Marcos Escobar Anel : Citation Profile


Are you Marcos Escobar Anel?

5

H index

1

i10 index

91

Citations

RESEARCH PRODUCTION:

49

Articles

5

Papers

2

Chapters

RESEARCH ACTIVITY:

   14 years (2008 - 2022). See details.
   Cites by year: 6
   Journals where Marcos Escobar Anel has often published
   Relations with other researchers
   Recent citing documents: 25.    Total self citations: 21 (18.75 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pes169
   Updated: 2022-08-06    RAS profile: 2022-04-25    
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Relations with other researchers


Works with:

Stentoft, Lars (2)

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

Is cited by:

Thérond, Pierre-Emmanuel (2)

Tiwari, Aviral (1)

Owusu Junior, Peterson (1)

Nikitopoulos-Sklibosios, Christina (1)

Shibata, Takashi (1)

Nguyen, Xuan (1)

Ballotta, Laura (1)

Stentoft, Lars (1)

Itkin, Andrey (1)

Sgro, Pasquale (1)

Charpentier, Arthur (1)

Cites to:

merton, robert (28)

LIU, JUN (24)

Christoffersen, Peter (20)

pan, jun (17)

Viceira, Luis (17)

DA FONSECA, José (13)

Munk, Claus (13)

Gnoatto, Alessandro (10)

Chen, Zhiwu (10)

Oosterlee, Cornelis (9)

Engle, Robert (9)

Main data


Where Marcos Escobar Anel has published?


Journals with more than one article published# docs
Quantitative Finance6
Applied Stochastic Models in Business and Industry4
Annals of Finance3
Applied Mathematical Finance3
Review of Derivatives Research3
International Journal of Theoretical and Applied Finance (IJTAF)3
Journal of Banking & Finance3
Risks3
JRFM2
International Journal of Financial Markets and Derivatives2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org5

Recent works citing Marcos Escobar Anel (2022 and 2021)


YearTitle of citing document
2021Multicriteria asset allocation in practice. (2021). Wenzel, Jorg ; Schirra, Florian ; Mahnkopp, Jonas ; Leoff, Elisabeth ; Grindel, Ria ; Dachert, Kerstin. In: Papers. RePEc:arx:papers:2103.10958.

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2022CBI-time-changed L\evy processes for multi-currency modeling. (2021). Szulda, Guillaume ; Gnoatto, Alessandro ; Fontana, Claudio. In: Papers. RePEc:arx:papers:2112.02440.

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2022Risk sharing in equity-linked insurance products: Stackelberg equilibrium between an insurer and a reinsurer. (2022). Havrylenko, Yevhen ; Zagst, Rudi ; Hinken, Maria. In: Papers. RePEc:arx:papers:2203.04053.

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2022Fractal Dimension Option Hedging Strategy Implementation During Turbulent Market Conditions in Developing and Developed Countries. (2022). Dickason-Koekemoer, Zandri ; Ferreira-Schenk, Sune ; Basson, L J. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2022-02-9.

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2021Time-consistency of optimal investment under smooth ambiguity. (2021). Mahayni, Antje ; Balter, Anne G ; Schweizer, Nikolaus. In: European Journal of Operational Research. RePEc:eee:ejores:v:293:y:2021:i:2:p:643-657.

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2021Optimal risk asset allocation of a loss-averse bank with partial information under inflation risk. (2021). Chen, Zheng ; Huang, Jia. In: Finance Research Letters. RePEc:eee:finlet:v:38:y:2021:i:c:s1544612319313728.

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2021Equilibrium investment strategy for a DC pension plan with learning about stock return predictability. (2021). Kang, Yuxin ; Zhang, Ling ; Shen, Yang ; Wang, Pei. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:100:y:2021:i:c:p:384-407.

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2021Fourier based methods for the management of complex life insurance products. (2021). Ballotta, Laura ; Zeineddine, Raghid ; Schmidt, Thorsten ; Eberlein, Ernst. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:101:y:2021:i:pb:p:320-341.

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2022Valuing guaranteed minimum accumulation benefits by a change of numéraire approach. (2022). Xiong, Heng ; Mamon, Rogemar ; Huang, Yiming. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:103:y:2022:i:c:p:1-26.

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2022GAS and GARCH based value-at-risk modeling of precious metals. (2022). Tiwari, Aviral ; Owusu Junior, Peterson ; Asafo-Adjei, Emmanuel ; Tweneboah, George. In: Resources Policy. RePEc:eee:jrpoli:v:75:y:2022:i:c:s0301420721004645.

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2022Foreign exchange markets: Price response and spread impact. (2022). Guhr, Thomas ; Henao-Londono, Juan C. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:589:y:2022:i:c:s0378437121008591.

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2021Quanto Pricing beyond Black–Scholes. (2021). Mittnik, Stefan ; Fink, Holger. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:14:y:2021:i:3:p:136-:d:522549.

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2022.

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2021.

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2021.

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2021.

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2021Optimal convergence trading with unobservable pricing errors. (2021). Eksi, Zehra ; Colaneri, Katia ; Altay, Suhan. In: Annals of Operations Research. RePEc:spr:annopr:v:299:y:2021:i:1:d:10.1007_s10479-020-03647-z.

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2021A collective investment problem in a stochastic volatility environment: The impact of sharing rules. (2021). Rach, Manuel ; Nguyen, Thai ; Chen, AN. In: Annals of Operations Research. RePEc:spr:annopr:v:302:y:2021:i:1:d:10.1007_s10479-021-03983-8.

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2021Optimal Bitcoin trading with inverse futures. (2021). Pan, Huifeng ; Deng, Jun ; Zou, Bin ; Zhang, Shuyu. In: Annals of Operations Research. RePEc:spr:annopr:v:304:y:2021:i:1:d:10.1007_s10479-021-04125-w.

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2022Calibration to FX triangles of the 4/2 model under the benchmark approach. (2022). Platen, Eckhard ; Grasselli, Martino ; Gnoatto, Alessandro. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:45:y:2022:i:1:d:10.1007_s10203-021-00330-1.

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2021Hierarchical Archimedean Dependence in Common Shock Models. (2021). Mulinacci, Sabrina ; Cherubini, Umberto . In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:23:y:2021:i:1:d:10.1007_s11009-020-09816-8.

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2022Multicriteria asset allocation in practice. (2022). Wenzel, Jorg ; Schirra, Florian ; Mahnkopp, Jonas ; Leoff, Elisabeth ; Grindel, Ria ; Dachert, Kerstin . In: OR Spectrum: Quantitative Approaches in Management. RePEc:spr:orspec:v:44:y:2022:i:2:d:10.1007_s00291-021-00641-0.

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2021Calibration to FX Triangles of the 4/2 Model Under the Benchmark Approach. (2021). Platen, Eckhard ; Grasselli, Martino ; Gnoatto, Alessandro. In: Working Papers. RePEc:ver:wpaper:06/2021.

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2021CBI-time-changed Lévy processes for multi-currency modeling. (2021). Szulda, Guillaume ; Gnoatto, Alessandro ; Fontana, Claudio. In: Working Papers. RePEc:ver:wpaper:14/2021.

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2021Culture and the demand for non?life insurance: Empirical evidences from middle?income and high?income economies*. (2021). Sgro, Pasquale ; Nguyen, Xuan ; Trinh, Cong Tam. In: Economics of Transition and Institutional Change. RePEc:wly:ectrin:v:29:y:2021:i:3:p:431-458.

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Works by Marcos Escobar Anel:


YearTitleTypeCited
2014Portfolio Optimization in Affine Models with Markov Switching In: Papers.
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paper7
2015PORTFOLIO OPTIMIZATION IN AFFINE MODELS WITH MARKOV SWITCHING.(2015) In: International Journal of Theoretical and Applied Finance (IJTAF).
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article
2021Closed-form portfolio optimization under GARCH models In: Papers.
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2021Decrease of capital guarantees in life insurance products: can reinsurance stop it? In: Papers.
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paper1
2022Derivatives-based portfolio decisions. An expected utility insight In: Papers.
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paper0
2022Optimal market completion through financial derivatives with applications to volatility risk In: Papers.
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paper0
2020OPTIMAL INSURANCE CONTRACTS UNDER DISTORTION RISK MEASURES WITH AMBIGUITY AVERSION In: ASTIN Bulletin.
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article2
2022Polynomial affine approach to HARA utility maximization with applications to OrnsteinUhlenbeck 4/2 models. In: Applied Mathematics and Computation.
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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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article6
2009Single and Double Black-Cox: Two approaches for modelling debt restructuring In: Economic Modelling.
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article4
2021Option pricing with conditional GARCH models In: European Journal of Operational Research.
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article2
2020Stochastic volatility models for the implied correlation index. In: Finance Research Letters.
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article0
2020Optimal fees in hedge funds with first-loss compensation In: Journal of Banking & Finance.
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article0
2020Affine multivariate GARCH models In: Journal of Banking & Finance.
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article0
2015Robust portfolio choice with derivative trading under stochastic volatility In: Journal of Banking & Finance.
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article14
2016Portfolio choice with stochastic interest rates and learning about stock return predictability In: International Review of Economics & Finance.
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article2
2019Generalized Mean-Reverting 4/2 Factor Model In: JRFM.
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article3
2021A Neural Network Monte Carlo Approximation for Expected Utility Theory In: JRFM.
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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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article3
2021Mean-Reverting 4/2 Principal Components Model. Financial Applications In: Risks.
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article0
2014A Note on the Distribution of Multivariate Brownian Extrema In: International Journal of Stochastic Analysis.
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article4
2011Pricing two dimensional derivatives under stochastic correlation In: International Journal of Financial Markets and Derivatives.
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article1
2014Barrier options in three dimensions In: International Journal of Financial Markets and Derivatives.
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article1
2012Residual Model for Future Prices In: Journal of Business Administration Research.
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article0
2015Optimal investment in multidimensional Markov-modulated affine models In: Annals of Finance.
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article1
2019Dynamic portfolio strategies under a fully correlated jump-diffusion process In: Annals of Finance.
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article0
2021Model uncertainty on commodity portfolios, the role of convenience yield In: Annals of Finance.
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article0
2020Behavioral portfolio insurance strategies In: Financial Markets and Portfolio Management.
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article3
2014Efficiently pricing double barrier derivatives in stochastic volatility models In: Review of Derivatives Research.
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article3
2016Stochastic covariance and dimension reduction in the pricing of basket options In: Review of Derivatives Research.
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2018A multivariate stochastic volatility model with applications in the foreign exchange market In: Review of Derivatives Research.
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article4
2018Optimal fee structures in hedge funds In: Journal of Asset Management.
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article1
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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article3
2022Portfolio optimization: not necessarily concave utility and constraints on wealth and allocation In: Mathematical Methods 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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2009Asymptotic behavior of maximum likelihood estimators in a branching diffusion model In: Statistical Inference for Stochastic Processes.
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article1
2008The Mathematics of Risk Transfer In: Springer Books.
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2014Closed-Form Pricing of Two-Asset Barrier Options with Stochastic Covariance In: Applied Mathematical Finance.
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2014Stochastic Correlation and Volatility Mean-reversion - Empirical Motivation and Derivatives Pricing via Perturbation Theory In: Applied Mathematical Finance.
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2017Two asset-barrier option under stochastic volatility In: Applied Mathematical Finance.
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2010Pricing a CDO on stochastically correlated underlyings In: Quantitative Finance.
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article1
2017HARA utility maximization in a Markov-switching bond–stock market In: Quantitative Finance.
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article2
2017Optimal investment under multi-factor stochastic volatility In: Quantitative Finance.
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article3
2018Robust multivariate portfolio choice with stochastic covariance in the presence of ambiguity In: Quantitative Finance.
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article7
2021Optimal investment strategy in the family of 4/2 stochastic volatility models In: Quantitative Finance.
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article1
2021Robust portfolios with commodities and stochastic interest rates In: Quantitative Finance.
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article0
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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article1
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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article1
2020The mean?reverting 4/2 stochastic volatility model: Properties and financial applications In: Applied Stochastic Models in Business and Industry.
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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
2020BEHAVIORAL PORTFOLIO CHOICE UNDER HYPERBOLIC ABSOLUTE RISK AVERSION In: International Journal of Theoretical and Applied Finance (IJTAF).
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2010PRICING CERTIFICATES UNDER ISSUER RISK In: World Scientific Book Chapters.
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