Marcos Escobar-Anel

Office: WSC 282
Phone: 519-661-2111 x84106

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: Estimation stochastic processes and time series. 

Graduate Supervision (2023 - 2024)

  • Wei Li Fan (Ph.D.)
  • Yijao Jiao (Ph.D.)
  • Wen-Zhan Cao (M.Sc.)
  • Sahand Seyfi (M.Sc.)
  • Ziyuan Fang (M.Sc.)
  • Hongchen Liu (M.Sc.)
  • Xize Ye (Ph.D., co-supervision with Lars Stentoft)
  • Kaize Pan (Ph.D., co-supervision with Lars Stentoft)
  • Zheng Xu (Ph.D., Australian National University, with Timothy Higgins and Gaurav Khemka)
  • Ben Spies (Ph.D., Technical University Munich, with Rudi Zagst)
  • Yu Jung Yang (M. Sc., TUM, with Rudi Zagst) 
  • Tobias Lausser (M. Sc., TUM, with Rudi Zagst) 

Research Funding Sources (current)

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


Publications (per year)


  • Escobar-Anel, M. and Yijao Jiao*, Robust portfolio optimization with ESG preference. Accepted with Risks, 2024.
  • Escobar-Anel, M., B. Spies*, R. Zagst, Portfolio optimization with consumption for affine GARCH. Accepted with OR Spectrum, 2024
  • Escobar-Anel, M., and Wei Li Fan*, Robust portfolio choice under the modified constant elasticity of variance model. Accepted with Mathematics MDPI, 2024.
  • Escobar-Anel, M., Eric Molten*, R. Zagst, The Power of Derivatives in Portfolio Optimization under Affine GARCH models, Accepted with Decisions in Economcis and Finance, 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


  • Escobar-Anel M., M. Kschoneck*, R. Zagst. Mind the Cap!--Constrained Portfolio Optimisation in Heston's Stochastic Volatility Model, Accepted with Quantitative Finance, 2023.
  • 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 202311(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: 10.1080/14697688.2022.2160936
  • 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.




  • 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.
  • 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).








2009-2012 (sample)