Similar Search Results

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

Portfolio choice with stochastic interest rates and learning about stock return predictability

Escobar, Marcos; Ferrando, Sebastian; Rubtsov, Alexey - In: International review of economics & finance : IREF 41 (2016), pp. 347-370

Persistent link: https://www.econbiz.de/10011624748

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

Barrier options in three dimensions

Escobar, Marcos; Ferrando, Sebastian; Wen, Xianzhang - In: International Journal of Financial Markets and Derivatives 3 (2014) 3, pp. 260-292

The paper provides closed-form expressions for the price of several barrier type derivatives with a three-dimensional geometric Wiener process as underlying. These solutions are found for special correlation matrices and are given by linear combinations of three-dimensional Gaussian cumulative...

Persistent link: https://www.econbiz.de/10010756273

International portfolio choice under multi-factor stochastic volatility

Escobar, Marcos; Ferrando, Sebastian; Gschnaidtner, … - In: Quantitative finance 22 (2022) 6, pp. 1193-1216

Persistent link: https://www.econbiz.de/10013367893