Marcos 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	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
https://portal.mardi4nfdi.de/entity/Q3097031	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
https://portal.mardi4nfdi.de/entity/Q3581635	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
https://portal.mardi4nfdi.de/entity/Q5424416	2007-11-05	Paper
Approximate solution for multi-server queueing systems with Erlangian service times	2002-07-11	Paper

Research outcomes over time

Doctoral students

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Known relations from the MaRDI Knowledge Graph

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This page was built for person: Marcos Escobar