Marcos Escobar Anel : Citation Profile


Are you Marcos Escobar Anel?

6

H index

1

i10 index

126

Citations

RESEARCH PRODUCTION:

68

Articles

10

Papers

2

Chapters

RESEARCH ACTIVITY:

   16 years (2008 - 2024). See details.
   Cites by year: 7
   Journals where Marcos Escobar Anel has often published
   Relations with other researchers
   Recent citing documents: 29.    Total self citations: 34 (21.25 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pes169
   Updated: 2024-11-04    RAS profile: 2024-09-06    
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Relations with other researchers


Works with:

Stentoft, Lars (3)

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

Is cited by:

Gnoatto, Alessandro (4)

Thérond, Pierre-Emmanuel (2)

Platen, Eckhard (2)

Brusov, Peter (2)

Sgro, Pasquale (1)

Stentoft, Lars (1)

Mittnik, Stefan (1)

Castaneda, Pablo (1)

Gaspar, Raquel (1)

Owusu Junior, Peterson (1)

Shibata, Takashi (1)

Cites to:

merton, robert (45)

LIU, JUN (36)

Viceira, Luis (29)

pan, jun (26)

Munk, Claus (15)

Campbell, John (14)

Chen, Zhiwu (13)

DA FONSECA, José (13)

Cao, Charles (12)

Oosterlee, Cornelis (12)

Engle, Robert (11)

Main data


Where Marcos Escobar Anel has published?


Journals with more than one article published# docs
Quantitative Finance9
Risks5
Applied Mathematical Finance4
Annals of Finance4
Journal of Banking & Finance3
Finance Research Letters3
Review of Derivatives Research3
International Journal of Theoretical and Applied Finance (IJTAF)3
Mathematics3
JRFM2
Annals of Operations Research2
International Journal of Financial Markets and Derivatives2

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

Recent works citing Marcos Escobar Anel (2024 and 2023)


YearTitle of citing document
2023Risk 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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2024Bertrand oligopoly in insurance markets with Value at Risk Constraints. (2024). Varga, Veronika ; Csaba, Kolos. In: Papers. RePEc:arx:papers:2404.17915.

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2023Robust 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.

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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 ; Dinnocenzo, Enzo ; Ballestra, Luca Vincenzo. 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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2023Robust 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.

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2023Optimal 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.

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2024A 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.

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2024Valuing 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.

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2023A 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.

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2023An 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.

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2023.

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2023.

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2023.

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2023Preference 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.

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2023Utility 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.

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2023Optimal 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.

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2023Ambiguity 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.

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2023Culture 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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2015PORTFOLIO OPTIMIZATION IN AFFINE MODELS WITH MARKOV SWITCHING.(2015) In: International Journal of Theoretical and Applied Finance (IJTAF).
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This paper has nother version. Agregated cites: 7
article
2021Closed-form portfolio optimization under GARCH models In: Papers.
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2022Closed-form portfolio optimization under GARCH models.(2022) In: Operations Research Perspectives.
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This paper has nother version. Agregated cites: 0
article
2021Decrease of capital guarantees in life insurance products: can reinsurance stop it? In: Papers.
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paper3
2022Decrease of capital guarantees in life insurance products: Can reinsurance stop it?.(2022) In: Insurance: Mathematics and Economics.
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This paper has nother version. Agregated cites: 3
article
2022Derivatives-based portfolio decisions. An expected utility insight In: Papers.
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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.
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2024Value-at-Risk constrained portfolios in incomplete markets: a dynamic programming approach to Hestons model In: Papers.
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2023Portfolio Optimization with Allocation Constraints and Stochastic Factor Market Dynamics In: Papers.
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2023Mind the Cap! -- Constrained Portfolio Optimisation in Hestons Stochastic Volatility Model In: Papers.
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2023Mind the cap!—constrained portfolio optimisation in Hestons stochastic volatility model.(2023) In: Quantitative Finance.
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article
2023Unraveling the Trade-off between Sustainability and Returns: A Multivariate Utility Analysis In: Papers.
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2023Optimal fees in hedge funds with first-loss compensation In: Papers.
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2020Optimal fees in hedge funds with first-loss compensation.(2020) In: Journal of Banking & Finance.
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article
2020OPTIMAL INSURANCE CONTRACTS UNDER DISTORTION RISK MEASURES WITH AMBIGUITY AVERSION In: ASTIN Bulletin.
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article8
2022Polynomial affine approach to HARA utility maximization with applications to OrnsteinUhlenbeck 4/2 models. In: Applied Mathematics and Computation.
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article1
2018Dynamic derivative strategies with stochastic interest rates and model uncertainty In: Journal of Economic Dynamics and Control.
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article9
2009Single and Double Black-Cox: Two approaches for modelling debt restructuring In: Economic Modelling.
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article4
2022Multivariate risk aversion utility, application to ESG investments In: The North American Journal of Economics and Finance.
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article1
2021Option pricing with conditional GARCH models In: European Journal of Operational Research.
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article4
2023Covariance dependent kernels, a Q-affine GARCH for multi-asset option pricing In: International Review of Financial Analysis.
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2020Stochastic volatility models for the implied correlation index. In: Finance Research Letters.
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2023A class of portfolio optimization solvable problems In: Finance Research Letters.
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2024Mean–variance optimization under affine GARCH: A utility-based solution In: Finance Research Letters.
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2020Affine multivariate GARCH models In: Journal of Banking & Finance.
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article1
2015Robust portfolio choice with derivative trading under stochastic volatility In: Journal of Banking & Finance.
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article18
2016Portfolio choice with stochastic interest rates and learning about stock return predictability In: International Review of Economics & Finance.
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article4
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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2023The SEV-SV Model—Applications in Portfolio Optimization In: Risks.
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2024Robust Portfolio Optimization with Environmental, Social, and Corporate Governance Preference In: Risks.
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2016A Note on the Impact of Parameter Uncertainty on Barrier Derivatives In: Risks.
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2016Incorporation of Stochastic Policyholder Behavior in Analytical Pricing of GMABs and GMDBs In: Risks.
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2021Mean-Reverting 4/2 Principal Components Model. Financial Applications In: Risks.
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2014A Note on the Distribution of Multivariate Brownian Extrema In: International Journal of Stochastic Analysis.
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article4
2022Optimal HARA Investments with Terminal VaR Constraints In: Advances in Operations Research.
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2011Pricing two dimensional derivatives under stochastic correlation In: International Journal of Financial Markets and Derivatives.
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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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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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2023A Polynomial-Affine Approximation for Dynamic Portfolio Choice In: Computational Economics.
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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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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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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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2019Portfolio optimization under Solvency II In: Annals of Operations Research.
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article4
2022A dynamic programming approach to path-dependent constrained portfolios In: Annals of Operations Research.
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2024The power of derivatives in portfolio optimization under affine GARCH models In: Decisions in Economics and Finance.
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2022Portfolio optimization: not necessarily concave utility and constraints on wealth and allocation In: Mathematical Methods of Operations Research.
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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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2024Optimal consumption and investment in general affine GARCH models In: OR Spectrum: Quantitative Approaches in Management.
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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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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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article1
2021Expected Utility Theory on General Affine GARCH Models 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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2017Optimal investment under multi-factor stochastic volatility In: Quantitative Finance.
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2018Robust multivariate portfolio choice with stochastic covariance in the presence of ambiguity In: Quantitative Finance.
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2021Optimal investment strategy in the family of 4/2 stochastic volatility models In: Quantitative Finance.
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2021Robust portfolios with commodities and stochastic interest rates In: Quantitative Finance.
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article1
2022International portfolio choice under multi-factor stochastic volatility In: Quantitative Finance.
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2023A multivariate 4/2 stochastic covariance model: properties and applications to portfolio decisions In: Quantitative Finance.
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2013Pricing of mountain range derivatives under a principal component stochastic volatility model 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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