Marcos Escobar-Anel

Graduate Chair
Professor
Office: WSC 282
Phone: 519-661-2111 x84106
Email: marcos.escobar@uwo.ca


Ph.D. Mathematics. University of Toronto.

  

Research Areas

  • Stochastic Processes: Multivariate, Stochastic Covariance, First passage time
  • Financial Mathematics: Pricing exotic products, Dynamic portfolio optimization
  • Statistics: Estimation stochastic processes. 

Graduate Supervision (2020-21)

  • Junhe Chen (Ph.D., co-supervised with Matt Davison)
  • Yuyang Cheng (Ph.D.)
  • Narges Goudarzi (M.Sc.)
  • Pouya Sharifi (M.Sc.)
  • William Sirois (M.Sc.)
  • Xize Ye (M.Sc.-T, co-supervised with Lars Stentoft)
  • Yichen Zhu (Ph.D., co-supervised with Matt Davison)
  • Javad Rastegari (PostDoc, co-sup.)
  • Lorenz Theilacker (M.Sc., Technical University Munich, co-sup.)
  • Maximilian Gollart (M.Sc., TUM, co-sup.)
  • Michel Kschonnek (Ph.D., TUM, co-sup.)
  • Yevhen Havrylenko (Ph.D., TUM, co-sup.)
  • Ben Spies (M.Sc., TUM, co-sup.)

Research Funding Source(s)

NSERC Discovery Grant, 2020-2025
CDI, Canadian Derivatives Institute, 2020-2021
Mitacs Accelerate, 2020-2021
Fields postdoc fellowship, 2020-2021

 

Publications (per year)

2020

  • Chen*, J, M. Davison, M. Escobar, G. Zafari*, Robust portfolio analysis with commodities and stochastic interest rates. Accepted, Quantitative Finance, 2020.
  • Escobar-Anel, Marcos, Javad Rastegari, and Lars Stentoft. "Affine multivariate GARCH models." Journal of Banking & Finance 118 (2020): 105895. 
  • Escobar-Anel, Marcos, Javad Rastegari, and Lars Stentoft. "Option pricing with conditional GARCH models." European Journal of Operational Research 289.1 (2020): 350-363. http://dx.doi.org/10.1016/j.ejor.2020.07.002
  • Escobar, M., S. Panz*, R. Zagst. Pricing multiple barrier derivatives under stochastic volatility. Accepted. Journal of Computational Finance 2020.
  • Escobar, M., Y. Havrylenko*, R. Zagst. Optimal First-Loss Fee Structures in Hedge Funds. Journal of Banking and Finance, 2020. https://doi.org/10.1016/j.jbankfin.2020.105884
  • Escobar, M., A. Lichtenstern*, R. Zagst. Behavioral Portfolio Choice under Hyperbolic Absolute Risk Aversion. 2020. IJTAF. https://doi.org/10.2139/ssrn.3430285
  • Escobar, M., A. Lichtenstern*, R. Zagst. Behavioral Finance driven Investment Strategies. Accepted. Financial Markets and Portfolio Management, 2020.
  • Jiang, Wenjun*, Marcos Escobar-Anel, and Jiandong Ren. "Optimal Insurance Contracts Under Distortion Risk Measures With Ambiguity Aversion." ASTIN Bulletin: The Journal of the IAA (2020): 1-28. https://doi.org/10.1017/asb.2020.12
  • Escobar, M., L. Fang*, Stochastic volatility model for the implied correlation index. Evidence, properties and pricing. Finance Research Letters, 35.C (2020)https://doi.org/10.1016/j.frl.2019.101309
  • Escobar‐Anel, Marcos, and Zhenxian Gong*. "The mean‐reverting 4/2 stochastic volatility model: Properties and financial applications." Applied Stochastic Models in Business and Industry (2020). https://doi.org/10.1002/asmb.2534

2019

2018

2017

2016

2015

2014

2013

2009-2012 (sample)