Marcos Escobar-Anel

Graduate Chair
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 (2021-22)

  • Yuyang Cheng (Ph.D.)
  • Narges Goudarzi (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 Sources (current)

NSERC Discovery Grant, 2020-2025
Mitacs Postdoctoral Accelerate, 2020-2022


Publications (per year)


  • Zhu, Yichen*, M. Escobar-Anel. Polynomial affine approach to HARA utility maximization with applications to Ornstein-Uhlenbeck 4/2 models. Accepted. Applied Mathematics and Computation. 2021
  • Escobar-Anel, M, S. Ferrando, C. Gschnaidtner*, A. Rubtsov. International portfolio choice under multi-factor stochastic volatility. Accepted. Quantitative Finance. 2021.
  • Escobar, M. Wahl*, R. Zagst. Closed-form solution for a Solvency II constrained problem using Dual theory. Scandinavian Actuarial Journal2021.
  • Cheng*, Y. and M. Escobar. Robust Analysis of the 4/2 stochastic volatility model. IMA Journal of Management Mathematics. 2021.
  • Chen*, J, M. Davison, M. Escobar, G. Zafari*, Robust portfolio analysis with commodities and stochastic interest rates. Quantitative Finance21.6 (2021): 991-1010.
  • Chen*, Junhe, and Marcos Escobar-Anel. Model uncertainty on commodity portfolios, the role of convenience yield. Annals of Finance (2021): 1-28.
  • Cheng*, Yuyang, and Marcos Escobar-Anel. "Optimal investment strategy in the family of 4/2 stochastic volatility models." Quantitative Finance (2021): 1-29.
  • 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.
  • Escobar-Anel, Marcos, and Zhenxian Gong*. Mean-Reverting 4/2 Principal Components Model. Financial Applications. Risks 9.8 (2021): 141.


  • 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)