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• Marcos Escobar-Anel

Marcos Escobar-Anel

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 (2022 - 2023)

• Wei Li Fan (Ph.D.)
• Yijao Jiao (Ph.D.)
• Ruoyun Gao (M.Sc.)
• Jueyi Shao (M.Sc.)
• Yifan You (M.Sc.)
• Xize Ye (Ph.D., co-supervision with Lars Stentoft)
• Xinkai Zhuang (M.Sc.)
• Zheng Xu (Ph.D., Australian National University, with Timothy Higgins and Gaurav Khemka)
• Michel Kschonnek (Ph.D., Technical University Munich, with Rudi Zagst)
• Yevhen Havrylenko (Ph.D., TUM, with Rudi Zagst)
• Ben Spies (Ph.D., TUM, with Rudi Zagst)
• Max Speck (M. Sc., TUM, with Rudi Zagst) 
• Eric Molter (M. Sc., TUM, with Rudi Zagst) 

Research Funding Sources (current)

 

Publications (per year)

2023

• Escobar M., J. Rastegari, L. Stentoft. Multivariate Affine GARCH models with covariance-dependent Kernel. International Review of Financial Analysis, 2023. https://doi.org/10.1016/j.irfa.2023.102622
• Escobar, M., Wei Li Fan*, The SEV-SV model, applications to portfolio optimization. Risks 2023, 11(2), 30. https://doi.org/10.3390/risks11020030
• Yuyang Cheng*, M. Escobar-Anel, A multivariate 4/2 stochastic covariance model. Properties and applications to portfolio decisions. Quantitative Finance, 2023 23:3, 497-519, DOI: 10.1080/14697688.2022.2160936
• Yuyang Cheng*, M. Escobar-Anel, A class of portfolio optimization solvable problems. Finance Research Letters,  52 (2023): 103373. https://doi.org/10.1016/j.frl.2022.103373
• Escobar-Anel, M., L. Theilacker*, R. Zagst. A Neural Network Approach To Optimal Investment Strategies. Decisions in Economics and Finance. 2023. https://doi.org/10.1007/s10203-023-00388-z
• Cheng*, Yuyang, and Marcos Escobar-Anel. "Robust portfolio choice under the 4/2 stochastic volatility model." IMA Journal of Management Mathematics 34.1 (2023): 221-256. https://doi.org/10.1093/imaman/dpab033

2022

• Escobar, L. Stentoft, X. Ye*. The benefits of returns and options in the estimation of GARCH models. A Heston-Nandi GARCH insight. Econometrics and Statistics, 2022. https://doi.org/10.1016/j.ecosta.2022.12.001
• M. Escobar-Anel, A multiple risk aversions utility. Application to ESG investments. North American Journal of Economics and Finance. 2022. https://doi.org/10.1016/j.najef.2022.101790
• Davison, M. Escobar, Y. Zhu*. A polynomial-Affine approximation for dynamic portfolio choice. Accepted, Computational Economics. 2022. https://doi.org/10.1007/s10614-022-10297-9
• Davison, M. Escobar, Y. Zhu*. Derivatives-based portfolio decisions. An expected utility insight. Annals of Finance. 18, pages 217–246 (2022). https://doi.org/10.1007/s10436-022-00409-8
• Escobar, Y. Havrylenko*, R. Zagst. Risk shifting in a defined contribution pension plan. A need for re-insurance. Insurance Mathematics and Economics,105 (2022): 14-40. https://doi.org/10.1016/j.insmatheco.2022.03.009
• Escobar, M. Keller*, R. Zagst. Optimal HARA Investments with terminal VaR constraints. Advances in Operations Research. 2022. https://doi.org/10.1155/2022/6357701
• M. Escobar-Anel, A dynamic programming approach to path-dependent constrained portfolios. Annals of Operations Research, 2022. https://doi.org/10.1007/s10479-022-04640-4
• Escobar-Anel, M., Kschonnek*, M., & Zagst, R. (2022). Portfolio optimization: not necessarily concave utility and constraints on wealth and allocation. Mathematical Methods of Operations Research, 1-40. https://doi.org/10.1007/s00186-022-00772-2
• Escobar-Anel, M., Gollart*, M., & Zagst, R. (2022). Closed-form portfolio optimization under GARCH models. Operations Research Perspectives, 9, 100216. https://doi.org/10.1016/j.orp.2021.100216
• Zhu*, Y., & Escobar-Anel, M. (2022). Polynomial affine approach to HARA utility maximization with applications to OrnsteinUhlenbeck 4/2 models. Applied Mathematics and Computation, 418, 126836. https://doi.org/10.1016/j.amc.2021.126836
• Escobar-Anel, M., Ferrando, S., Gschnaidtner*, C., & Rubtsov, A. (2022). International portfolio choice under multi-factor stochastic volatility. Quantitative Finance, 1-24. https://doi.org/10.1080/14697688.2021.2019820

2021

• Escobar-Anel, M., B. Spies*, R. Zagst. Expected utility theory on general affine GARCH models. Accepted, Applied Mathematical Finance. 28.6 (2021): 477- 507. https://doi.org/10.1080/1350486X.2022.2101010
• Escobar, M. Wahl*, R. Zagst. Closed-form solution for a Solvency II constrained problem using Dual theory. Scandinavian Actuarial Journal. 2021. https://doi.org/10.1080/03461238.2021.1962962
• Chen*, J, M. Davison, M. Escobar, G. Zafari*, Robust portfolio analysis with commodities and stochastic interest rates. Quantitative Finance, 21.6 (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

• Cheng, Y., M. Escobar, Z. Gong*, Generalized mean-reverting 4/2 Factor Model. Journal of Risk and Financial Management, 12.4 (2019): 159. https://doi.org/10.3390/jrfm12040159
• Escobar, M., H. Moreno-Franco, Dynamic Portfolio Strategies under a fully correlated jump-diffusion process. Annals of Finance, 15.3 (2019): 421-453. https://doi.org/10.1007/s10436-019-00350-3

2018

• Escobar-Anel, M., Höhn*, V., Seco, L., & Zagst, R. (2018). Optimal fee structures in hedge funds. Journal of Asset Management, 19 (7), 522-542. https://doi.org/10.1057/s41260-018-0094-7
• Escobar, M., P. Kriebel*, M. Wahl*, R. Zagst (2018).  Portfolio optimization under Solvency II. Annals of Operation Research. https://doi.org/10.1007/s10479-018-2835-x
• Escobar, M., S. Ferrando, A. Rubtsov. (2018) Dynamic Derivative Strategies with Stochastic Interest Rates and Model Uncertainty. Journal of Economic Dynamics and Control. 86 (C), pages 49-71. https://doi.org/10.1016/j.jedc.2017.09.007
• V. Bergen*, M. Escobar, A. Rubtsov. R. Zagst. (2018) Robust Multivariate Portfolio Choice with Stochastic Covariance in the Presence of Ambiguity. Quantitative Finance. https://doi.org/10.1080/14697688.2018.1429647
• Escobar M. (2018) A Stochastic Volatility Factor Model of Heston type. Statistical Properties and Estimation. Stochastics. 90 (2). https://doi.org/10.1080/17442508.2017.1316272
• Escobar M., C. Gschnaidtner*. (2018) A multivariate stochastic volatility model with applications in the foreign exchange market. Review of Derivatives Research. 21. 1. https://doi.org/10.1007/s11147-017-9132-8

2017

• Escobar, B. Goetz*, R. Zagst (2017). Two asset-barrier option under stochastic volatility. Applied Mathematical Finance, 24 (6) 520-546.  https://doi.org/10.1080/1350486X.2017.1419910
• Escobar, M. Mahlstedt*, S. Panz*, R. Zagst (2017). Collateralized Structured Products. Journal of Derivatives. Spring 2017, Vol. 24, No. 3, pp. 84-102. https://doi.org/10.3905/jod.2017.24.3.084
• Escobar, M., D. Neykova*, R. Zagst. (2017) HARA Utility Maximization in a Markov-Switching Bond-Stock Market. Quantitative Finance. 17, 11. https://doi.org/10.1080/14697688.2017.1302600

2016

• Escobar, M. Krayzler*, F. Ramsauer*, D. Saunders, R. Zagst. (2016) Pricing of variable annuities - incorporation of policy holders surrender behavior. Risks, 4, 41. http://dx.doi.org/10.3390/risks4040041
• Escobar, M.; Panz, S*. (2016) A Note on the Impact of Parameter Uncertainty on Barrier Derivatives. Risks, 4, 35. https://doi.org/10.3390/risks4040035
• Bi, M.*, Escobar-Anel, M., Goetz, B.* and Zagst, R. (2016). Principal Component Models with Stochastic Mean-Reverting levels. Pricing and Covariance surface improvements. Applied Stochastic Models in Business and Industry, 32 (5), 585–606. http://onlinelibrary.wiley.com/doi/10.1002/asmb.2179/full.
• Escobar-Anel, M. and Gschnaidtner, C.* (2016). Parameters Recovery via Calibration in the Heston model. A Comprehensive Review. Wilmott Magazine. http://dx.doi.org/10.1002/wilm.10551
• Escobar-Anel, M., Rudolph, B.* and Zagst, R. (2016). Estimation of stochastic covariance models using a Continuum of Moment Condition. . ACM Transactions of Mathematical Software 42. 4/33. http://dl.acm.org/citation.cfm?id=2834115.
• Escobar-Anel, M., Krause, D.* and Zagst, R. (2016). Stochastic Covariance and dimension reduction in the pricing of basket options. Review of Derivatives Research, 19. 165-200. http://link.springer.com/article/10.1007/s11147-016-9119-x.
• Escobar-Anel, M., Ferrando, S. and Rubtsov, A. (2016). Optimal investment under multi-factor stochastic volatility. Quantitative Finance, 17, 2, 241-260. http://www.tandfonline.com/doi/full/10.1080/14697688.2016.1202440.

2015

• Escobar-Anel, M., Goetz, B.*, Neykova, D.* and Zagst, R. (2015). Pricing two-assets Barrier Options under stochastic correlation via perturbation theory. International Journal of Theoretical and Applied Finance, 18 (3) . http://www.worldscientific.com/doi/abs/10.1142/S0219024915500181.
• Escobar-Anel, M., Neykova, D.* and Zagst, R. (2015). Portfolio optimization in Affine models with Markov switching. International Journal of Theoretical and Applied Finance, 18 (5) . http://www.worldscientific.com/doi/abs/10.1142/S0219024915500302.
• Escobar-Anel, M., Ferrando, S. and Rubtsov, A. (2015). Portfolio Choice with Stochastic Interest Rates and Learning about Stock Return Predictability. International Review of Economics and Finance, . http://www.sciencedirect.com/science/article/pii/S1059056015001100.
• Escobar-Anel, M., Ferrando, S. and Rubtsov, A. (2015). Robust portfolio choice with derivative trading under stochastic volatility.. Journal of Banking and Finance, 61 142-157. http://www.sciencedirect.com/science/article/pii/S0378426615002551.
• Escobar-Anel, M., Neykova, D.* and Zagst, R. (2015). Optimal Investment in Multidimensional Markov-modulated Affine Models: Theory and Examples. Annals of Finance, 11 (3). http://link.springer.com/article/10.1007/s10436-015-0268-y.

2014

• Escobar-Anel, M., Ferrando, S. and Wen, X.* (2014). Barrier options in three dimensions. International Journal of Financial Markets and Derivatives, 3 (3) 260-292. http://www.inderscience.com/offer.php?id=59642.
• Escobar-Anel, M., Goetz, B.* and Zagst, R. (2014). Closed-form pricing of two asset-barrier option within stochastic covariance. Applied Mathematical Finance, 21 (4) 363-397. http://www.tandfonline.com/doi/full/10.1080/1350486X.2014.881662.
• Escobar-Anel, M., Goetz, B.*, Neykova, D.* and Zagst, R. (2014). Stochastic Correlation and Volatility Mean- reversion. Empirical Motivation and Derivatives Pricing via Perturbation Theory. Applied Mathematical Finance, 21 (6) 555-594. http://www.tandfonline.com/doi/full/10.1080/1350486X.2014.906972.
• Escobar-Anel, M. and Hernandez, J.* (2014). A note on the distribution of multivariate Brownian Extrema. International Journal of Stochastic Analysis. http://www.hindawi.com/journals/ijsa/2014/575270/.

2013

• Escobar-Anel, M. and Olivares, P. (2013). Pricing of Mountain Range Derivatives under a Principal Component Stochastic Volatility Model. Applied Stochastic Models in Business and Industry, 29 (1) 31-44. http://onlinelibrary.wiley.com/doi/10.1002/asmb.936/full.
• Bernhart, G.*, Escobar-Anel, M., Mai, J. and Scherer, M. (2013). Default models based on scale mixtures of Marshall-Olkin Copulas: properties and applications. Metrika, 76 (2) 179-203. http://link.springer.com/article/10.1007/s00184-012-0382-z.
• Escobar-Anel, M., Friederich, T.*, Seco, L. and Zagst, R. (2013). Multi-Dimensional Structural Credit Modeling under Stochastic Volatility. ISRN Probability and Statistics. http://www.hindawi.com/journals/isrn/2013/851419/.
• Escobar-Anel, M., Ferrando, S. and Wen, X.* (2013). Three Dimensional Distribution of Brownian Motion Extrema. An International Journal of Probability and Stochastic Processes, 85 (5) 807-832. http://www.tandfonline.com/doi/full/10.1080/17442508.2012.660942.
• Escobar-Anel, M., Mitterreiter, M.*, Saunders, D., Seco, L. and Zagst, R. (2013). Market Crises and the 1/N Asset-Allocation Strategy.. Journal of Investment Strategies, 4 (2) . http://www.risk.net/journal-of-investment-strategies/technical-paper/2293586/market-crises-and-the-1-n-asset-allocation-strategy.
• Escobar-Anel, M., Hieber, P.* and Scherer, M. (2013). Efficiently pricing double barrier derivatives in stochastic volatility models. Review of Derivatives Research, 17 191-216. http://link.springer.com/article/10.1007/s11147-013-9094-4.

2009-2012 (sample)

• Escobar-Anel, M., Frielingsdorf, T.* and Zagst, R. (2012). Impact of factor models on portfolio risk measures. A structural approach. Journal of Credit Risk, 8 (2) . http://www.risk.net/journal-of-credit-risk/technical-paper/2186506/impact-factor-models-portfolio-risk-measures-structural-approach.
• Escobar-Anel, M., Frielingsdorf, T.*, Krayzler, M.*, Seco, L. and Zagst, R. (2011). An Intensity-Based Approach for Equity Modeling. Applied Stochastic Models in Business and Industry, 27 (6) 676-690. http://onlinelibrary.wiley.com/doi/10.1002/asmb.883/full.
• Escobar-Anel, M., Hieber, P.*, Scherer, M. and Seco, L. (2011). Portfolio optimization in a multidimensional structural-default model with a focus on private equity.. Journal of Private Equity, 15 (1) 26-35. http://www.iijournals.com/doi/abs/10.3905/jpe.2011.15.1.026.
• Escobar-Anel, M., Goetz, B.*, Seco, L. and Zagst, R. (2010). Pricing of a CDO on stochastically correlated underlyings. Quantitative Finance, 3 265-277. http://www.tandfonline.com/doi/full/10.1080/14697680802629418.
• Goetz, B.*, Seco, L., Zagst, R. and Escobar-Anel, M. (2009). Pricing of Spread Options on stochastically correlated underlyings. Journal of Computational Finance, 12 (3). http://www.risk.net/journal-of-computational-finance/technical-paper/2160375/pricing-spread-options-stochastically-correlated-underlyings.
• Abinzano, I., Seco, L. and Escobar-Anel, M. (2009). Debt reorganization and First Passage Models. Economic Modelling, 26 (5) 910-917. http://www.sciencedirect.com/science/article/pii/S0264999309000431.