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Author ID: escobar.marcos Recent zbMATH articles by "Escobar, Marcos"
Published as: Escobar, Marcos; Escobar, M.
Documents Indexed: 34 Publications since 2002, including 1 Additional arXiv Preprint
Co-Authors: 25 Co-Authors with 29 Joint Publications
185 Co-Co-Authors

Publications by Year

Citations contained in zbMATH Open

28 Publications have been cited 109 times in 77 Documents Cited by Year
Dynamic derivative strategies with stochastic interest rates and model uncertainty. Zbl 1401.91516
Escobar, Marcos; Ferrando, Sebastian; Rubtsov, Alexey
13
2018
Pricing of mountain range derivatives under a principal component stochastic volatility model. Zbl 1286.91134
Escobar, Marcos; Olivares, Pablo
11
2013
Pricing a CDO on stochastically correlated underlyings. Zbl 1202.91317
Escobar, Marcos; Götz, Barbara; Seco, Luis; Zagst, Rudi
11
2010
Numerical simulation of flow-induced noise using LES/SAS and Lighthill’s acoustic analogy. Zbl 1425.76103
Kaltenbacher, M.; Escobar, M.; Becker, S.; Ali, I.
10
2010
Optimal investment under multi-factor stochastic volatility. Zbl 1402.91688
Escobar, Marcos; Ferrando, Sebastian; Rubtsov, Alexey
9
2017
Robust multivariate portfolio choice with stochastic covariance in the presence of ambiguity. Zbl 1400.91529
Bergen, V.; Escobar, M.; Rubtsov, A.; Zagst, R.
8
2018
Three dimensional distribution of Brownian motion extrema. Zbl 1302.60045
Escobar, Marcos; Ferrando, Sebastian; Wen, Xianzhang
6
2013
Portfolio optimization under Solvency II. Zbl 1433.91130
Escobar, Marcos; Kriebel, Paul; Wahl, Markus; Zagst, Rudi
5
2019
Portfolio optimization in affine models with Markov switching. Zbl 1337.91077
Escobar, Marcos; Neykova, Daniela; Zagst, Rudi
5
2015
Efficiently pricing double barrier derivatives in stochastic volatility models. Zbl 1307.91174
Escobar, Marcos; Hieber, Peter; Scherer, Matthias
5
2014
Stochastic correlation and volatility mean-reversion – empirical motivation and derivatives pricing via perturbation theory. Zbl 1395.91439
Escobar, Marcos; Götz, Barbara; Neykova, Daniela; Zagst, Rudi
4
2014
HARA utility maximization in a Markov-switching bond-stock market. Zbl 1402.91687
Escobar, M.; Neykova, D.; Zagst, R.
4
2017
Algorithm 963: Estimation of stochastic covariance models using a continuum of moment conditions. Zbl 1369.65015
Escobar, Marcos; Rudolph, Benedikt; Zagst, Rudi
4
2016
Time domain computation of flow induced sound. Zbl 1237.76068
Ali, I.; Escobar, M.; Kaltenbacher, M.; Becker, S.
4
2008
Closed-form pricing of two-asset barrier options with stochastic covariance. Zbl 1395.91443
Götz, Barbara; Escobar, Marcos; Zagst, Rudi
3
2014
An intensity-based approach for equity modeling. Zbl 1274.91466
Escobar, M.; Friederich, T.; Krayzler, M.; Seco, L.; Zagst, R.
3
2011
Pricing of spread options on stochastically correlated underlyings. Zbl 1173.91365
Escobar, Marcos; Götz, Barbara; Seco, Luis; Zagst, Rudi
3
2009
A note on the distribution of multivariate Brownian extrema. Zbl 1325.60079
Escobar, Marcos; Hernandez, Julio
3
2014
A multivariate stochastic volatility model with applications in the foreign exchange market. Zbl 1417.91496
Escobar, Marcos; Gschnaidtner, Christoph
2
2018
Two asset-barrier option under stochastic volatility. Zbl 1398.91592
Goetz, Barbara; Escobar, Marcos; Zagst, Rudi
2
2017
Principal component models with stochastic mean-reverting levels. Pricing and covariance surface improvements. Zbl 1420.91449
Bi, Monika; Escobar, Marcos; Goetz, Barbara; Zagst, Rudi
1
2016
Stochastic covariance and dimension reduction in the pricing of basket options. Zbl 1349.91305
Escobar, Marcos; Krause, Daniel; Zagst, Rudi
1
2016
Optimal investment in multidimensional Markov-modulated affine models. Zbl 1371.91162
Neykova, Daniela; Escobar, Marcos; Zagst, Rudi
1
2015
Approximate solution for multi-server queueing systems with Erlangian service times. Zbl 0994.90046
Escobar, Marcos; Odoni, Amedeo R.; Roth, Emily
1
2002
Asymptotic behavior of maximum likelihood estimators in a branching diffusion model. Zbl 1205.60143
Hernandez, Janko; Olivares, Pablo; Escobar, Marcos
1
2009
Risk management under a factor stochastic volatility model. Zbl 1208.91133
Escobar, Marcos; Olivares, Pablo
1
2011
Pricing two-asset barrier options under stochastic correlation via perturbation. Zbl 1337.91096
Escobar, Marcos; Götz, Barbara; Neykova, Daniela; Zagst, Rudi
1
2015
A stochastic volatility factor model of Heston type. Statistical properties and estimation. Zbl 1498.60282
Escobar, Marcos
1
2018
Portfolio optimization under Solvency II. Zbl 1433.91130
Escobar, Marcos; Kriebel, Paul; Wahl, Markus; Zagst, Rudi
5
2019
Dynamic derivative strategies with stochastic interest rates and model uncertainty. Zbl 1401.91516
Escobar, Marcos; Ferrando, Sebastian; Rubtsov, Alexey
13
2018
Robust multivariate portfolio choice with stochastic covariance in the presence of ambiguity. Zbl 1400.91529
Bergen, V.; Escobar, M.; Rubtsov, A.; Zagst, R.
8
2018
A multivariate stochastic volatility model with applications in the foreign exchange market. Zbl 1417.91496
Escobar, Marcos; Gschnaidtner, Christoph
2
2018
A stochastic volatility factor model of Heston type. Statistical properties and estimation. Zbl 1498.60282
Escobar, Marcos
1
2018
Optimal investment under multi-factor stochastic volatility. Zbl 1402.91688
Escobar, Marcos; Ferrando, Sebastian; Rubtsov, Alexey
9
2017
HARA utility maximization in a Markov-switching bond-stock market. Zbl 1402.91687
Escobar, M.; Neykova, D.; Zagst, R.
4
2017
Two asset-barrier option under stochastic volatility. Zbl 1398.91592
Goetz, Barbara; Escobar, Marcos; Zagst, Rudi
2
2017
Algorithm 963: Estimation of stochastic covariance models using a continuum of moment conditions. Zbl 1369.65015
Escobar, Marcos; Rudolph, Benedikt; Zagst, Rudi
4
2016
Principal component models with stochastic mean-reverting levels. Pricing and covariance surface improvements. Zbl 1420.91449
Bi, Monika; Escobar, Marcos; Goetz, Barbara; Zagst, Rudi
1
2016
Stochastic covariance and dimension reduction in the pricing of basket options. Zbl 1349.91305
Escobar, Marcos; Krause, Daniel; Zagst, Rudi
1
2016
Portfolio optimization in affine models with Markov switching. Zbl 1337.91077
Escobar, Marcos; Neykova, Daniela; Zagst, Rudi
5
2015
Optimal investment in multidimensional Markov-modulated affine models. Zbl 1371.91162
Neykova, Daniela; Escobar, Marcos; Zagst, Rudi
1
2015
Pricing two-asset barrier options under stochastic correlation via perturbation. Zbl 1337.91096
Escobar, Marcos; Götz, Barbara; Neykova, Daniela; Zagst, Rudi
1
2015
Efficiently pricing double barrier derivatives in stochastic volatility models. Zbl 1307.91174
Escobar, Marcos; Hieber, Peter; Scherer, Matthias
5
2014
Stochastic correlation and volatility mean-reversion – empirical motivation and derivatives pricing via perturbation theory. Zbl 1395.91439
Escobar, Marcos; Götz, Barbara; Neykova, Daniela; Zagst, Rudi
4
2014
Closed-form pricing of two-asset barrier options with stochastic covariance. Zbl 1395.91443
Götz, Barbara; Escobar, Marcos; Zagst, Rudi
3
2014
A note on the distribution of multivariate Brownian extrema. Zbl 1325.60079
Escobar, Marcos; Hernandez, Julio
3
2014
Pricing of mountain range derivatives under a principal component stochastic volatility model. Zbl 1286.91134
Escobar, Marcos; Olivares, Pablo
11
2013
Three dimensional distribution of Brownian motion extrema. Zbl 1302.60045
Escobar, Marcos; Ferrando, Sebastian; Wen, Xianzhang
6
2013
An intensity-based approach for equity modeling. Zbl 1274.91466
Escobar, M.; Friederich, T.; Krayzler, M.; Seco, L.; Zagst, R.
3
2011
Risk management under a factor stochastic volatility model. Zbl 1208.91133
Escobar, Marcos; Olivares, Pablo
1
2011
Pricing a CDO on stochastically correlated underlyings. Zbl 1202.91317
Escobar, Marcos; Götz, Barbara; Seco, Luis; Zagst, Rudi
11
2010
Numerical simulation of flow-induced noise using LES/SAS and Lighthill’s acoustic analogy. Zbl 1425.76103
Kaltenbacher, M.; Escobar, M.; Becker, S.; Ali, I.
10
2010
Pricing of spread options on stochastically correlated underlyings. Zbl 1173.91365
Escobar, Marcos; Götz, Barbara; Seco, Luis; Zagst, Rudi
3
2009
Asymptotic behavior of maximum likelihood estimators in a branching diffusion model. Zbl 1205.60143
Hernandez, Janko; Olivares, Pablo; Escobar, Marcos
1
2009
Time domain computation of flow induced sound. Zbl 1237.76068
Ali, I.; Escobar, M.; Kaltenbacher, M.; Becker, S.
4
2008
Approximate solution for multi-server queueing systems with Erlangian service times. Zbl 0994.90046
Escobar, Marcos; Odoni, Amedeo R.; Roth, Emily
1
2002
all top 5

Cited by 132 Authors

18 Escobar, Marcos
16 Zagst, Rudi
11 Escobar Anel, Marcos
4 Ferrando, Sebastián Esteban
4 Götz, Barbara
4 Neykova, Daniela
4 Rubtsov, Alexey N.
4 Zhang, Yumo
3 Wong, Hoi Ying
2 Altay, Sühan
2 Chen, Junhe
2 Colaneri, Katia
2 Dorobantu, Diana
2 Eksi, Zehra
2 Gschnaidtner, Christoph
2 Han, Bingyan
2 Hieber, Peter
2 Kschonnek, Michel
2 Olivares, Pablo
2 Yoon, Ji-Hun
1 Belak, Christoph
1 Bergen, V.
1 Bhudisaksang, Theerawat
1 Blanchet-Scalliet, Christophette
1 Bras, Pierre
1 Cao, Zheng
1 Cartea, Álvaro
1 Cayirli, Tugba
1 Chang, Hao
1 Chen, An
1 Chen, Peimin
1 Cheng, Yuyang
1 Ching, Wai-Ki
1 Christensen, Soren
1 Da Fonseca, José
1 Delsing, G. A.
1 Dong, Fangyuan
1 Ehrhardt, Matthias
1 Friederich, Tim
1 Gay, Laura
1 Gu, Jiawen
1 Günther, Michael
1 Ha, Mijin
1 Hanbali, Hamza
1 Hassapis, Christis
1 Havrylenko, Yevhen
1 He, Yong
1 Hernández, Janko
1 Hu, Duni
1 Hu, Lei
1 Huh, Jeonggyu
1 Jeon, Jaegi
1 Jeon, Junkee
1 Jia, Yunjing
1 Kaushansky, Vadim
1 Keller, Maximilian
1 Kim, Jeong-Hoon
1 Kohatsu-Higa, Arturo
1 Kostrzewa, Tomasz
1 Krause, Daniel
1 Lai, Shaoyong
1 Li, Guo
1 Li, Jiaao
1 Li, Mengjie
1 Li, Zhongfei
1 Lichtenstern, Andreas
1 Lin, Qian
1 Linders, Daniël
1 Lipton, Alexander
1 Low, Joyce Mei Wan
1 Lu, Xiaoping
1 Ma, Guiyuan
1 Mandjes, Michel Robertus Hendrikus
1 Mehrdoust, Farshid
1 Menkens, Olaf
1 Moreno-Franco, Harold A.
1 Park, Chang-Rae
1 Park, Hyejin
1 Pu, Jiangyan
1 Pun, Chi Seng
1 Rach, Manuel
1 Reisinger, Christoph
1 Rolling, Craig A.
1 Rudolph, Benedikt
1 Salhi, Yahia
1 Scherer, Matthias
1 Seco, Luis Angel
1 Shen, Yang
1 Si, Qinrui
1 Spreij, P. J. C.
1 Su, Jianxi
1 Sun, Jingyun
1 Sun, Xianming
1 Teng, Long
1 Theilacker, Lorenz
1 Thérond, Pierre-E.
1 Tian, Miao
1 Tu, Jingwen
1 Wahl, Markus
1 Wang, Hailong
...and 32 more Authors
all top 5

Cited in 41 Serials

9 Quantitative Finance
4 Applied Mathematical Finance
4 Review of Derivatives Research
4 Journal of Industrial and Management Optimization
4 Annals of Finance
3 Annals of Operations Research
3 International Journal of Theoretical and Applied Finance
3 Scandinavian Actuarial Journal
2 Journal of Computational and Applied Mathematics
2 Mathematics and Computers in Simulation
2 Insurance Mathematics & Economics
2 Optimization
2 Journal of Economic Dynamics & Control
2 Methodology and Computing in Applied Probability
2 Applied Stochastic Models in Business and Industry
2 Decisions in Economics and Finance
2 Stochastics
1 Journal of Mathematical Analysis and Applications
1 ACM Transactions on Mathematical Software
1 Applied Mathematics and Computation
1 Automatica
1 International Journal of Mathematics and Mathematical Sciences
1 Journal of Applied Probability
1 Journal of Multivariate Analysis
1 Journal of Optimization Theory and Applications
1 SIAM Journal on Control and Optimization
1 Computers & Operations Research
1 Asia-Pacific Journal of Operational Research
1 Communications in Statistics. Theory and Methods
1 European Journal of Operational Research
1 Stochastic Processes and their Applications
1 Applicationes Mathematicae
1 Journal of Inverse and Ill-Posed Problems
1 Mathematical Methods of Operations Research
1 North American Actuarial Journal
1 Mathematics and Financial Economics
1 Advances in Operations Research
1 International Journal of Stochastic Analysis
1 European Actuarial Journal
1 ISRN Probability and Statistics
1 Electronic Research Archive

Citations by Year