Concepedia

Marcos Escobar

ME

13

Publications

296

Citations

12

H-Index

2002

Active since

Affiliations

Toronto Metropolitan University(Current)

Western University

Technical University of Munich

Marcos Escobar is an author at Toronto Metropolitan University specializing in asset pricing, business, and finance.

Top concepts

BusinessAsset PricingFinanceEconomicsEngineeringPortfolio OptimizationFinancial EconomicsManagementFinancial EngineeringMultivariate Stochastic Volatility

Publications per year

2002–2018

13

Publications

13

Robust portfolio choice with derivative trading under stochastic volatility

Marcos Escobar, Sebastián Ferrando, Alexey Rubtsov · Journal of Banking & Finance · 2015 · 71 citations

Multivariate Stochastic Volatility, Portfolio Optimization, Asset Pricing +6

Optimal investment under multi-factor stochastic volatility

Marcos Escobar, Sebastián Ferrando, Alexey Rubtsov · Quantitative Finance · 2016 · 29 citations

Economics, Portfolio Optimization, Multivariate Stochastic Volatility +15

PORTFOLIO OPTIMIZATION IN AFFINE MODELS WITH MARKOV SWITCHING

Marcos Escobar, Daniela Neykova, Rudi Zagst · International Journal of Theoretical and Applied Finance · 2015 · 27 citations

Engineering, Stochastic Analysis, Operations Research +19

Dynamic derivative strategies with stochastic interest rates and model uncertainty

Marcos Escobar, Sebastián Ferrando, Alexey Rubtsov · Journal of Economic Dynamics and Control · 2017 · 25 citations

Dynamic Economic Model, Economics, Term Structure Model +10

Pricing a CDO on stochastically correlated underlyings

Marcos Escobar, Barbara Götz, Luis Seco et al. · Quantitative Finance · 2009 · 23 citations

Mathematical Programming, Covariance Matrix, Engineering +15

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