Edit Profile (opens in new tab) Escobar, Marcos Co-Author Distance Author ID: 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 all top 5 Co-Authors 1 single-authored 19 Zagst, Rudi 8 Seco, Luis Angel 7 Götz, Barbara 5 Neykova, Daniela 3 Ferrando, Sebastián Esteban 3 Olivares, Pablo 3 Rubtsov, Alexey N. 2 Ali, Irfan 2 Becker, Stefan 2 Friederich, Tim 2 Kaltenbacher, Manfred 2 Kiechle, Andreas 1 Bergen, V. 1 Bi, Monika 1 Gschnaidtner, Christoph 1 Hernández, Janko 1 Hieber, Peter 1 Krämer, Stefan 1 Krause, Daniel 1 Krayzler, Mikhail 1 Kriebel, Paul 1 Libotte, Gustavo Barbosa 1 Neto, F. D. Moura 1 Odoni, Amedeo R. 1 Parajara, C. N. 1 Platt, Gustavo M. 1 Roth, Emily 1 Rudolph, Benedikt 1 Scheibl, Florian 1 Scherer, Matthias 1 Wahl, Markus 1 Wen, Xianzhang all top 5 Serials 4 Quantitative Finance 3 Applied Mathematical Finance 3 Applied Stochastic Models in Business and Industry 3 Review of Derivatives Research 2 International Journal of Theoretical and Applied Finance 2 Stochastics 1 Computers and Fluids 1 International Journal for Numerical Methods in Fluids 1 ACM Transactions on Mathematical Software 1 Computers & Operations Research 1 Asia-Pacific Journal of Operational Research 1 Journal of Economic Dynamics & Control 1 Annals of Operations Research 1 Statistical Inference for Stochastic Processes 1 RACSAM. Revista de la Real Academia de Ciencias Exactas, Físicas y Naturales. Serie A: Matemáticas 1 International Mathematical Forum 1 The Journal of Computational Finance 1 International Journal of Stochastic Analysis 1 Annals of Finance 1 ISRN Probability and Statistics all top 5 Fields 26 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 9 Statistics (62-XX) 7 Probability theory and stochastic processes (60-XX) 3 Systems theory; control (93-XX) 2 Numerical analysis (65-XX) 2 Fluid mechanics (76-XX) 1 Partial differential equations (35-XX) 1 Operator theory (47-XX) 1 Operations research, mathematical programming (90-XX) Publications by Year all cited Publications top 5 cited Publications 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 cited Publications top 5 cited Publications 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 all top 5 Cited in 12 Fields 68 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 27 Probability theory and stochastic processes (60-XX) 14 Statistics (62-XX) 13 Systems theory; control (93-XX) 8 Numerical analysis (65-XX) 6 Calculus of variations and optimal control; optimization (49-XX) 4 Operations research, mathematical programming (90-XX) 3 Partial differential equations (35-XX) 1 Combinatorics (05-XX) 1 Ordinary differential equations (34-XX) 1 Integral transforms, operational calculus (44-XX) 1 Computer science (68-XX) Citations by Year