Marcos Escobar Anel : Citation Profile

6

H index

2

i10 index

162

Citations

RESEARCH PRODUCTION:

83

Articles

10

Papers

2

Chapters

RESEARCH ACTIVITY:

   17 years (2008 - 2025). See details.
   Cites by year: 9
   Journals where Marcos Escobar Anel has often published
   Relations with other researchers
   Recent citing documents: 43.    Total self citations: 40 (19.8 %)

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   Permalink: http://citec.repec.org/pes169
   Updated: 2025-07-12    RAS profile: 2025-03-14    
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Relations with other researchers

Works with:

Stentoft, Lars (5)

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

Is cited by:

Mulinacci, Sabrina (6)

Gnoatto, Alessandro (4)

Ballestra, Luca Vincenzo (3)

Brusov, Peter (2)

Thérond, Pierre-Emmanuel (2)

Platen, Eckhard (2)

Mittnik, Stefan (1)

Castaneda, Pablo (1)

Kouwenberg, Roy (1)

Charpentier, Arthur (1)

Stentoft, Lars (1)

Cites to:

merton, robert (50)

LIU, JUN (43)

Viceira, Luis (36)

pan, jun (32)

Campbell, John (20)

Munk, Claus (15)

DA FONSECA, José (13)

Bollerslev, Tim (13)

Chen, Zhiwu (13)

Oosterlee, Cornelis (12)

Cao, Charles (12)

Main data

Where Marcos Escobar Anel has published?

Journals with more than one article published# docs
Quantitative Finance9
Finance Research Letters5
Risks5
Applied Stochastic Models in Business and Industry4
Applied Mathematical Finance4
Annals of Finance4
International Journal of Theoretical and Applied Finance (IJTAF)3
Mathematics3
Review of Derivatives Research3
Journal of Banking & Finance3
JRFM3
Decisions in Economics and Finance3
International Journal of Financial Markets and Derivatives2
Journal of Computational Finance2
The North American Journal of Economics and Finance2
Operations Research Perspectives2
Annals of Operations Research2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org10

Recent works citing Marcos Escobar Anel (2025 and 2024)

YearTitle of citing document
2024Bertrand oligopoly in insurance markets with Value at Risk Constraints. (2024). Agoston, Kolos ; Varga, Veronika ; Csaba, Kolos. In: Papers. RePEc:arx:papers:2404.17915.

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2024On the valuation of life insurance policies for dependent coupled lives. (2024). Zeineddine, Raghid ; Pamen, Olivier Menoukeu ; Henshaw, Kira. In: Papers. RePEc:arx:papers:2410.11849.

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2024Many-insurer robust games of reinsurance and investment under model uncertainty in incomplete markets. (2024). Xia, YI ; Liang, Zongxia ; Guan, Guohui. In: Papers. RePEc:arx:papers:2412.09157.

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2024Robust mean-variance stochastic differential reinsurance and investment games under volatility risk and model uncertainty. (2024). Xia, YI ; Guan, Guohui ; Liang, Zongxia. In: Papers. RePEc:arx:papers:2412.09171.

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2025Multivariate Affine GARCH with Heavy Tails: A Unified Framework for Portfolio Optimization and Option Valuation. (2025). Fabozzi, Frank J ; Rachev, Svetlozar T ; Jha, Ayush ; Shirvani, Abootaleb ; Jaffri, Ali. In: Papers. RePEc:arx:papers:2505.12198.

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2025A generalized constant elasticity of volatility and correlation ratio (CEVC) model: Empirical evidence and application for portfolio optimization. (2025). Escobar-Anel, Marcos. In: Economic Modelling. RePEc:eee:ecmode:v:147:y:2025:i:c:s0264999325000343.

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2024Pricing exchange options under stochastic correlation. (2024). Olivares, Pablo ; Villamor, Enrique. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:73:y:2024:i:c:s1062940824000780.

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2024Valuing three-asset barrier options and autocallable products via exit probabilities of Brownian bridge. (2024). Lee, Minha ; Ha, Hongjun ; Kong, Byungdoo. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:73:y:2024:i:c:s1062940824000998.

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2024Climate risk and corporate ESG performance: Evidence from China. (2024). Yin, Zhujia ; Deng, Rantian ; Zhao, Lili ; Xia, Jiejin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001700.

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2025Who is smarter? Evidence from extreme financial risk contagion in hedge funds and mutual funds. (2025). Fu, Xinxin ; Luo, Changqing ; Dong, Liang ; Chen, Carl R. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:75:y:2025:i:pa:s1062940824002080.

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2025Active portfolio management in the face of ESG uncertainty: An agile framework for adaptive investment strategies. (2025). Li, Junxue ; Wen, Limin ; Zhang, YI ; Sheng, Jiliang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:75:y:2025:i:pa:s1062940824002201.

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2025Impact of government’s support policy on decision-making of platform participants under ESG. (2025). Fei, Chen ; Li, Renzhong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:75:y:2025:i:pa:s1062940824002286.

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2024A new bivariate approach for modeling the interaction between stock volatility and interest rate: An application to S&P500 returns and options. (2024). Guizzardi, Andrea ; Ballestra, Luca Vincenzo ; Dinnocenzo, Enzo. In: European Journal of Operational Research. RePEc:eee:ejores:v:314:y:2024:i:3:p:1185-1194.

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2024Constructing 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.

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2024Robust 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.

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2024Investment–consumption optimization with transaction cost and learning about return predictability. (2024). Siu, Tak Kuen ; Wang, Ning. In: European Journal of Operational Research. RePEc:eee:ejores:v:318:y:2024:i:3:p:877-891.

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2025Pareto-optimal insurance under robust distortion risk measures. (2025). Boonen, Tim J ; Jiang, Wenjun. In: European Journal of Operational Research. RePEc:eee:ejores:v:324:y:2025:i:2:p:690-705.

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2024Persistent and transient variance components in option pricing models with variance-dependent Kernel. (2024). Ghanbari, Hamed. In: Journal of Empirical Finance. RePEc:eee:empfin:v:79:y:2024:i:c:s0927539824000665.

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2024Fee structure and equity fund manager’s optimal locking in profits strategy. (2024). Dickinson, David ; Zhan, Yaosong ; Liu, Zhenya. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pa:s105752192400543x.

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2025Can ESG performance shape dynamic risk spillovers? Evidence from Chinese carbon and equity markets. (2025). Ren, Qiming ; Kaakeh, Mohamad ; Chen, Zhang-Hangjian ; Koedijk, Kees G ; Gao, Xiang. In: Finance Research Letters. RePEc:eee:finlet:v:72:y:2025:i:c:s1544612324015769.

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2024A Dirichlet process mixture regression model for the analysis of competing risk events. (2024). Ungolo, Francesco ; van den Heuvel, Edwin R. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:116:y:2024:i:c:p:95-113.

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2024Robust asset-liability management games for n players under multivariate stochastic covariance models. (2024). Zhang, Yumo ; Wang, Ning. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:117:y:2024:i:c:p:67-98.

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2025Robust Nash equilibrium for defined contribution pension games with delay under multivariate stochastic covariance models. (2025). Zhang, Yumo ; Zhu, Huainian. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:120:y:2025:i:c:p:236-268.

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2025Distributionally robust insurance under the Wasserstein distance. (2025). Boonen, Tim J ; Jiang, Wenjun. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:120:y:2025:i:c:p:61-78.

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2024Valuing of timer path-dependent options. (2024). Ha, Mijin ; Yoon, Ji-Hun ; Kim, Donghyun. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:215:y:2024:i:c:p:208-227.

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2025Robust non-zero-sum investment–consumption games under multivariate stochastic covariance models. (2025). Zhang, Yumo ; Zhu, Huainian. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:100:y:2025:i:c:s1062976924001558.

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2025High-dimensional multi-period portfolio allocation using deep reinforcement learning. (2025). Olmo, Jose ; Atwi, Majed ; Jiang, Yifu. In: International Review of Economics & Finance. RePEc:eee:reveco:v:98:y:2025:i:c:s1059056025001595.

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2024Volatility transmission in the property market during two inflationary periods: The 2008–2009 global financial crisis and the COVID-19 crisis. (2024). Asiri, Maram S ; Hasan, Fakhrul ; Aljohani, Bader M ; Fadul, Abubaker ; Alkhathami, Abdulrahman D. In: Research in International Business and Finance. RePEc:eee:riibaf:v:70:y:2024:i:pb:s027553192400206x.

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2025Catastrophe insurance decision making when the science is uncertain. (2025). Bradley, Richard. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:122339.

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2024Catastrophe insurance decision making when the science is uncertain. (2024). Bradley, Richard. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:122508.

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2024Extended Least Squares Making Evident Nonlinear Relationships between Variables: Portfolios of Financial Assets. (2024). Angelini, Pierpaolo. In: JRFM. RePEc:gam:jjrfmx:v:17:y:2024:i:8:p:336-:d:1448656.

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2024Optimal Investment for Defined-Contribution Pension Plans with the Return of Premium Clause under Partial Information. (2024). Liu, Zilan ; Wang, Yijun ; Huang, YA ; Zhang, Huanying. In: Mathematics. RePEc:gam:jmathe:v:12:y:2024:i:13:p:2130-:d:1430410.

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2024A Hybrid Forecasting System Based on Comprehensive Feature Selection and Intelligent Optimization for Stock Price Index Forecasting. (2024). Wang, Jujie ; He, Xuecheng. In: Mathematics. RePEc:gam:jmathe:v:12:y:2024:i:23:p:3778-:d:1533310.

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2025Exploring the Principle of Multi-Dimensional Risk Analysis and a Case Study in Two-Dimensional Risk. (2025). Huang, Yundong. In: Risks. RePEc:gam:jrisks:v:13:y:2025:i:4:p:79-:d:1639000.

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2024Assessing insurer guarantee cover and risk retention toward SDG 3: a structure-break down-and-out call valuation. (2024). Xie, Yuxin ; Lin, Jyh-Horng ; Chiu, Shiu-Chieh. In: Palgrave Communications. RePEc:pal:palcom:v:11:y:2024:i:1:d:10.1057_s41599-024-03866-w.

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2024Predicting the volatility of Chinese stock indices based on realized recurrent conditional heteroskedasticity. (2024). Zhao, Huanyu ; Zhang, Gongtao ; Fan, Rujie. In: PLOS ONE. RePEc:plo:pone00:0308967.

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2024Black-scholes approximation of warrant prices: slight return in a low interest rate environment. (2024). Bertrand, Philippe. In: Annals of Operations Research. RePEc:spr:annopr:v:334:y:2024:i:1:d:10.1007_s10479-022-04622-6.

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2024CBI-time-changed Lévy processes for multi-currency modeling. (2024). Szulda, Guillaume ; Gnoatto, Alessandro ; Fontana, Claudio. In: Annals of Operations Research. RePEc:spr:annopr:v:336:y:2024:i:1:d:10.1007_s10479-022-04982-z.

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2025Value-at-risk constrained portfolios in incomplete markets: a dynamic programming approach to Heston’s model. (2025). Zagst, Rudi ; Havrylenko, Yevhen ; Escobar-Anel, Marcos. In: Annals of Operations Research. RePEc:spr:annopr:v:347:y:2025:i:3:d:10.1007_s10479-024-06390-x.

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2025Volatility forecasting: a new GARCH-type model for fuzzy sets-valued time series. (2025). Dai, Xingyu ; Cerqueti, Roy ; Wang, Qunwei ; Xiao, Ling. In: Annals of Operations Research. RePEc:spr:annopr:v:348:y:2025:i:1:d:10.1007_s10479-023-05746-z.

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2024Deterministic modelling of implied volatility in cryptocurrency options with underlying multiple resolution momentum indicator and non-linear machine learning regression algorithm. (2024). Djeng, S K ; Law, M ; Leung, F. In: Financial Innovation. RePEc:spr:fininn:v:10:y:2024:i:1:d:10.1186_s40854-024-00631-5.

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2024How nonlinear benchmark in delegation contract can affect asset price and price informativeness. (2024). Yang, Yanyan ; Sheng, Jiliang ; Wang, Xiaoting. In: Economic Theory. RePEc:spr:joecth:v:78:y:2024:i:4:d:10.1007_s00199-024-01573-w.

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2024Portfolio Selection with Contrarian Strategy. (2024). Lu, Zhichao ; Xu, Yuhong ; Zhang, Wenxin ; Pang, Peiyuan. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:26:y:2024:i:2:d:10.1007_s11009-024-10085-y.

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Works by Marcos Escobar Anel:

YearTitleTypeCited
2014Portfolio Optimization in Affine Models with Markov Switching In: Papers.
[Full Text][Citation analysis]		paper7
2015PORTFOLIO 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
2021Closed-form portfolio optimization under GARCH models In: Papers.
[Full Text][Citation analysis]		paper0
2022Closed-form portfolio optimization under GARCH models.(2022) In: Operations Research Perspectives.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		article
2021Decrease of capital guarantees in life insurance products: can reinsurance stop it? In: Papers.
[Full Text][Citation analysis]		paper3
2022Decrease 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
2022Derivatives-based portfolio decisions. An expected utility insight In: Papers.
[Full Text][Citation analysis]		paper0
2022Derivatives-based portfolio decisions: an expected utility insight.(2022) In: Annals of Finance.
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This paper has nother version. Agregated cites: 0		article
2022Optimal market completion through financial derivatives with applications to volatility risk In: Papers.
[Full Text][Citation analysis]		paper0
2024Optimal Market Completion through Financial Derivatives with Applications to Volatility Risk.(2024) In: JRFM.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		article
2024Value-at-Risk constrained portfolios in incomplete markets: a dynamic programming approach to Hestons model In: Papers.
[Full Text][Citation analysis]		paper0
2023Portfolio Optimization with Allocation Constraints and Stochastic Factor Market Dynamics In: Papers.
[Full Text][Citation analysis]		paper0
2023Mind the Cap! -- Constrained Portfolio Optimisation in Hestons Stochastic Volatility Model In: Papers.
[Full Text][Citation analysis]		paper0
2023Mind the cap!—constrained portfolio optimisation in Hestons stochastic volatility model.(2023) In: Quantitative Finance.
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This paper has nother version. Agregated cites: 0		article
2023Unraveling the Trade-off between Sustainability and Returns: A Multivariate Utility Analysis In: Papers.
[Full Text][Citation analysis]		paper0
2023Optimal fees in hedge funds with first-loss compensation In: Papers.
[Full Text][Citation analysis]		paper2
2020Optimal 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: 2		article
2020OPTIMAL INSURANCE CONTRACTS UNDER DISTORTION RISK MEASURES WITH AMBIGUITY AVERSION In: ASTIN Bulletin.
[Full Text][Citation analysis]		article11
2022Polynomial affine approach to HARA utility maximization with applications to OrnsteinUhlenbeck 4/2 models. In: Applied Mathematics and Computation.
[Full Text][Citation analysis]		article0
2018Dynamic derivative strategies with stochastic interest rates and model uncertainty In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article9
2009Single and Double Black-Cox: Two approaches for modelling debt restructuring In: Economic Modelling.
[Full Text][Citation analysis]		article4
2022Multivariate risk aversion utility, application to ESG investments In: The North American Journal of Economics and Finance.
[Full Text][Citation analysis]		article5
2025Multivariate Affine GARCH in portfolio optimization. Analytical solutions and applications In: The North American Journal of Economics and Finance.
[Full Text][Citation analysis]		article1
2021Option pricing with conditional GARCH models In: European Journal of Operational Research.
[Full Text][Citation analysis]		article6
2023Covariance dependent kernels, a Q-affine GARCH for multi-asset option pricing In: International Review of Financial Analysis.
[Full Text][Citation analysis]		article1
2020Stochastic volatility models for the implied correlation index. In: Finance Research Letters.
[Full Text][Citation analysis]		article0
2023A class of portfolio optimization solvable problems In: Finance Research Letters.
[Full Text][Citation analysis]		article1
2024Mean–variance optimization under affine GARCH: A utility-based solution In: Finance Research Letters.
[Full Text][Citation analysis]		article0
2024Not all VIXs are (Informationally) equal: Evidence from affine GARCH option pricing models In: Finance Research Letters.
[Full Text][Citation analysis]		article0
2025The shifted GARCH model with affine variance: Applications in pricing In: Finance Research Letters.
[Full Text][Citation analysis]		article0
2020Affine multivariate GARCH models In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article3
2015Robust portfolio choice with derivative trading under stochastic volatility In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article20
2024Do jumps matter in discrete-time portfolio optimization? In: Operations Research Perspectives.
[Full Text][Citation analysis]		article0
2016Portfolio choice with stochastic interest rates and learning about stock return predictability In: International Review of Economics & Finance.
[Full Text][Citation analysis]		article6
2024Unraveling the relationship between sustainability and returns: a multi-attribute utility analysis In: China Finance Review International.
[Full Text][Citation analysis]		article1
2025Data-Based Parametrization for Affine GARCH Models Across Multiple Time Scales—Roughness Implications In: Econometrics.
[Full Text][Citation analysis]		article0
2019Generalized Mean-Reverting 4/2 Factor Model In: JRFM.
[Full Text][Citation analysis]		article3
2021A Neural Network Monte Carlo Approximation for Expected Utility Theory In: JRFM.
[Full Text][Citation analysis]		article0
2023Optimal Consumption and Robust Portfolio Choice for the 3/2 and 4/2 Stochastic Volatility Models In: Mathematics.
[Full Text][Citation analysis]		article0
2024Bayesian Learning in an Affine GARCH Model with Application to Portfolio Optimization In: Mathematics.
[Full Text][Citation analysis]		article0
2024Robust Portfolio Choice under the Modified Constant Elasticity of Variance In: Mathematics.
[Full Text][Citation analysis]		article0
2023The SEV-SV Model—Applications in Portfolio Optimization In: Risks.
[Full Text][Citation analysis]		article0
2024Robust Portfolio Optimization with Environmental, Social, and Corporate Governance Preference In: Risks.
[Full Text][Citation analysis]		article0
2016A Note on the Impact of Parameter Uncertainty on Barrier Derivatives In: Risks.
[Full Text][Citation analysis]		article0
2016Incorporation of Stochastic Policyholder Behavior in Analytical Pricing of GMABs and GMDBs In: Risks.
[Full Text][Citation analysis]		article5
2021Mean-Reverting 4/2 Principal Components Model. Financial Applications In: Risks.
[Full Text][Citation analysis]		article0
2014A Note on the Distribution of Multivariate Brownian Extrema In: International Journal of Stochastic Analysis.
[Full Text][Citation analysis]		article4
2022Optimal HARA Investments with Terminal VaR Constraints In: Advances in Operations Research.
[Full Text][Citation analysis]		article0
2011Pricing two dimensional derivatives under stochastic correlation In: International Journal of Financial Markets and Derivatives.
[Full Text][Citation analysis]		article2
2014Barrier options in three dimensions In: International Journal of Financial Markets and Derivatives.
[Full Text][Citation analysis]		article1
2012Residual Model for Future Prices In: Journal of Business Administration Research.
[Full Text][Citation analysis]		article0
2015Optimal investment in multidimensional Markov-modulated affine models In: Annals of Finance.
[Full Text][Citation analysis]		article1
2019Dynamic portfolio strategies under a fully correlated jump-diffusion process In: Annals of Finance.
[Full Text][Citation analysis]		article0
2021Model uncertainty on commodity portfolios, the role of convenience yield In: Annals of Finance.
[Full Text][Citation analysis]		article1
2023A Polynomial-Affine Approximation for Dynamic Portfolio Choice In: Computational Economics.
[Full Text][Citation analysis]		article0
2020Behavioral portfolio insurance strategies In: Financial Markets and Portfolio Management.
[Full Text][Citation analysis]		article3
2014Efficiently pricing double barrier derivatives in stochastic volatility models In: Review of Derivatives Research.
[Full Text][Citation analysis]		article3
2016Stochastic covariance and dimension reduction in the pricing of basket options In: Review of Derivatives Research.
[Full Text][Citation analysis]		article0
2018A multivariate stochastic volatility model with applications in the foreign exchange market In: Review of Derivatives Research.
[Full Text][Citation analysis]		article7
2018Optimal fee structures in hedge funds In: Journal of Asset Management.
[Full Text][Citation analysis]		article2
2011A General Structural Approach For Credit Modeling Under Stochastic Volatility In: Journal of Financial Transformation.
[Citation analysis]		article0
Pricing of spread options on stochastically correlated underlyings In: Journal of Computational Finance.
[Full Text][Citation analysis]		article0
Pricing multiple barrier derivatives under stochastic volatility In: Journal of Computational Finance.
[Full Text][Citation analysis]		article0
Impact of factor models on portfolio risk measures: a structural approach In: Journal of Credit Risk.
[Full Text][Citation analysis]		article0
2019Portfolio optimization under Solvency II In: Annals of Operations Research.
[Full Text][Citation analysis]		article5
2022A dynamic programming approach to path-dependent constrained portfolios In: Annals of Operations Research.
[Full Text][Citation analysis]		article1
2023Revisiting the 1/N-strategy: a neural network framework for optimal strategies In: Decisions in Economics and Finance.
[Full Text][Citation analysis]		article0
2023Correction: Revisiting the 1/N-strategy: a neural network framework for optimal strategies In: Decisions in Economics and Finance.
[Full Text][Citation analysis]		article0
2024The power of derivatives in portfolio optimization under affine GARCH models In: Decisions in Economics and Finance.
[Full Text][Citation analysis]		article0
2022Portfolio optimization: not necessarily concave utility and constraints on wealth and allocation In: Mathematical Methods of Operations Research.
[Full Text][Citation analysis]		article0
2013Default 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]		article9
2024Optimal consumption and investment in general affine GARCH models In: OR Spectrum: Quantitative Approaches in Management.
[Full Text][Citation analysis]		article0
2009Asymptotic behavior of maximum likelihood estimators in a branching diffusion model In: Statistical Inference for Stochastic Processes.
[Full Text][Citation analysis]		article1
2008The Mathematics of Risk Transfer In: Springer Books.
[Citation analysis]		chapter0
2014Closed-Form Pricing of Two-Asset Barrier Options with Stochastic Covariance In: Applied Mathematical Finance.
[Full Text][Citation analysis]		article0
2014Stochastic Correlation and Volatility Mean-reversion - Empirical Motivation and Derivatives Pricing via Perturbation Theory In: Applied Mathematical Finance.
[Full Text][Citation analysis]		article0
2017Two asset-barrier option under stochastic volatility In: Applied Mathematical Finance.
[Full Text][Citation analysis]		article2
2021Expected Utility Theory on General Affine GARCH Models In: Applied Mathematical Finance.
[Full Text][Citation analysis]		article0
2010Pricing a CDO on stochastically correlated underlyings In: Quantitative Finance.
[Full Text][Citation analysis]		article1
2017HARA utility maximization in a Markov-switching bond–stock market In: Quantitative Finance.
[Full Text][Citation analysis]		article4
2017Optimal investment under multi-factor stochastic volatility In: Quantitative Finance.
[Full Text][Citation analysis]		article6
2018Robust multivariate portfolio choice with stochastic covariance in the presence of ambiguity In: Quantitative Finance.
[Full Text][Citation analysis]		article6
2021Optimal investment strategy in the family of 4/2 stochastic volatility models In: Quantitative Finance.
[Full Text][Citation analysis]		article6
2021Robust portfolios with commodities and stochastic interest rates In: Quantitative Finance.
[Full Text][Citation analysis]		article1
2022International portfolio choice under multi-factor stochastic volatility In: Quantitative Finance.
[Full Text][Citation analysis]		article1
2023A multivariate 4/2 stochastic covariance model: properties and applications to portfolio decisions In: Quantitative Finance.
[Full Text][Citation analysis]		article3
2022Portfolio optimization with wealth-dependent risk constraints In: Scandinavian Actuarial Journal.
[Full Text][Citation analysis]		article0
2011An intensity‐based approach for equity modeling In: Applied Stochastic Models in Business and Industry.
[Full Text][Citation analysis]		article0
2013Pricing of mountain range derivatives under a principal component stochastic volatility model In: Applied Stochastic Models in Business and Industry.
[Full Text][Citation analysis]		article1
2016Principal component models with stochastic mean‐reverting levels. Pricing and covariance surface improvements In: Applied Stochastic Models in Business and Industry.
[Full Text][Citation analysis]		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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2015PRICING TWO-ASSET BARRIER OPTIONS UNDER STOCHASTIC CORRELATION VIA PERTURBATION In: International Journal of Theoretical and Applied Finance (IJTAF).
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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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