M. Escobar

Available identifiers

zbMath Open escobar.marcosMaRDI QIDQ345717

List of research outcomes

Publication	Date of Publication	Type
A stochastic volatility factor model of Heston type. Statistical properties and estimation	2022-06-30	Paper
Portfolio optimization under Solvency II	2020-01-20	Paper
Principal component models with stochastic mean-reverting levels. Pricing and covariance surface improvements	2019-02-08	Paper
Optimal investment under multi-factor stochastic volatility	2018-11-19	Paper
HARA utility maximization in a Markov-switching bond-stock market	2018-11-19	Paper
Robust multivariate portfolio choice with stochastic covariance in the presence of ambiguity	2018-11-14	Paper
A multivariate stochastic volatility model with applications in the foreign exchange market	2018-11-09	Paper
Stochastic correlation and volatility mean-reversion -- empirical motivation and derivatives pricing via perturbation theory	2018-09-12	Paper
Closed-form pricing of two-asset barrier options with stochastic covariance	2018-09-11	Paper
Dynamic derivative strategies with stochastic interest rates and model uncertainty	2018-08-13	Paper
Two asset-barrier option under stochastic volatility	2018-04-06	Paper
Algorithm 963: Estimation of stochastic covariance models using a continuum of moment conditions	2017-06-30	Paper
Stochastic covariance and dimension reduction in the pricing of basket options	2016-12-02	Paper
Optimal investment in multidimensional Markov-modulated affine models	2016-01-07	Paper
PORTFOLIO OPTIMIZATION IN AFFINE MODELS WITH MARKOV SWITCHING	2015-09-22	Paper
Pricing two-asset barrier options under stochastic correlation via perturbation	2015-06-29	Paper
Efficiently pricing double barrier derivatives in stochastic volatility models	2015-01-23	Paper
Pricing of mountain range derivatives under a principal component stochastic volatility model	2014-05-06	Paper
Three dimensional distribution of Brownian motion extrema	2014-04-17	Paper
An intensity-based approach for equity modeling	2013-11-15	Paper
Multidimensional structural credit modeling under stochastic volatility	2013-08-29	Paper
Time domain computation of flow induced sound	2012-05-10	Paper
Option on a CPPI	2011-11-15	Paper
Risk management under a factor stochastic volatility model	2011-03-22	Paper
Asymptotic behavior of maximum likelihood estimators in a branching diffusion model	2011-02-15	Paper
Hedge funds as knock-out options	2010-09-02	Paper
Pricing a CDO on stochastically correlated underlyings	2010-04-23	Paper
The price of liquidity in constant leverage strategies	2010-01-27	Paper
Pricing of spread options on stochastically correlated underlyings	2009-11-10	Paper
A partial differential equation for credit derivatives pricing	2007-11-05	Paper
Approximate solution for multi-server queueing systems with Erlangian service times	2002-07-11	Paper

Research outcomes over time

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