6
H index
1
i10 index
126
Citations
Marcos Escobar Anel : Citation Profile
| RESEARCH PRODUCTION: 68 Articles 10 Papers 2 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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16 years (2008 - 2024). 
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:
| Cites to:
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Main data
Where Marcos Escobar Anel has published?
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Papers / arXiv.org | 10 |
Recent works citing Marcos Escobar Anel (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2023 | Risk 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. Full description at Econpapers || Download paper |
| 2024 | Bertrand oligopoly in insurance markets with Value at Risk Constraints. (2024). Varga, Veronika ; Csaba, Kolos. In: Papers. RePEc:arx:papers:2404.17915. Full description at Econpapers || Download paper |
| 2023 | Robust consumption and portfolio choice with derivatives trading. (2023). Zhuang, YI ; Yang, Charles ; Wei, Pengyu. In: European Journal of Operational Research. RePEc:eee:ejores:v:304:y:2023:i:2:p:832-850. Full description at Econpapers || Download paper |
| 2024 | A new bivariate approach for modeling the interaction between stock volatility and interest rate: An application to S&P500 returns and options. (2024). Guizzardi, Andrea ; Dinnocenzo, Enzo ; Ballestra, Luca Vincenzo. In: European Journal of Operational Research. RePEc:eee:ejores:v:314:y:2024:i:3:p:1185-1194. Full description at Econpapers || Download paper |
| 2024 | Constructing copulas using corrected Hermite polynomial expansion for estimating cross foreign exchange volatility. (2024). Yamakami, Tomohisa ; Shiraya, Kenichiro. In: European Journal of Operational Research. RePEc:eee:ejores:v:314:y:2024:i:3:p:1195-1214. Full description at Econpapers || Download paper |
| 2024 | Robust insurance design with distortion risk measures. (2024). Jiang, Wenjun ; Boonen, Tim J. In: European Journal of Operational Research. RePEc:eee:ejores:v:316:y:2024:i:2:p:694-706. Full description at Econpapers || Download paper |
| 2023 | Robust optimal asset-liability management with mispricing and stochastic factor market dynamics. (2023). Zhang, Yumo ; Wang, Ning. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:113:y:2023:i:c:p:251-273. Full description at Econpapers || Download paper |
| 2023 | Optimal investment, consumption and life insurance purchase with learning about return predictability. (2023). Li, Baihui ; Peng, Xingchun. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:113:y:2023:i:c:p:70-95. Full description at Econpapers || Download paper |
| 2024 | A Dirichlet process mixture regression model for the analysis of competing risk events. (2024). van den Heuvel, Edwin R ; Ungolo, Francesco. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:116:y:2024:i:c:p:95-113. Full description at Econpapers || Download paper |
| 2024 | Valuing of timer path-dependent options. (2024). Yoon, Ji-Hun ; Kim, Donghyun ; Ha, Mijin. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:215:y:2024:i:c:p:208-227. Full description at Econpapers || Download paper |
| 2023 | A network analysis of the structure and dynamics of FX derivatives markets. (2023). Granados, Oscar M ; Ospina-Forero, Luis. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:615:y:2023:i:c:s0378437123001048. Full description at Econpapers || Download paper |
| 2023 | An analytical GARCH valuation model for spread options with default risk. (2023). Yin, Xunbai ; Xu, Guangli ; Tang, Dan ; Song, Shiyu. In: International Review of Economics & Finance. RePEc:eee:reveco:v:83:y:2023:i:c:p:1-20. Full description at Econpapers || Download paper |
| 2023 | . Full description at Econpapers || Download paper |
| 2023 | . Full description at Econpapers || Download paper |
| 2023 | . Full description at Econpapers || Download paper |
| 2023 | Preference robust state-dependent distortion risk measure on act space and its application in optimal decision making. (2023). Xu, Huifu ; Wang, Wei. In: Computational Management Science. RePEc:spr:comgts:v:20:y:2023:i:1:d:10.1007_s10287-023-00475-x. Full description at Econpapers || Download paper |
| 2023 | Utility maximization in a stochastic affine interest rate and CIR risk premium framework: a BSDE approach. (2023). Zhang, Yumo. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:46:y:2023:i:1:d:10.1007_s10203-022-00374-x. Full description at Econpapers || Download paper |
| 2023 | Optimal insurance under maxmin expected utility. (2023). Ghossoub, Mario ; Boonen, Tim J ; Birghila, Corina. In: Finance and Stochastics. RePEc:spr:finsto:v:27:y:2023:i:2:d:10.1007_s00780-023-00497-y. Full description at Econpapers || Download paper |
| 2023 | Ambiguity aversion: bibliometric analysis and literature review of the last 60 years. (2023). Plessner, Marco ; Meier, Fabian ; Buhren, Christoph. In: Management Review Quarterly. RePEc:spr:manrev:v:73:y:2023:i:2:d:10.1007_s11301-021-00250-9. Full description at Econpapers || Download paper |
| 2023 | Culture 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. Full description at Econpapers || Download paper |
Works by Marcos Escobar Anel:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2014 | Portfolio Optimization in Affine Models with Markov Switching In: Papers. [Full Text][Citation analysis] | paper | 7 |
| 2015 | PORTFOLIO OPTIMIZATION IN AFFINE MODELS WITH MARKOV SWITCHING.(2015) In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | article | |
| 2021 | Closed-form portfolio optimization under GARCH models In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2022 | Closed-form portfolio optimization under GARCH models.(2022) In: Operations Research Perspectives. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2021 | Decrease of capital guarantees in life insurance products: can reinsurance stop it? In: Papers. [Full Text][Citation analysis] | paper | 3 |
| 2022 | Decrease of capital guarantees in life insurance products: Can reinsurance stop it?.(2022) In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | article | |
| 2022 | Derivatives-based portfolio decisions. An expected utility insight In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2022 | Derivatives-based portfolio decisions: an expected utility insight.(2022) In: Annals of Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2022 | Optimal market completion through financial derivatives with applications to volatility risk In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2024 | Value-at-Risk constrained portfolios in incomplete markets: a dynamic programming approach to Hestons model In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2023 | Portfolio Optimization with Allocation Constraints and Stochastic Factor Market Dynamics In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2023 | Mind the Cap! -- Constrained Portfolio Optimisation in Hestons Stochastic Volatility Model In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2023 | Mind the cap!—constrained portfolio optimisation in Hestons stochastic volatility model.(2023) In: Quantitative Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2023 | Unraveling the Trade-off between Sustainability and Returns: A Multivariate Utility Analysis In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2023 | Optimal fees in hedge funds with first-loss compensation In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2020 | Optimal fees in hedge funds with first-loss compensation.(2020) In: Journal of Banking & Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2020 | OPTIMAL INSURANCE CONTRACTS UNDER DISTORTION RISK MEASURES WITH AMBIGUITY AVERSION In: ASTIN Bulletin. [Full Text][Citation analysis] | article | 8 |
| 2022 | Polynomial affine approach to HARA utility maximization with applications to OrnsteinUhlenbeck 4/2 models. In: Applied Mathematics and Computation. [Full Text][Citation analysis] | article | 1 |
| 2018 | Dynamic derivative strategies with stochastic interest rates and model uncertainty In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 9 |
| 2009 | Single and Double Black-Cox: Two approaches for modelling debt restructuring In: Economic Modelling. [Full Text][Citation analysis] | article | 4 |
| 2022 | Multivariate risk aversion utility, application to ESG investments In: The North American Journal of Economics and Finance. [Full Text][Citation analysis] | article | 1 |
| 2021 | Option pricing with conditional GARCH models In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 4 |
| 2023 | Covariance dependent kernels, a Q-affine GARCH for multi-asset option pricing In: International Review of Financial Analysis. [Full Text][Citation analysis] | article | 0 |
| 2020 | Stochastic volatility models for the implied correlation index. In: Finance Research Letters. [Full Text][Citation analysis] | article | 0 |
| 2023 | A class of portfolio optimization solvable problems In: Finance Research Letters. [Full Text][Citation analysis] | article | 0 |
| 2024 | Mean–variance optimization under affine GARCH: A utility-based solution In: Finance Research Letters. [Full Text][Citation analysis] | article | 0 |
| 2020 | Affine multivariate GARCH models In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 1 |
| 2015 | Robust portfolio choice with derivative trading under stochastic volatility In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 18 |
| 2016 | Portfolio choice with stochastic interest rates and learning about stock return predictability In: International Review of Economics & Finance. [Full Text][Citation analysis] | article | 4 |
| 2019 | Generalized Mean-Reverting 4/2 Factor Model In: JRFM. [Full Text][Citation analysis] | article | 3 |
| 2021 | A Neural Network Monte Carlo Approximation for Expected Utility Theory In: JRFM. [Full Text][Citation analysis] | article | 0 |
| In: . [Full Text][Citation analysis] | article | 0 | |
| In: . [Full Text][Citation analysis] | article | 0 | |
| In: . [Full Text][Citation analysis] | article | 0 | |
| 2023 | The SEV-SV Model—Applications in Portfolio Optimization In: Risks. [Full Text][Citation analysis] | article | 0 |
| 2024 | Robust Portfolio Optimization with Environmental, Social, and Corporate Governance Preference In: Risks. [Full Text][Citation analysis] | article | 0 |
| 2016 | A Note on the Impact of Parameter Uncertainty on Barrier Derivatives In: Risks. [Full Text][Citation analysis] | article | 0 |
| 2016 | Incorporation of Stochastic Policyholder Behavior in Analytical Pricing of GMABs and GMDBs In: Risks. [Full Text][Citation analysis] | article | 5 |
| 2021 | Mean-Reverting 4/2 Principal Components Model. Financial Applications In: Risks. [Full Text][Citation analysis] | article | 0 |
| 2014 | A Note on the Distribution of Multivariate Brownian Extrema In: International Journal of Stochastic Analysis. [Full Text][Citation analysis] | article | 4 |
| 2022 | Optimal HARA Investments with Terminal VaR Constraints In: Advances in Operations Research. [Full Text][Citation analysis] | article | 0 |
| 2011 | Pricing two dimensional derivatives under stochastic correlation In: International Journal of Financial Markets and Derivatives. [Full Text][Citation analysis] | article | 1 |
| 2014 | Barrier options in three dimensions In: International Journal of Financial Markets and Derivatives. [Full Text][Citation analysis] | article | 1 |
| 2012 | Residual Model for Future Prices In: Journal of Business Administration Research. [Full Text][Citation analysis] | article | 0 |
| 2015 | Optimal investment in multidimensional Markov-modulated affine models In: Annals of Finance. [Full Text][Citation analysis] | article | 1 |
| 2019 | Dynamic portfolio strategies under a fully correlated jump-diffusion process In: Annals of Finance. [Full Text][Citation analysis] | article | 0 |
| 2021 | Model uncertainty on commodity portfolios, the role of convenience yield In: Annals of Finance. [Full Text][Citation analysis] | article | 0 |
| 2023 | A Polynomial-Affine Approximation for Dynamic Portfolio Choice In: Computational Economics. [Full Text][Citation analysis] | article | 0 |
| 2020 | Behavioral portfolio insurance strategies In: Financial Markets and Portfolio Management. [Full Text][Citation analysis] | article | 3 |
| 2014 | Efficiently pricing double barrier derivatives in stochastic volatility models In: Review of Derivatives Research. [Full Text][Citation analysis] | article | 3 |
| 2016 | Stochastic covariance and dimension reduction in the pricing of basket options In: Review of Derivatives Research. [Full Text][Citation analysis] | article | 0 |
| 2018 | A multivariate stochastic volatility model with applications in the foreign exchange market In: Review of Derivatives Research. [Full Text][Citation analysis] | article | 6 |
| 2018 | Optimal fee structures in hedge funds In: Journal of Asset Management. [Full Text][Citation analysis] | article | 1 |
| 2011 | A General Structural Approach For Credit Modeling Under Stochastic Volatility In: Journal of Financial Transformation. [Citation analysis] | article | 0 |
| 2019 | Portfolio optimization under Solvency II In: Annals of Operations Research. [Full Text][Citation analysis] | article | 4 |
| 2022 | A dynamic programming approach to path-dependent constrained portfolios In: Annals of Operations Research. [Full Text][Citation analysis] | article | 0 |
| 2024 | The power of derivatives in portfolio optimization under affine GARCH models In: Decisions in Economics and Finance. [Full Text][Citation analysis] | article | 0 |
| 2022 | Portfolio optimization: not necessarily concave utility and constraints on wealth and allocation In: Mathematical Methods of Operations Research. [Full Text][Citation analysis] | article | 0 |
| 2013 | Default models based on scale mixtures of Marshall-Olkin copulas: properties and applications In: Metrika: International Journal for Theoretical and Applied Statistics. [Full Text][Citation analysis] | article | 9 |
| 2024 | Optimal consumption and investment in general affine GARCH models In: OR Spectrum: Quantitative Approaches in Management. [Full Text][Citation analysis] | article | 0 |
| 2009 | Asymptotic behavior of maximum likelihood estimators in a branching diffusion model In: Statistical Inference for Stochastic Processes. [Full Text][Citation analysis] | article | 1 |
| 2008 | The Mathematics of Risk Transfer In: Springer Books. [Citation analysis] | chapter | 0 |
| 2014 | Closed-Form Pricing of Two-Asset Barrier Options with Stochastic Covariance In: Applied Mathematical Finance. [Full Text][Citation analysis] | article | 0 |
| 2014 | Stochastic Correlation and Volatility Mean-reversion - Empirical Motivation and Derivatives Pricing via Perturbation Theory In: Applied Mathematical Finance. [Full Text][Citation analysis] | article | 0 |
| 2017 | Two asset-barrier option under stochastic volatility In: Applied Mathematical Finance. [Full Text][Citation analysis] | article | 1 |
| 2021 | Expected Utility Theory on General Affine GARCH Models In: Applied Mathematical Finance. [Full Text][Citation analysis] | article | 0 |
| 2010 | Pricing a CDO on stochastically correlated underlyings In: Quantitative Finance. [Full Text][Citation analysis] | article | 1 |
| 2017 | HARA utility maximization in a Markov-switching bond–stock market In: Quantitative Finance. [Full Text][Citation analysis] | article | 4 |
| 2017 | Optimal investment under multi-factor stochastic volatility In: Quantitative Finance. [Full Text][Citation analysis] | article | 4 |
| 2018 | Robust multivariate portfolio choice with stochastic covariance in the presence of ambiguity In: Quantitative Finance. [Full Text][Citation analysis] | article | 6 |
| 2021 | Optimal investment strategy in the family of 4/2 stochastic volatility models In: Quantitative Finance. [Full Text][Citation analysis] | article | 4 |
| 2021 | Robust portfolios with commodities and stochastic interest rates In: Quantitative Finance. [Full Text][Citation analysis] | article | 1 |
| 2022 | International portfolio choice under multi-factor stochastic volatility In: Quantitative Finance. [Full Text][Citation analysis] | article | 1 |
| 2023 | A multivariate 4/2 stochastic covariance model: properties and applications to portfolio decisions In: Quantitative Finance. [Full Text][Citation analysis] | article | 0 |
| In: . [Full Text][Citation analysis] | article | 0 | |
| 2013 | Pricing of mountain range derivatives under a principal component stochastic volatility model In: Applied Stochastic Models in Business and Industry. [Full Text][Citation analysis] | article | 1 |
| 2011 | RISK MANAGEMENT UNDER A FACTOR STOCHASTIC VOLATILITY MODEL In: Asia-Pacific Journal of Operational Research (APJOR). [Full Text][Citation analysis] | article | 1 |
| 2015 | PRICING TWO-ASSET BARRIER OPTIONS UNDER STOCHASTIC CORRELATION VIA PERTURBATION In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 0 |
| 2020 | BEHAVIORAL PORTFOLIO CHOICE UNDER HYPERBOLIC ABSOLUTE RISK AVERSION In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 0 |
| 2010 | PRICING CERTIFICATES UNDER ISSUER RISK In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
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