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Dynamic derivative strategies with stochastic interest rates and model uncertainty
Escobar, Marcos; Ferrando, Sebastian; Rubtsov, Alexey - In: Journal of economic dynamics & control 86 (2018), pp. 49-71
Persistent link: https://www.econbiz.de/10011973854
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Stochastic volatility models for the implied correlation index : evidence, properties and pricing
Escobar, Marcos; Lin, Fang - In: Finance research letters 35 (2020), pp. 1-8
Persistent link: https://www.econbiz.de/10012438998
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Affine multivariate GARCH models
Escobar, Marcos; Rastegari, Javad; Stentoft, Lars - In: Journal of banking & finance 118 (2020), pp. 1-16
Persistent link: https://www.econbiz.de/10012521059
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Pricing multiple barrier derivatives under stochastic volatility
Escobar, Marcos; Panz, Sven; Zagst, Rudi - In: The journal of computational finance 24 (2020) 2, pp. 77-101
Persistent link: https://www.econbiz.de/10012543622
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Derivatives-based portfolio decisions : an expected utility insight
Escobar, Marcos; Davison, Matt; Zhu, Yichen - In: Annals of finance 18 (2022) 2, pp. 217-246
Persistent link: https://www.econbiz.de/10013278982
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The power of derivatives in portfolio optimization under affine GARCH models
Escobar, Marcos; Molter, Eric; Zagst, Rudi - In: Decisions in economics and finance : a journal of … 47 (2024) 1, pp. 151-181
Persistent link: https://www.econbiz.de/10015044791
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Pricing two dimensional derivatives under stochastic correlation
Alvarez, Alexander; Escobar, Marcos; Olivares, Pablo - In: International journal of financial markets and derivatives 2 (2011) 4, pp. 265-287
Persistent link: https://www.econbiz.de/10009528841
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Stochastic correlation and volatility mean-reversion : empirical motivation and derivatives pricing via perturbation theory
Escobar, Marcos; Götz, Barbara; Neykova, Daniela; … - In: Applied mathematical finance 21 (2014) 5/6, pp. 555-594
Persistent link: https://www.econbiz.de/10010500871
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Robust portfolio choice with derivative trading under stochastic volatility
Escobar, Marcos; Ferrando, Sebastian; Rubtsov, Alexey - In: Journal of banking & finance 61 (2015), pp. 142-157
Persistent link: https://www.econbiz.de/10011545164
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Efficiently pricing double barrier derivatives in stochastic volatility models
Escobar, Marcos; Hieber, Peter; Scherer, Matthias - In: Review of derivatives research 17 (2014) 2, pp. 191-216
Persistent link: https://www.econbiz.de/10010529630