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Publications

by alumni of

University of Toronto → RiskLab Toronto

These are publications listed in RePEc written by alumni of the above institution who are registered with the RePEc Author Service and listed in the RePEc Genealogy. List of alumni. For a list of publications by current members of the department, see here. Register yourself.

This page is updated in the first days of each month.

| Working papers | Journal articles | Chapters |

Working papers

2023

  1. Marcos Escobar-Anel & Michel Kschonnek & Rudi Zagst, 2023, "Portfolio Optimization with Allocation Constraints and Stochastic Factor Market Dynamics," Papers, arXiv.org, number 2303.09835, Mar.
  2. Marcos Escobar-Anel & Michel Kschonnek & Rudi Zagst, 2023, "Mind the Cap! -- Constrained Portfolio Optimisation in Heston's Stochastic Volatility Model," Papers, arXiv.org, number 2306.11158, Jun.
  3. Marcos Escobar-Anel & Yiyao Jiao, 2023, "Unraveling the Trade-off between Sustainability and Returns: A Multivariate Utility Analysis," Papers, arXiv.org, number 2307.12161, Jul.
  4. Marcos Escobar-Anel & Yevhen Havrylenko & Rudi Zagst, 2023, "Optimal fees in hedge funds with first-loss compensation," Papers, arXiv.org, number 2310.19023, Oct.

2022

  1. Marcos Escobar-Anel & Matt Davison & Yichen Zhu, 2022, "Derivatives-based portfolio decisions. An expected utility insight," Papers, arXiv.org, number 2201.03717, Jan.
  2. Matt Davison & Marcos Escobar-Anel & Yichen Zhu, 2022, "Optimal market completion through financial derivatives with applications to volatility risk," Papers, arXiv.org, number 2202.08148, Feb.
  3. Marcos Escobar-Anel & Yevhen Havrylenko & Rudi Zagst, 2022, "Value-at-Risk constrained portfolios in incomplete markets: a dynamic programming approach to Heston's model," Papers, arXiv.org, number 2208.14152, Aug, revised Jul 2024.

2021

  1. Marcos Escobar-Anel & Maximilian Gollart & Rudi Zagst, 2021, "Closed-form portfolio optimization under GARCH models," Papers, arXiv.org, number 2109.00433, Sep.
  2. Marcos Escobar-Anel & Yevhen Havrylenko & Michel Kschonnek & Rudi Zagst, 2021, "Decrease of capital guarantees in life insurance products: can reinsurance stop it?," Papers, arXiv.org, number 2111.03603, Nov.

2014

  1. Marcos Escobar & Daniela Neykova & Rudi Zagst, 2014, "Portfolio Optimization in Affine Models with Markov Switching," Papers, arXiv.org, number 1403.5247, Mar.

Journal articles

2026

  1. Escobar-Anel, Marcos & Khemka, Gaurav & Xu, Zheng, 2026, "The Repayment Structure of Agricultural Loans under a Full Repayment Constraint," Journal of Agricultural and Applied Economics, Cambridge University Press, volume 58, issue 1, pages 82-108, February.
  2. Escobar-Anel, Marcos & Pan, Kaize & Stentoft, Lars, 2026, "A mean reverting affine GARCH model for commodities," Energy Economics, Elsevier, volume 153, issue C, DOI: 10.1016/j.eneco.2025.109075.
  3. Nando Ehler & Marcos Escobar-Anel & Lars Stentoft & Rudi Zagst, 2026, "Behavioral portfolio decisions in a GARCH world," Financial Innovation, Springer;Southwestern University of Finance and Economics, volume 12, issue 1, pages 1-48, December, DOI: 10.1186/s40854-026-00930-z.

2025

  1. Escobar-Anel, Marcos, 2025, "A generalized constant elasticity of volatility and correlation ratio (CEVC) model: Empirical evidence and application for portfolio optimization," Economic Modelling, Elsevier, volume 147, issue C, DOI: 10.1016/j.econmod.2025.107039.
  2. Escobar-Anel, Marcos & Yang, Yu-Jung & Zagst, Rudi, 2025, "Multivariate Affine GARCH in portfolio optimization. Analytical solutions and applications," The North American Journal of Economics and Finance, Elsevier, volume 77, issue C, DOI: 10.1016/j.najef.2025.102376.
  3. Escobar-Anel, Marcos & Stentoft, Lars & Ye, Xize, 2025, "The benefits of returns and options in the estimation of GARCH models. A Heston-Nandi GARCH insight," Econometrics and Statistics, Elsevier, volume 36, issue C, pages 1-18, DOI: 10.1016/j.ecosta.2022.12.001.
  4. Escobar-Anel, Marcos & Hou, Yangyang & Stentoft, Lars, 2025, "The shifted GARCH model with affine variance: Applications in pricing," Finance Research Letters, Elsevier, volume 71, issue C, DOI: 10.1016/j.frl.2024.106371.
  5. Escobar-Anel, Marcos & Khemka, Gaurav & Zagst, Rudi, 2025, "Mean–variance optimization of terminal wealth and consumption," Finance Research Letters, Elsevier, volume 86, issue PB, DOI: 10.1016/j.frl.2025.108420.
  6. Escobar-Anel, Marcos & Stentoft, Lars & Ye, Xize, 2025, "Analytical fixed income pricing in discrete time: A new family of models," Global Finance Journal, Elsevier, volume 67, issue C, DOI: 10.1016/j.gfj.2025.101170.
  7. Marcos Escobar-Anel & Sebastian Ferrando & Fuyu Li & Ke Xu, 2025, "Data-Based Parametrization for Affine GARCH Models Across Multiple Time Scales—Roughness Implications," Econometrics, MDPI, volume 13, issue 1, pages 1-17, February.
  8. Behzad-Hussein Azadie Faraz & Hamid Arian & Marcos Escobar-Anel, 2025, "Markov-Modulated and Shifted Wishart Processes with Applications in Derivatives Pricing," IJFS, MDPI, volume 13, issue 2, pages 1-31, May.
  9. Marcos Escobar-Anel, 2025, "Local Stochastic Correlation Models for Derivative Pricing," Stats, MDPI, volume 8, issue 3, pages 1-10, July.
  10. Marcos Escobar-Anel & Yevhen Havrylenko & Rudi Zagst, 2025, "Value-at-risk constrained portfolios in incomplete markets: a dynamic programming approach to Heston’s model," Annals of Operations Research, Springer, volume 347, issue 3, pages 1265-1309, April, DOI: 10.1007/s10479-024-06390-x.
  11. Ahmad Aghapour & Hamid Arian & Marcos Escobar-Anel & Luis Seco, 2025, "Conditional Correlation via Generalized Random Forests with Application to Hedge Funds," SN Operations Research Forum, Springer, volume 6, issue 3, pages 1-26, September, DOI: 10.1007/s43069-025-00548-4.

2024

  1. Escobar-Anel, Marcos & Spies, Ben & Zagst, Rudi, 2024, "Mean–variance optimization under affine GARCH: A utility-based solution," Finance Research Letters, Elsevier, volume 59, issue C, DOI: 10.1016/j.frl.2023.104749.
  2. Escobar-Anel, Marcos & Stentoft, Lars & Ye, Xize, 2024, "Not all VIXs are (Informationally) equal: Evidence from affine GARCH option pricing models," Finance Research Letters, Elsevier, volume 69, issue PA, DOI: 10.1016/j.frl.2024.106053.
  3. Escobar-Anel, Marcos & Spies, Ben & Zagst, Rudi, 2024, "Do jumps matter in discrete-time portfolio optimization?," Operations Research Perspectives, Elsevier, volume 13, issue C, DOI: 10.1016/j.orp.2024.100312.
  4. Marcos Escobar-Anel & Yiyao Jiao, 2024, "Unraveling the relationship between sustainability and returns: a multi-attribute utility analysis," China Finance Review International, Emerald Group Publishing Limited, volume 14, issue 4, pages 719-758, July, DOI: 10.1108/CFRI-09-2023-0241.
  5. Matt Davison & Marcos Escobar-Anel & Yichen Zhu, 2024, "Optimal Market Completion through Financial Derivatives with Applications to Volatility Risk," JRFM, MDPI, volume 17, issue 10, pages 1-20, October.
  6. Marcos Escobar-Anel & Max Speck & Rudi Zagst, 2024, "Bayesian Learning in an Affine GARCH Model with Application to Portfolio Optimization," Mathematics, MDPI, volume 12, issue 11, pages 1-27, May.
  7. Wei Li Fan & Marcos Escobar Anel, 2024, "Robust Portfolio Choice under the Modified Constant Elasticity of Variance," Mathematics, MDPI, volume 12, issue 3, pages 1-31, January.
  8. Marcos Escobar-Anel & Yiyao Jiao, 2024, "Robust Portfolio Optimization with Environmental, Social, and Corporate Governance Preference," Risks, MDPI, volume 12, issue 2, pages 1-29, February.
  9. Marcos Escobar-Anel & Eric Molter & Rudi Zagst, 2024, "The power of derivatives in portfolio optimization under affine GARCH models," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 47, issue 1, pages 151-181, June, DOI: 10.1007/s10203-024-00433-5.
  10. Marcos Escobar-Anel & Ben Spies & Rudi Zagst, 2024, "Optimal consumption and investment in general affine GARCH models," OR Spectrum: Quantitative Approaches in Management, Springer;Gesellschaft für Operations Research e.V., volume 46, issue 3, pages 987-1026, September, DOI: 10.1007/s00291-024-00749-z.

2023

  1. Escobar-Anel, Marcos & Rastegari, Javad & Stentoft, Lars, 2023, "Covariance dependent kernels, a Q-affine GARCH for multi-asset option pricing," International Review of Financial Analysis, Elsevier, volume 87, issue C, DOI: 10.1016/j.irfa.2023.102622.
  2. Cheng, Yuyang & Escobar-Anel, Marcos, 2023, "A class of portfolio optimization solvable problems," Finance Research Letters, Elsevier, volume 52, issue C, DOI: 10.1016/j.frl.2022.103373.
  3. Yuyang Cheng & Marcos Escobar-Anel, 2023, "Optimal Consumption and Robust Portfolio Choice for the 3/2 and 4/2 Stochastic Volatility Models," Mathematics, MDPI, volume 11, issue 18, pages 1-28, September.
  4. Marcos Escobar-Anel & Weili Fan, 2023, "The SEV-SV Model—Applications in Portfolio Optimization," Risks, MDPI, volume 11, issue 2, pages 1-34, January.
  5. Yichen Zhu & Marcos Escobar-Anel & Matt Davison, 2023, "A Polynomial-Affine Approximation for Dynamic Portfolio Choice," Computational Economics, Springer;Society for Computational Economics, volume 62, issue 3, pages 1177-1213, October, DOI: 10.1007/s10614-022-10297-9.
  6. Marcos Escobar-Anel & Lorenz Theilacker & Rudi Zagst, 2023, "Revisiting the 1/N-strategy: a neural network framework for optimal strategies," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 46, issue 2, pages 505-542, December, DOI: 10.1007/s10203-023-00388-z.
  7. M. Escobar-Anel & M. Kschonnek & R. Zagst, 2023, "Mind the cap!—constrained portfolio optimisation in Heston's stochastic volatility model," Quantitative Finance, Taylor & Francis Journals, volume 23, issue 12, pages 1793-1813, November, DOI: 10.1080/14697688.2023.2271223.
  8. Yuyang Cheng & Marcos Escobar-Anel, 2023, "A multivariate 4/2 stochastic covariance model: properties and applications to portfolio decisions," Quantitative Finance, Taylor & Francis Journals, volume 23, issue 3, pages 497-519, March, DOI: 10.1080/14697688.2022.2160936.

2022

  1. Zhu, Yichen & Escobar-Anel, Marcos, 2022, "Polynomial affine approach to HARA utility maximization with applications to OrnsteinUhlenbeck 4/2 models," Applied Mathematics and Computation, Elsevier, volume 418, issue C, DOI: 10.1016/j.amc.2021.126836.
  2. Escobar-Anel, Marcos, 2022, "Multivariate risk aversion utility, application to ESG investments," The North American Journal of Economics and Finance, Elsevier, volume 63, issue C, DOI: 10.1016/j.najef.2022.101790.
  3. Escobar-Anel, Marcos & Havrylenko, Yevhen & Kschonnek, Michel & Zagst, Rudi, 2022, "Decrease of capital guarantees in life insurance products: Can reinsurance stop it?," Insurance: Mathematics and Economics, Elsevier, volume 105, issue C, pages 14-40, DOI: 10.1016/j.insmatheco.2022.03.009.
  4. Escobar-Anel, Marcos & Gollart, Maximilian & Zagst, Rudi, 2022, "Closed-form portfolio optimization under GARCH models," Operations Research Perspectives, Elsevier, volume 9, issue C, DOI: 10.1016/j.orp.2021.100216.
  5. Marcos Escobar-Anel & Maximilian Keller & Rudi Zagst & Egidio D'Amato, 2022, "Optimal HARA Investments with Terminal VaR Constraints," Advances in Operations Research, Hindawi, volume 2022, pages 1-20, May, DOI: 10.1155/2022/6357701.
  6. Marcos Escobar-Anel & Matt Davison & Yichen Zhu, 2022, "Derivatives-based portfolio decisions: an expected utility insight," Annals of Finance, Springer, volume 18, issue 2, pages 217-246, June, DOI: 10.1007/s10436-022-00409-8.
  7. Marcos Escobar-Anel, 2022, "A dynamic programming approach to path-dependent constrained portfolios," Annals of Operations Research, Springer, volume 315, issue 1, pages 141-157, August, DOI: 10.1007/s10479-022-04640-4.
  8. Marcos Escobar-Anel & Michel Kschonnek & Rudi Zagst, 2022, "Portfolio optimization: not necessarily concave utility and constraints on wealth and allocation," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), volume 95, issue 1, pages 101-140, February, DOI: 10.1007/s00186-022-00772-2.
  9. Marcos Escobar-Anel & Sebastian Ferrando & Christoph Gschnaidtner & Alexey Rubtsov, 2022, "International portfolio choice under multi-factor stochastic volatility," Quantitative Finance, Taylor & Francis Journals, volume 22, issue 6, pages 1193-1216, June, DOI: 10.1080/14697688.2021.2019820.
  10. Marcos Escobar-Anel & Markus Wahl & Rudi Zagst, 2022, "Portfolio optimization with wealth-dependent risk constraints," Scandinavian Actuarial Journal, Taylor & Francis Journals, volume 2022, issue 3, pages 244-268, March, DOI: 10.1080/03461238.2021.1962962.

2021

  1. Escobar-Anel, Marcos & Rastegari, Javad & Stentoft, Lars, 2021, "Option pricing with conditional GARCH models," European Journal of Operational Research, Elsevier, volume 289, issue 1, pages 350-363, DOI: 10.1016/j.ejor.2020.07.002.
  2. Yichen Zhu & Marcos Escobar-Anel, 2021, "A Neural Network Monte Carlo Approximation for Expected Utility Theory," JRFM, MDPI, volume 14, issue 7, pages 1-18, July.
  3. Marcos Escobar-Anel & Zhenxian Gong, 2021, "Mean-Reverting 4/2 Principal Components Model. Financial Applications," Risks, MDPI, volume 9, issue 8, pages 1-23, July.
  4. Junhe Chen & Marcos Escobar-Anel, 2021, "Model uncertainty on commodity portfolios, the role of convenience yield," Annals of Finance, Springer, volume 17, issue 4, pages 501-528, December, DOI: 10.1007/s10436-021-00393-5.
  5. Marcos Escobar-Anel & Ben Spies & Rudi Zagst, 2021, "Expected Utility Theory on General Affine GARCH Models," Applied Mathematical Finance, Taylor & Francis Journals, volume 28, issue 6, pages 477-507, November, DOI: 10.1080/1350486X.2022.2101010.
  6. Yuyang Cheng & Marcos Escobar-Anel, 2021, "Optimal investment strategy in the family of 4/2 stochastic volatility models," Quantitative Finance, Taylor & Francis Journals, volume 21, issue 10, pages 1723-1751, October, DOI: 10.1080/14697688.2021.1901971.
  7. Junhe Chen & Matt Davison & M. Escobar-Anel & Golara Zafari, 2021, "Robust portfolios with commodities and stochastic interest rates," Quantitative Finance, Taylor & Francis Journals, volume 21, issue 6, pages 991-1010, June, DOI: 10.1080/14697688.2020.1859603.

2020

  1. Jiang, Wenjun & Escobar-Anel, Marcos & Ren, Jiandong, 2020, "Optimal Insurance Contracts Under Distortion Risk Measures With Ambiguity Aversion," ASTIN Bulletin, Cambridge University Press, volume 50, issue 2, pages 619-646, May.
  2. Escobar, Marcos & Fang, Lin, 2020, "Stochastic volatility models for the implied correlation index," Finance Research Letters, Elsevier, volume 35, issue C, DOI: 10.1016/j.frl.2019.101309.
  3. Escobar-Anel, M. & Havrylenko, Y. & Zagst, R., 2020, "Optimal fees in hedge funds with first-loss compensation," Journal of Banking & Finance, Elsevier, volume 118, issue C, DOI: 10.1016/j.jbankfin.2020.105884.
  4. Escobar-Anel, Marcos & Rastegari, Javad & Stentoft, Lars, 2020, "Affine multivariate GARCH models," Journal of Banking & Finance, Elsevier, volume 118, issue C, DOI: 10.1016/j.jbankfin.2020.105895.
  5. Marcos Escobar-Anel & Andreas Lichtenstern & Rudi Zagst, 2020, "Behavioral portfolio insurance strategies," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 34, issue 4, pages 353-399, December, DOI: 10.1007/s11408-020-00353-5.
  6. Marcos Escobar‐Anel & Zhenxian Gong, 2020, "The mean‐reverting 4/2 stochastic volatility model: Properties and financial applications," Applied Stochastic Models in Business and Industry, John Wiley & Sons, volume 36, issue 5, pages 836-856, September, DOI: 10.1002/asmb.2534.
  7. Marcos Escobar-Anel & Andreas Lichtenstern & Rudi Zagst, 2020, "Behavioral Portfolio Choice Under Hyperbolic Absolute Risk Aversion," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., volume 23, issue 07, pages 1-33, November, DOI: 10.1142/S0219024920500454.

2019

  1. Yuyang Cheng & Marcos Escobar-Anel & Zhenxian Gong, 2019, "Generalized Mean-Reverting 4/2 Factor Model," JRFM, MDPI, volume 12, issue 4, pages 1-21, October.
  2. Marcos Escobar-Anel & Harold A. Moreno-Franco, 2019, "Dynamic portfolio strategies under a fully correlated jump-diffusion process," Annals of Finance, Springer, volume 15, issue 3, pages 421-453, September, DOI: 10.1007/s10436-019-00350-3.
  3. Marcos Escobar & Paul Kriebel & Markus Wahl & Rudi Zagst, 2019, "Portfolio optimization under Solvency II," Annals of Operations Research, Springer, volume 281, issue 1, pages 193-227, October, DOI: 10.1007/s10479-018-2835-x.

2018

  1. Escobar, Marcos & Ferrando, Sebastian & Rubtsov, Alexey, 2018, "Dynamic derivative strategies with stochastic interest rates and model uncertainty," Journal of Economic Dynamics and Control, Elsevier, volume 86, issue C, pages 49-71, DOI: 10.1016/j.jedc.2017.09.007.
  2. Marcos Escobar & Christoph Gschnaidtner, 2018, "A multivariate stochastic volatility model with applications in the foreign exchange market," Review of Derivatives Research, Springer, volume 21, issue 1, pages 1-43, April, DOI: 10.1007/s11147-017-9132-8.
  3. Marcos Escobar-Anel & Vincent Höhn & Luis Seco & Rudi Zagst, 2018, "Optimal fee structures in hedge funds," Journal of Asset Management, Palgrave Macmillan, volume 19, issue 7, pages 522-542, December, DOI: 10.1057/s41260-018-0094-7.
  4. V. Bergen & M. Escobar & A. Rubtsov & R. Zagst, 2018, "Robust multivariate portfolio choice with stochastic covariance in the presence of ambiguity," Quantitative Finance, Taylor & Francis Journals, volume 18, issue 8, pages 1265-1294, August, DOI: 10.1080/14697688.2018.1429647.

2017

  1. Barbara Goetz & Marcos Escobar & Rudi Zagst, 2017, "Two asset-barrier option under stochastic volatility," Applied Mathematical Finance, Taylor & Francis Journals, volume 24, issue 6, pages 520-546, November, DOI: 10.1080/1350486X.2017.1419910.
  2. M. Escobar & D. Neykova & R. Zagst, 2017, "HARA utility maximization in a Markov-switching bond–stock market," Quantitative Finance, Taylor & Francis Journals, volume 17, issue 11, pages 1715-1733, November, DOI: 10.1080/14697688.2017.1302600.
  3. Marcos Escobar & Sebastian Ferrando & Alexey Rubtsov, 2017, "Optimal investment under multi-factor stochastic volatility," Quantitative Finance, Taylor & Francis Journals, volume 17, issue 2, pages 241-260, February, DOI: 10.1080/14697688.2016.1202440.

2016

  1. Escobar, Marcos & Ferrando, Sebastian & Rubtsov, Alexey, 2016, "Portfolio choice with stochastic interest rates and learning about stock return predictability," International Review of Economics & Finance, Elsevier, volume 41, issue C, pages 347-370, DOI: 10.1016/j.iref.2015.07.003.
  2. Marcos Escobar & Sven Panz, 2016, "A Note on the Impact of Parameter Uncertainty on Barrier Derivatives," Risks, MDPI, volume 4, issue 4, pages 1-25, September.
  3. Marcos Escobar & Mikhail Krayzler & Franz Ramsauer & David Saunders & Rudi Zagst, 2016, "Incorporation of Stochastic Policyholder Behavior in Analytical Pricing of GMABs and GMDBs," Risks, MDPI, volume 4, issue 4, pages 1-36, November.
  4. Marcos Escobar & Daniel Krause & Rudi Zagst, 2016, "Stochastic covariance and dimension reduction in the pricing of basket options," Review of Derivatives Research, Springer, volume 19, issue 3, pages 165-200, October, DOI: 10.1007/s11147-016-9119-x.
  5. Monika Bi & Marcos Escobar & Barbara Goetz & Rudi Zagst, 2016, "Principal component models with stochastic mean‐reverting levels. Pricing and covariance surface improvements," Applied Stochastic Models in Business and Industry, John Wiley & Sons, volume 32, issue 5, pages 585-606, September, DOI: 10.1002/asmb.2179.

2015

  1. Escobar, Marcos & Ferrando, Sebastian & Rubtsov, Alexey, 2015, "Robust portfolio choice with derivative trading under stochastic volatility," Journal of Banking & Finance, Elsevier, volume 61, issue C, pages 142-157, DOI: 10.1016/j.jbankfin.2015.08.033.
  2. Daniela Neykova & Marcos Escobar & Rudi Zagst, 2015, "Optimal investment in multidimensional Markov-modulated affine models," Annals of Finance, Springer, volume 11, issue 3, pages 503-530, November, DOI: 10.1007/s10436-015-0268-y.
  3. Marcos Escobar & Barbara Götz & Daniela Neykova & Rudi Zagst, 2015, "Pricing Two-Asset Barrier Options Under Stochastic Correlation Via Perturbation," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., volume 18, issue 03, pages 1-44, DOI: 10.1142/S0219024915500181.
  4. Marcos Escobar & Daniela Neykova & Rudi Zagst, 2015, "Portfolio Optimization In Affine Models With Markov Switching," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., volume 18, issue 05, pages 1-46, DOI: 10.1142/S0219024915500302.

2014

  1. Marcos Escobar & Julio Hernandez, 2014, "A Note on the Distribution of Multivariate Brownian Extrema," International Journal of Stochastic Analysis, Hindawi, volume 2014, pages 1-6, November, DOI: 10.1155/2014/575270.
  2. Marcos Escobar & Sebastian Ferrando & Xianzhang Wen, 2014, "Barrier options in three dimensions," International Journal of Financial Markets and Derivatives, Inderscience Enterprises Ltd, volume 3, issue 3, pages 260-292.
  3. Marcos Escobar & Peter Hieber & Matthias Scherer, 2014, "Efficiently pricing double barrier derivatives in stochastic volatility models," Review of Derivatives Research, Springer, volume 17, issue 2, pages 191-216, July, DOI: 10.1007/s11147-013-9094-4.
  4. Barbara G�tz & Marcos Escobar & Rudi Zagst, 2014, "Closed-Form Pricing of Two-Asset Barrier Options with Stochastic Covariance," Applied Mathematical Finance, Taylor & Francis Journals, volume 21, issue 4, pages 363-397, September, DOI: 10.1080/1350486X.2014.881662.
  5. Marcos Escobar & Barbara G�tz & Daniela Neykova & Rudi Zagst, 2014, "Stochastic Correlation and Volatility Mean-reversion - Empirical Motivation and Derivatives Pricing via Perturbation Theory," Applied Mathematical Finance, Taylor & Francis Journals, volume 21, issue 6, pages 555-594, December, DOI: 10.1080/1350486X.2014.906972.

2013

  1. German Bernhart & Marcos Escobar Anel & Jan-Frederik Mai & Matthias Scherer, 2013, "Default models based on scale mixtures of Marshall-Olkin copulas: properties and applications," Metrika: International Journal for Theoretical and Applied Statistics, Springer, volume 76, issue 2, pages 179-203, February, DOI: 10.1007/s00184-012-0382-z.
  2. Marcos Escobar & Pablo Olivares, 2013, "Pricing of mountain range derivatives under a principal component stochastic volatility model," Applied Stochastic Models in Business and Industry, John Wiley & Sons, volume 29, issue 1, pages 31-44, January, DOI: 10.1002/asmb.936.

2012

  1. Marcos Escobar & Luis Seco, 2012, "Residual Model for Future Prices," Journal of Business Administration Research, Journal of Business Administration Research, Sciedu Press, volume 1, issue 2, pages 110-119, October.

2011

  1. Alexander Alvarez & Marcos Escobar & Pablo Olivares, 2011, "Pricing two dimensional derivatives under stochastic correlation," International Journal of Financial Markets and Derivatives, Inderscience Enterprises Ltd, volume 2, issue 4, pages 265-287.
  2. Marcos Escobar & Tim Friederich & Luis Seco & Rudi Zagst, 2011, "A General Structural Approach For Credit Modeling Under Stochastic Volatility," Journal of Financial Transformation, Capco Institute, volume 32, pages 123-132.
  3. M. Escobar & T. Friederich & M. Krayzler & L. Seco & R. Zagst, 2011, "An intensity‐based approach for equity modeling," Applied Stochastic Models in Business and Industry, John Wiley & Sons, volume 27, issue 6, pages 676-690, November, DOI: 10.1002/asmb.883.
  4. Marcos Escobar & Pablo Olivares, 2011, "Risk Management Under A Factor Stochastic Volatility Model," Asia-Pacific Journal of Operational Research (APJOR), World Scientific Publishing Co. Pte. Ltd., volume 28, issue 01, pages 65-80, DOI: 10.1142/S0217595911003053.

2010

  1. Marcos Escobar & Barbara Gotz & Luis Seco & Rudi Zagst, 2010, "Pricing a CDO on stochastically correlated underlyings," Quantitative Finance, Taylor & Francis Journals, volume 10, issue 3, pages 265-277, DOI: 10.1080/14697680802629418.

2009

  1. Abínzano, Isabel & Seco, Luis & Escobar, Marcos & Olivares, Pablo, 2009, "Single and Double Black-Cox: Two approaches for modelling debt restructuring," Economic Modelling, Elsevier, volume 26, issue 5, pages 910-917, September.
  2. Janko Hernandez & Pablo Olivares & Marcos Escobar, 2009, "Asymptotic behavior of maximum likelihood estimators in a branching diffusion model," Statistical Inference for Stochastic Processes, Springer, volume 12, issue 2, pages 115-137, June, DOI: 10.1007/s11203-008-9028-1.

Chapters

2010

  1. Barbara Götz & Rudi Zagst & Marcos Escobar, 2010, "Pricing Certificates Under Issuer Risk," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 6, in: Rüdiger Kiesel & Matthias Scherer & Rudi Zagst, "Alternative Investments And Strategies".

2008

  1. M. Escobar & L. Seco, 2008, "The Mathematics of Risk Transfer," Springer Books, Springer, chapter 7, in: David L. Olson & Desheng Wu, "New Frontiers in Enterprise Risk Management", DOI: 10.1007/978-3-540-78642-9_7.

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