The following pages link to Marcos Escobar (Q345717):
Displaying 30 items.
- Stochastic covariance and dimension reduction in the pricing of basket options (Q345719) (← links)
- Multidimensional structural credit modeling under stochastic volatility (Q361588) (← links)
- Efficiently pricing double barrier derivatives in stochastic volatility models (Q488214) (← links)
- Asymptotic behavior of maximum likelihood estimators in a branching diffusion model (Q625301) (← links)
- Optimal investment in multidimensional Markov-modulated affine models (Q902185) (← links)
- Approximate solution for multi-server queueing systems with Erlangian service times (Q1603332) (← links)
- A multivariate stochastic volatility model with applications in the foreign exchange market (Q1621630) (← links)
- Dynamic derivative strategies with stochastic interest rates and model uncertainty (Q1657151) (← links)
- Portfolio optimization under Solvency II (Q2288904) (← links)
- An intensity-based approach for equity modeling (Q2862438) (← links)
- PORTFOLIO OPTIMIZATION IN AFFINE MODELS WITH MARKOV SWITCHING (Q2947343) (← links)
- RISK MANAGEMENT UNDER A FACTOR STOCHASTIC VOLATILITY MODEL (Q3083549) (← links)
- (Q3097031) (← links)
- Pricing a CDO on stochastically correlated underlyings (Q3557568) (← links)
- (Q3581635) (← links)
- Pricing of spread options on stochastically correlated underlyings (Q3643087) (← links)
- Robust multivariate portfolio choice with stochastic covariance in the presence of ambiguity (Q4554494) (← links)
- Optimal investment under multi-factor stochastic volatility (Q4555076) (← links)
- HARA utility maximization in a Markov-switching bond–stock market (Q4555174) (← links)
- Closed-Form Pricing of Two-Asset Barrier Options with Stochastic Covariance (Q4586037) (← links)
- <i>Stochastic Correlation and Volatility Mean-reversion</i>– Empirical Motivation and Derivatives Pricing via Perturbation Theory (Q4586319) (← links)
- Principal component models with stochastic mean‐reverting levels. Pricing and covariance surface improvements (Q4620152) (← links)
- A stochastic volatility factor model of heston type. Statistical properties and estimation (Q5085832) (← links)
- PRICING TWO-ASSET BARRIER OPTIONS UNDER STOCHASTIC CORRELATION VIA PERTURBATION (Q5256837) (← links)
- Algorithm 963 (Q5270763) (← links)
- Two asset-barrier option under stochastic volatility (Q5373915) (← links)
- Three dimensional distribution of Brownian motion extrema (Q5410811) (← links)
- Pricing of mountain range derivatives under a principal component stochastic volatility model (Q5414524) (← links)
- (Q5424416) (← links)
- The price of liquidity in constant leverage strategies (Q5852474) (← links)
