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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

Pricing of spread options on stochastically correlated underlyings

Escobar, Marcos; Götz, Barbara; Seco, Luis; Zagst, Rudi - In: The journal of computational finance 12 (2009) 3, pp. 31-61

Persistent link: https://www.econbiz.de/10009534616

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

CreditGrades framework within stochastic covariance models

Escobar, Marcos; Arian, Hamidreza; Seco, Luis - In: Journal of mathematical finance 2 (2012) 4, pp. 303-314

Persistent link: https://www.econbiz.de/10009725338

A general structural approach for credit modeling under stochastic volatility

Escobar, Marcos; Friedrich, Tim; Seco, Luis; Zagst, Rudi - In: Journal / The Capco Institute : journal of financial … 32 (2011), pp. 123-132

Persistent link: https://www.econbiz.de/10009629244

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

Closed-form pricing of two-asset barrier options with stochastic covariance

Götz, Barbara; Escobar, Marcos; Zagst, Rudi - In: Applied mathematical finance 21 (2014) 3/4, pp. 363-397

Persistent link: https://www.econbiz.de/10010499671

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

Pricing two-asset barrier options under stochastic correlation via perturbation

Escobar, Marcos; Götz, Barbara; Neykova, Daniela; … - In: International journal of theoretical and applied finance 18 (2015) 3, pp. 1-44

Persistent link: https://www.econbiz.de/10011403748

International Portfolio Choice Under Multi-Factor Stochastic Volatility

Escobar, Marcos - 2016

We develop a model of international portfolio choice in complete and incomplete markets with stochastic covariance between financial asset returns and exchange rates. The optimal investment strategies are derived in closed form. We estimate the model parameters and illustrate the optimal...

Persistent link: https://www.econbiz.de/10013002378