Marcos Escobar-Anel

Professor
Office: WSC 282
Phone: 519-661-2111 x84106
Email: marcos.escobar@uwo.ca


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: GARCH models 

Graduate Supervision (2024 - 2025)

  • Wei Li Fan (Ph.D.)
  • Yijao Jiao (Ph.D.)
  • Shiying Li (M.Sc.)
  • Jin Chen (M.Sc.)
  • Yige Pan (M.Sc.)
  • Minjie Hu (M.Sc.)
  • Haoyuan Zheng (M.Sc.)
  • Xize Ye (Ph.D., co-supervision with Lars Stentoft)
  • Kaize Pan (Ph.D., co-supervision with Lars Stentoft)
  • Siming Tang (Ph.D., co-supervision with Lars Stentoft)
  • Zheng Xu (Ph.D., Australian National University, with Gaurav Khemka)
  • Tobias Lausser (Ph.D., Technical University of Munich, with Rudi Zagst) 
  • Hussein Azadie faraz (Ph.D., Sharif University of Technology, with Hamid Arian)
  • Nando Ehler (M. Sc., TUM, with Rudi Zagst and Lars Stentoft) 

Research Funding Sources (current)

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

 

Publications (per year)

2024

  • M. Escobar-Anel, L. Stentoft, X. Ye*. Not All VIXs Are (Informationally) Equal: Evidence from Affine GARCH Option Pricing Models. Provisional Acceptance. Finance Research Letters, 2024.

#100 - M. Escobar-Anel, Wei Li Fan*, A new type of CEV model. Properties, comparison and application to portfolio optimization. Stochastic Models, 2024. 1-35. 

  • M. Escobar-Anel, Max Speck*, R. Zagst, Bayesian Learning in an Affine GARCH Model with Application to Portfolio Optimization. Mathematics, 2024. 12(11), 1611; 
  • M. Escobar-Anel and Yijao Jiao*, Unraveling the relationship between sustainability and returns: a multi-attribute utility analysis. China Finance Review International, 2024. 
  • Escobar-Anel, B. Spies*, R. Zagst, Do Jumps Matter in Discrete-Time Portfolio Optimization? Operations Research Perspectives, 2024, 100312. 
  • Escobar-Anel, M. and Yijao Jiao*, Robust portfolio optimization with ESG preference. Risks, 2024 12(2), 33; 
  • Escobar-Anel, M., B. Spies*, R. Zagst, Optimal consumption and investment in general affine GARCH models. OR Spectrum, (2024): 1-40. 
  • Escobar-Anel, M., and Wei Li Fan*, Robust portfolio choice under the modified constant elasticity of variance model. Mathematics 2024, 12(3), 440. 
  • Escobar-Anel, M., Eric Molten*, R. Zagst, The Power of Derivatives in Portfolio Optimization under Affine GARCH models, Decisions in Economcis and Finance, Vol 47, pages 151–181 (2024). 
  • Escobar-Anel, Marcos, Ben Spies*, and Rudi Zagst. Mean–variance optimization under affine GARCH: A utility-based solution. Finance Research Letters 59 (2024) : 104749. 

2023

  • Escobar-Anel M., M. Kschoneck*, R. Zagst. Mind the Cap!--Constrained Portfolio Optimisation in Heston's Stochastic Volatility Model, Quantitative Finance,  23.12 (2023): 1793-1813.  

#90 - Cheng*, Yuyang, and Marcos Escobar-Anel. Optimal consumption and robust portfolio choice for the 3/2 and 4/2 stochastic volatility models. Mathematics 11.18 (2023): 4020. 

  • Escobar M., J. Rastegari, L. Stentoft. Multivariate Affine GARCH models with covariance-dependent Kernel. International Review of Financial Analysis, 2023. 
  • Escobar, M., Wei Li Fan*, The SEV-SV model, applications to portfolio optimization. Risks 2023, 11(2), 30. 
  • Yuyang Cheng*, M. Escobar-Anel, A multivariate 4/2 stochastic covariance model. Properties and applications to portfolio decisions. Quantitative Finance, 2023 23:3, 497-519, DOI: 
  • Yuyang Cheng*, M. Escobar-Anel, A class of portfolio optimization solvable problems. Finance Research Letters,  52 (2023): 103373. 
  • Escobar-Anel, M., L. Theilacker*, R. Zagst. A Neural Network Approach To Optimal Investment Strategies. Decisions in Economics and Finance. 2023. 
  • Cheng*, Yuyang, and Marcos Escobar-Anel. "Robust portfolio choice under the 4/2 stochastic volatility model." IMA Journal of Management Mathematics 34.1 (2023): 221-256. 

2022

  • Escobar, L. Stentoft, X. Ye*. The benefits of returns and options in the estimation of GARCH models. A Heston-Nandi GARCH insight. Econometrics and Statistics, 2022. 
  • M. Escobar-Anel, A multiple risk aversions utility. Application to ESG investments. North American Journal of Economics and Finance. 2022. 
  • Davison, M. Escobar, Y. Zhu*. A polynomial-Affine approximation for dynamic portfolio choice. Accepted, Computational Economics. 2022. 

#80 - Davison, M. Escobar, Y. Zhu*. Derivatives-based portfolio decisions. An expected utility insight. Annals of Finance. 18, pages 217–246 (2022). 

  • Escobar, Y. Havrylenko*, R. Zagst. Risk shifting in a defined contribution pension plan. A need for re-insurance. Insurance Mathematics and Economics,105 (2022): 14-40. 
  • 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 Perspectives, 9, 100216. 
  • Zhu*, Y., & Escobar-Anel, M. (2022). Polynomial affine approach to HARA utility maximization with applications to OrnsteinUhlenbeck 4/2 models. Applied Mathematics and Computation, 418, 126836. 
  • Escobar-Anel, M., Ferrando, S., Gschnaidtner*, C., & Rubtsov, A. (2022). International portfolio choice under multi-factor stochastic volatility. Quantitative Finance, 1-24.

2021

  • Escobar-Anel, M., B. Spies*, R. Zagst. Expected utility theory on general affine GARCH models. Accepted, Applied Mathematical Finance. 28.6 (2021): 477- 507. 
  • Escobar, M. Wahl*, R. Zagst. Closed-form solution for a Solvency II constrained problem using Dual theory. Scandinavian Actuarial Journal. 2021. 

#70 - Chen*, J, M. Davison, M. Escobar, G. Zafari*, Robust portfolio analysis with commodities and stochastic interest rates. Quantitative Finance, 21.6 (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. 

2020

  • 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.

#60 - 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). 

2019

  • Cheng, Y., M. Escobar, Z. Gong*, Generalized mean-reverting 4/2 Factor Model. Journal of Risk and Financial Management, 12.4 (2019): 159. 
  • Escobar, M., H. Moreno-Franco, Dynamic Portfolio Strategies under a fully correlated jump-diffusion process. Annals of Finance, 15.3 (2019): 421-453. 

2018

  • Escobar-Anel, M., Höhn*, V., Seco, L., & Zagst, R. (2018). Optimal fee structures in hedge funds. Journal of Asset Management, 19 (7), 522-542. 
  • Escobar, M., P. Kriebel*, M. Wahl*, R. Zagst (2018).  Portfolio optimization under Solvency II. Annals of Operation Research. https://doi.org/10.1007/s10479-018-2835-x
  • Escobar, M., S. Ferrando, A. Rubtsov. (2018) Dynamic Derivative Strategies with Stochastic Interest Rates and Model Uncertainty. Journal of Economic Dynamics and Control. 86 (C), pages 49-71. 
  • V. Bergen*, M. Escobar, A. Rubtsov. R. Zagst. (2018) Robust Multivariate Portfolio Choice with Stochastic Covariance in the Presence of Ambiguity. Quantitative Finance. 

#50 - Escobar M. (2018) A Stochastic Volatility Factor Model of Heston type. Statistical Properties and Estimation. Stochastics. 90 (2). 

  • Escobar M., C. Gschnaidtner*. (2018) A multivariate stochastic volatility model with applications in the foreign exchange market. Review of Derivatives Research. 21. 1.

2017

  • Escobar, B. Goetz*, R. Zagst (2017). Two asset-barrier option under stochastic volatility. Applied Mathematical Finance, 24 (6) 520-546. 
  • Escobar, M. Mahlstedt*, S. Panz*, R. Zagst (2017). Collateralized Structured Products. Journal of Derivatives. Spring 2017, Vol. 24, No. 3, pp. 84-102. 
  • Escobar, M., D. Neykova*, R. Zagst. (2017) HARA Utility Maximization in a Markov-Switching Bond-Stock Market. Quantitative Finance. 17, 11. 

2016

  • Escobar, M. Krayzler*, F. Ramsauer*, D. Saunders, R. Zagst. (2016) Pricing of variable annuities - incorporation of policy holders surrender behavior. Risks, 4, 41. 
  • Escobar, M.; Panz, S*. (2016) A Note on the Impact of Parameter Uncertainty on Barrier Derivatives. Risks, 4, 35. 
  • Bi, M.*, Escobar-Anel, M., Goetz, B.* and Zagst, R. (2016). Principal Component Models with Stochastic Mean-Reverting levels. Pricing and Covariance surface improvements. Applied Stochastic Models in Business and Industry, 32 (5), 585–606.
  • Escobar-Anel, M. and Gschnaidtner, C.* (2016). Parameters Recovery via Calibration in the Heston model. A Comprehensive Review. Wilmott Magazine.
  • Escobar-Anel, M., Rudolph, B.* and Zagst, R. (2016). Estimation of stochastic covariance models using a Continuum of Moment Condition. . ACM Transactions of Mathematical Software 42. 4/33.

#40 - Escobar-Anel, M., Krause, D.* and Zagst, R. (2016). Stochastic Covariance and dimension reduction in the pricing of basket options. Review of Derivatives Research, 19. 165-200.

  • Escobar-Anel, M., Ferrando, S. and Rubtsov, A. (2016). Optimal investment under multi-factor stochastic volatility. Quantitative Finance, 17, 2, 241-260.

2015

  • Escobar-Anel, M., Goetz, B.*, Neykova, D.* and Zagst, R. (2015). Pricing two-assets Barrier Options under stochastic correlation via perturbation theory. International Journal of Theoretical and Applied Finance, 18 (3) .
  • Escobar-Anel, M., Neykova, D.* and Zagst, R. (2015). Portfolio optimization in Affine models with Markov switching. International Journal of Theoretical and Applied Finance, 18 (5) .
  • Escobar-Anel, M., Ferrando, S. and Rubtsov, A. (2015). Portfolio Choice with Stochastic Interest Rates and Learning about Stock Return Predictability. International Review of Economics and Finance, .
  • Escobar-Anel, M., Ferrando, S. and Rubtsov, A. (2015). Robust portfolio choice with derivative trading under stochastic volatility.. Journal of Banking and Finance, 61 142-157.
  • Escobar-Anel, M., Neykova, D.* and Zagst, R. (2015). Optimal Investment in Multidimensional Markov-modulated Affine Models: Theory and Examples. Annals of Finance, 11 (3).

2014

  • Escobar-Anel, M., Ferrando, S. and Wen, X.* (2014). Barrier options in three dimensions. International Journal of Financial Markets and Derivatives, 3 (3) 260-292.
  • Escobar-Anel, M., Goetz, B.* and Zagst, R. (2014). Closed-form pricing of two asset-barrier option within stochastic covariance. Applied Mathematical Finance, 21 (4) 363-397.
  • Escobar-Anel, M., Goetz, B.*, Neykova, D.* and Zagst, R. (2014). Stochastic Correlation and Volatility Mean- reversion. Empirical Motivation and Derivatives Pricing via Perturbation Theory. Applied Mathematical Finance, 21 (6) 555-594.

#30 - Escobar-Anel, M. and Hernandez, J.* (2014). A note on the distribution of multivariate Brownian Extrema. International Journal of Stochastic Analysis.

2013

  • Escobar-Anel, M. and Olivares, P. (2013). Pricing of Mountain Range Derivatives under a Principal Component Stochastic Volatility Model. Applied Stochastic Models in Business and Industry, 29 (1) 31-44.
  • Bernhart, G.*, Escobar-Anel, M., Mai, J. and Scherer, M. (2013). Default models based on scale mixtures of Marshall-Olkin Copulas: properties and applications. Metrika, 76 (2) 179-203.
  • Escobar-Anel, M., Friederich, T.*, Seco, L. and Zagst, R. (2013). Multi-Dimensional Structural Credit Modeling under Stochastic Volatility. ISRN Probability and Statistics.
  • Escobar-Anel, M., Ferrando, S. and Wen, X.* (2013). Three Dimensional Distribution of Brownian Motion Extrema. An International Journal of Probability and Stochastic Processes, 85 (5) 807-832.
  • Escobar-Anel, M., Mitterreiter, M.*, Saunders, D., Seco, L. and Zagst, R. (2013). Market Crises and the 1/N Asset-Allocation Strategy.. Journal of Investment Strategies, 4 (2) .
  • Escobar-Anel, M., Hieber, P.* and Scherer, M. (2013). Efficiently pricing double barrier derivatives in stochastic volatility models. Review of Derivatives Research, 17, 191-216.

2009-2012 (sample)

  • Escobar-Anel, M., Frielingsdorf, T.* and Zagst, R. (2012). Impact of factor models on portfolio risk measures. A structural approach. Journal of Credit Risk, 8 (2) .
  • Escobar-Anel, M., Frielingsdorf, T.*, Krayzler, M.*, Seco, L. and Zagst, R. (2011). An Intensity-Based Approach for Equity Modeling. Applied Stochastic Models in Business and Industry, 27 (6) 676-690.
  • Escobar-Anel, M., Hieber, P.*, Scherer, M. and Seco, L. (2011). Portfolio optimization in a multidimensional structural-default model with a focus on private equity.. Journal of Private Equity, 15 (1) 26-35.
  • Escobar-Anel, M., Goetz, B.*, Seco, L. and Zagst, R. (2010). Pricing of a CDO on stochastically correlated underlyings. Quantitative Finance, 3 265-277.
  • Goetz, B.*, Seco, L., Zagst, R. and Escobar-Anel, M. (2009). Pricing of Spread Options on stochastically correlated underlyings. Journal of Computational Finance, 12 (3).
  • Abinzano, I., Seco, L. and Escobar-Anel, M. (2009). Debt reorganization and First Passage Models. Economic Modelling, 26 (5) 910-917.