Marcos Escobar-Anel

Office: WSC 282
Phone: 519-661-2111 x84106

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)

NSERC Discovery Grant, 2020-2025
Mitacs Postdoctoral Accelerate, 2020-2023


Publications (per year)





  • Escobar-Anel, Marcos, Javad Rastegari, and Lars Stentoft. "Affine multivariate GARCH models." Journal of Banking & Finance 118 (2020).
  • Escobar-Anel, Marcos, Javad Rastegari, and Lars Stentoft. "Option pricing with conditional GARCH models." European Journal of Operational Research 289.1 (2020): 350-363.
  • Escobar, M., S. Panz*, R. Zagst. Pricing multiple barrier derivatives under stochastic volatility. Journal of Computational Finance 24.2 (2020)
  • Escobar, M., Y. Havrylenko*, R. Zagst. Optimal First-Loss Fee Structures in Hedge Funds. Journal of Banking and Finance, 2020.
  • 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.
  • Escobar-Anel, M., A. Lichtenstern*, R. Zagst. Behavioral Finance driven Investment Strategies. Financial Markets and Portfolio Management, 34.4 (2020): 353-399.
  • 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.
  • Escobar, M., L. Fang*, Stochastic volatility model for the implied correlation index. Evidence, properties and pricing. Finance Research Letters, 35.C (2020)
  • 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).








2009-2012 (sample)