of Operational Research (APJOR).
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article1
2015PRICING TWO-ASSET BARRIER OPTIONS UNDER STOCHASTIC CORRELATION VIA PERTURBATION In: International Journal of Theoretical and Applied Finance (IJTAF).
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article0

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