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)


  • Yuyang Cheng*, M. Escobar-Anel, A multivariate 4/2 stochastic covariance model. Properties and applications to portfolio decisions. Quantitative Finance, 2022.
  • Escobar, L. Stentoft, X. Ye*. The benefits of returns and options in the estimation of GARCH models. A Heston-Nandi GARCH insight. Accepted, Econometrics and Statistics, 2022.
  • M. Escobar-Anel, A multiple risk aversions utility. Application to ESG investments. North American Journal of Economics and Finance. 2022
  • Yuyang Cheng*, M. Escobar-Anel, A class of portfolio optimization solvable problems. Finance Research Letters, 2022.
  • Escobar-Anel, M., B. Spies*, R. Zagst. Expected utility theory on general affine GARCH models. Accepted, Applied Mathematical Finance. 2022.
  • Davison, M. Escobar, Y. Zhu*. A polynomial-Affine approximation for dynamic portfolio choice. Accepted, Computational Economics. 2022.
  • Davison, M. Escobar, Y. Zhu*. Derivatives-based portfolio decisions. An expected utility insight. Annals of Finance. 2022.
  • Escobar, Y. Havrylenko*, R. Zagst. Risk shifting in a defined contribution pension plan. A need for re-insurance. Insurance Mathematics and Economics, 2022
  • Escobar, M. Keller*, R. Zagst. Optimal HARA Investments with terminal VaR constraints. Advances in Operations Research. 2022.
  • M. Escobar-Anel, A dynamic programming approach to path-dependent constrained portfolios. Annals of Operations Research, 2022.
  • 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.
  • Escobar-Anel, M., Gollart*, M., & Zagst, R. (2022). Closed-form portfolio optimization under GARCH models. Operations Research Perspectives9, 100216.
  • Zhu*, Y., & Escobar-Anel, M. (2022). Polynomial affine approach to HARA utility maximization with applications to OrnsteinUhlenbeck 4/2 models. Applied Mathematics and Computation418, 126836.
  • Escobar-Anel, M., Ferrando, S., Gschnaidtner*, C., & Rubtsov, A. (2022). International portfolio choice under multi-factor stochastic volatility. Quantitative Finance, 1-24.



  • 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)