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 (2021-22)

  • Yuyang Cheng (Ph.D.)
  • Narges Goudarzi (M.Sc.)
  • Pouya Sharifi (M.Sc.)
  • William Sirois (M.Sc.)
  • Xize Ye (Ph.D., co-sup. with Lars Stentoft)
  • Yichen Zhu (Ph.D., co-sup. with Matt Davison)
  • Michel Kschonnek (Ph.D., TUM, co-sup. with Rudi Zagst)
  • Yevhen Havrylenko (Ph.D., TUM, co-sup. with Rudi Zagst)
  • Ben Spies (Ph.D., TUM, co-sup. with Rudi Zagst)

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)

2021

  • Escobar, M. Wahl*, R. Zagst. Closed-form solution for a Solvency II constrained problem using Dual theory. Accepted. Scandinavian Actuarial Journal2021.
  • Cheng*, Y. and M. Escobar. Robust Analysis of the 4/2 stochastic volatility model. IMA Journal of Management Mathematics. 2021. http://dx.doi.org/10.1093/imaman/dpab033
  • Chen*, J, M. Davison, M. Escobar, G. Zafari*, Robust portfolio analysis with commodities and stochastic interest rates. Quantitative Finance21.6 (2021): 991-1010. https://doi.org/10.1080/14697688.2020.1859603
  • Chen*, Junhe, and Marcos Escobar-Anel. Model uncertainty on commodity portfolios, the role of convenience yield. Annals of Finance (2021): 1-28. https://doi.org/10.1007/s10436-021-00393-5
  • Cheng*, Yuyang, and Marcos Escobar-Anel. "Optimal investment strategy in the family of 4/2 stochastic volatility models." Quantitative Finance (2021): 1-29. https://doi.org/10.1080/14697688.2021.1901971
  • Zhu*, Yichen, and Marcos Escobar-Anel. A Neural Network Monte Carlo Approximation for Expected Utility Theory. Journal of Risk and Financial Management 14.7 (2021): 322. https://doi.org/10.3390/jrfm14070322
  • Escobar-Anel, Marcos, and Zhenxian Gong*. Mean-Reverting 4/2 Principal Components Model. Financial Applications. Risks 9.8 (2021): 141. https://doi.org/10.3390/risks9080141

2020

  • Escobar-Anel, Marcos, Javad Rastegari, and Lars Stentoft. "Affine multivariate GARCH models." Journal of Banking & Finance 118 (2020). https://doi.org/10.1016/j.jbankfin.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. Journal of Computational Finance 24.2 (2020)https://doi.org/10.21314/JCF.2020.395
  • 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. International Journal of Theoretical and Applied Finance (IJTAF) 23.07 (2020): 1-33. https://doi.org/10.1142/S0219024920500454
  • Escobar-Anel, M., A. Lichtenstern*, R. Zagst. Behavioral Finance driven Investment Strategies. Financial Markets and Portfolio Management, 34.4 (2020): 353-399. https://doi.org/10.1007/s11408-020-00353-5
  • 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)