Marcos Escobar-Anel

Professor
Office: WSC 282
Phone: 519-661-2111 x84106
Email: marcos.escobar@uwo.ca

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: GARCH models

Graduate Supervision (2025 - 2026)

Wei Li Fan (Ph.D.)
Jiaxin Zhang (M.Sc.)
Jijao Deng (M.Sc.)
Xinyu Wen (M.Sc.)
Yichen Liang (M.Sc.)
Xize Ye (Ph.D., co-supervision with Lars Stentoft)
Kaize Pan (Ph.D., co-supervision with Lars Stentoft)
Siming Tang (Ph.D., co-supervision with Lars Stentoft)
Zheng Xu (Ph.D., Australian National University, with Gaurav Khemka)
Tobias Lausser (Ph.D., Technical University of Munich, with Rudi Zagst)
Hussein Azadie faraz (Ph.D., Sharif University of Technology, with Hamid Arian)

Research Funding Sources (current)

NSERC Discovery Grant, 2020-2025

Publications (per year)

2025

M. Escobar-Anel, Gaurav Khemka, Rudi Zagst, Mean-Variance optimization of terminal wealth and consumption. Finance Research Letters, 2025.
Escobar-Anel, Marcos, and Yiyao Jiao. "The Generative Adversarial Approach: A Cautionary Tale of Finite Samples." Algorithms 18.9 (2025): 564. https://doi.org/10.3390/a18090564
M. Escobar-Anel, G. Khemka, Zheng Xu, The repayment structure of agricultural loans under a full repayment constraint. Journal of Agricultural & Applied Economics. 2025.
Aghapour*, A., Arian, H., Escobar-Anel, M., & Seco, L. (2025, September). Conditional Correlation via Generalized Random Forests with Application to Hedge Funds. In Operations Research Forum (Vol. 6, No. 3, p. 136). Cham: Springer International Publishing. https://doi.org/10.1007/s43069-025-00548-4
Escobar-Anel, Marcos, Lars Stentoft, and Xize Ye*. "Analytical fixed income pricing in discrete time: A new family of models." Global Finance Journal (2025): 101170. https://doi.org/10.1016/j.gfj.2025.101170
Escobar-Anel, Marcos. "Local Stochastic Correlation Models for Derivative Pricing." Stats 8.3 (2025): 65. https://doi.org/10.3390/stats8030065
#110 - Faraz, Behzad-Hussein Azadie*, Hamid Arian, and Marcos Escobar-Anel. "Markov-Modulated and Shifted Wishart Processes with Applications in Derivatives Pricing." International Journal of Financial Studies 13.2 (2025): 91. https://doi.org/10.3390/ijfs13020091
Ruggeri, Fabrizio, et al. "Is There a Future for Stochastic Modeling in Business and Industry in the Era of Machine Learning and Artificial Intelligence?." Applied Stochastic Models in Business and Industry 41.2 (2025): e70004. https://doi.org/10.1002/asmb.70004
Escobar-Anel, M., Ferrando, S., Li*, F., & Xu, K. (2025). Data-Based Parametrization for Affine GARCH Models Across Multiple Time Scales—Roughness Implications. Econometrics, 13(1), 6. https://doi.org/10.3390/econometrics13010006
Escobar-Anel, Marcos, Yu-Jung Yang*, and Rudi Zagst. "Multivariate Affine GARCH in portfolio optimization. Analytical solutions and applications." The North American Journal of Economics and Finance 77 (2025): 102376. https://doi.org/10.1016/j.najef.2025.102376
Escobar-Anel, Marcos. "A generalized constant elasticity of volatility and correlation ratio (CEVC) model: Empirical evidence and application for portfolio optimization." Economic Modelling 147 (2025): 107039. https://doi.org/10.1016/j.econmod.2025.107039
M. Escobar-Anel, Yangyang* Hou, L. Stentoft, The shifted GARCH model with Affine variance: Applications in pricing. Finance Research Letters, 71 (2025): 106371. https://doi.org/10.1016/j.frl.2024.106371
M. Escobar-Anel, Y. Havrylenko*, R. Zagst, An analytical solution for an incomplete market’s constrained portfolio problem under stochastic volatility. Annals of Operations Research, 347.3 (2025): 1265-1309. https://doi.org/10.1007/s10479-024-06390-x

2024

Yuyang* Cheng, M. Escobar-Anel, Incomplete market analysis of optimal consumption and robust portfolio for the 4/2 stochastic volatility model. Proceedings of ICIAM, 2024.
M. Escobar-Anel, Y. Zhu*, M. Davison, Optimal market completion through financial derivatives with applications to volatility risk. Journal of Risk and Financial Management. 2024 17(10), 457. https://doi.org/10.3390/jrfm17100457
M. Escobar-Anel, L. Stentoft, X. Ye*. Not All VIXs Are (Informationally) Equal: Evidence from Affine GARCH Option Pricing Models. Finance Research Letters, 69 (2024): 106053. https://doi.org/10.1016/j.frl.2024.106053
#100 - M. Escobar-Anel, Wei Li Fan*, A new type of CEV model. Properties, comparison and application to portfolio optimization. Stochastic Models, 2024. 1-35. https://doi.org/10.1080/15326349.2024.2327435
M. Escobar-Anel, Max Speck*, R. Zagst, Bayesian Learning in an Affine GARCH Model with Application to Portfolio Optimization. Mathematics, 2024. 12(11), 1611; https://doi.org/10.3390/math12111611
M. Escobar-Anel and Yijao Jiao*, Unraveling the relationship between sustainability and returns: a multi-attribute utility analysis. China Finance Review International, 2024. https://doi.org/10.1108/CFRI-09-2023-0241
Escobar-Anel, B. Spies*, R. Zagst, Do Jumps Matter in Discrete-Time Portfolio Optimization? Operations Research Perspectives, 2024, 100312. https://doi.org/10.1016/j.orp.2024.100312
Escobar-Anel, M. and Yijao Jiao*, Robust portfolio optimization with ESG preference. Risks, 2024 12(2), 33; https://doi.org/10.3390/risks12020033
Escobar-Anel, M., B. Spies*, R. Zagst, Optimal consumption and investment in general affine GARCH models. OR Spectrum, (2024): 1-40. https://doi.org/10.1007/s00291-024-00749-z
Escobar-Anel, M., and Wei Li Fan*, Robust portfolio choice under the modified constant elasticity of variance model. Mathematics 2024, 12(3), 440. https://doi.org/10.3390/math12030440
Escobar-Anel, M., Eric Molten*, R. Zagst, The Power of Derivatives in Portfolio Optimization under Affine GARCH models, Decisions in Economcis and Finance, Vol 47, pages 151–181 (2024). https://doi.org/10.1093/rfs/13.3.585
Escobar-Anel, Marcos, Ben Spies*, and Rudi Zagst. Mean–variance optimization under affine GARCH: A utility-based solution. Finance Research Letters 59 (2024) : 104749. https://doi.org/10.1016/j.frl.2023.104749

2023

Escobar-Anel M., M. Kschoneck*, R. Zagst. Mind the Cap!--Constrained Portfolio Optimisation in Heston's Stochastic Volatility Model, Quantitative Finance, 23.12 (2023): 1793-1813. https://doi.org/10.1080/14697688.2023.2271223
#90 - 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. https://doi.org/10.3390/math11184020
Escobar M., J. Rastegari, L. Stentoft. Multivariate Affine GARCH models with covariance-dependent Kernel. International Review of Financial Analysis, 2023. https://doi.org/10.1016/j.irfa.2023.102622
Escobar, M., Wei Li Fan*, The SEV-SV model, applications to portfolio optimization. Risks 2023, 11(2), 30. https://doi.org/10.3390/risks11020030
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. https://doi.org/10.1016/j.frl.2022.103373
Escobar-Anel, M., L. Theilacker*, R. Zagst. A Neural Network Approach To Optimal Investment Strategies. Decisions in Economics and Finance. 2023. https://doi.org/10.1007/s10203-023-00388-z
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. https://doi.org/10.1093/imaman/dpab033

2022

Escobar, L. Stentoft, X. Ye*. The benefits of returns and options in the estimation of GARCH models. A Heston-Nandi GARCH insight. Econometrics and Statistics, 2022. https://doi.org/10.1016/j.ecosta.2022.12.001
M. Escobar-Anel, A multiple risk aversions utility. Application to ESG investments. North American Journal of Economics and Finance. 2022. https://doi.org/10.1016/j.najef.2022.101790
Davison, M. Escobar, Y. Zhu*. A polynomial-Affine approximation for dynamic portfolio choice. Accepted, Computational Economics. 2022. https://doi.org/10.1007/s10614-022-10297-9
#80 - Davison, M. Escobar, Y. Zhu*. Derivatives-based portfolio decisions. An expected utility insight. Annals of Finance. 18, pages 217–246 (2022). https://doi.org/10.1007/s10436-022-00409-8
Escobar, Y. Havrylenko*, R. Zagst. Risk shifting in a defined contribution pension plan. A need for re-insurance. Insurance Mathematics and Economics,105 (2022): 14-40. https://doi.org/10.1016/j.insmatheco.2022.03.009
Escobar, M. Keller*, R. Zagst. Optimal HARA Investments with terminal VaR constraints. Advances in Operations Research. 2022. https://doi.org/10.1155/2022/6357701
M. Escobar-Anel, A dynamic programming approach to path-dependent constrained portfolios. Annals of Operations Research, 2022. https://doi.org/10.1007/s10479-022-04640-4
Escobar-Anel, M., Kschonnek*, M., & Zagst, R. (2022). Portfolio optimization: not necessarily concave utility and constraints on wealth and allocation. Mathematical Methods of Operations Research, 1-40. https://doi.org/10.1007/s00186-022-00772-2
Escobar-Anel, M., Gollart*, M., & Zagst, R. (2022). Closed-form portfolio optimization under GARCH models. Operations Research Perspectives, 9, 100216. https://doi.org/10.1016/j.orp.2021.100216
Zhu*, Y., & Escobar-Anel, M. (2022). Polynomial affine approach to HARA utility maximization with applications to OrnsteinUhlenbeck 4/2 models. Applied Mathematics and Computation, 418, 126836. https://doi.org/10.1016/j.amc.2021.126836
Escobar-Anel, M., Ferrando, S., Gschnaidtner*, C., & Rubtsov, A. (2022). International portfolio choice under multi-factor stochastic volatility. Quantitative Finance, 1-24. https://doi.org/10.1080/14697688.2021.2019820

2021

Escobar-Anel, M., B. Spies*, R. Zagst. Expected utility theory on general affine GARCH models. Accepted, Applied Mathematical Finance. 28.6 (2021): 477- 507. https://doi.org/10.1080/1350486X.2022.2101010
Escobar, M. Wahl*, R. Zagst. Closed-form solution for a Solvency II constrained problem using Dual theory. Scandinavian Actuarial Journal. 2021. https://doi.org/10.1080/03461238.2021.1962962
#70 - Chen*, J, M. Davison, M. Escobar, G. Zafari*, Robust portfolio analysis with commodities and stochastic interest rates. Quantitative Finance, 21.6 (2021): 991-1010. https://doi.org/10.1080/14697688.2020.1859603
Chen*, Junhe, and Marcos Escobar-Anel. Model uncertainty on commodity portfolios, the role of convenience yield. Annals of Finance (2021): 1-28. https://doi.org/10.1007/s10436-021-00393-5
Cheng*, Yuyang, and Marcos Escobar-Anel. "Optimal investment strategy in the family of 4/2 stochastic volatility models." Quantitative Finance (2021): 1-29. https://doi.org/10.1080/14697688.2021.1901971
Zhu*, Yichen, and Marcos Escobar-Anel. A Neural Network Monte Carlo Approximation for Expected Utility Theory. Journal of Risk and Financial Management 14.7 (2021): 322. https://doi.org/10.3390/jrfm14070322
Escobar-Anel, Marcos, and Zhenxian Gong*. Mean-Reverting 4/2 Principal Components Model. Financial Applications. Risks 9.8 (2021): 141. https://doi.org/10.3390/risks9080141

2020

Escobar-Anel, Marcos, Javad Rastegari, and Lars Stentoft. "Affine multivariate GARCH models." Journal of Banking & Finance 118 (2020). https://doi.org/10.1016/j.jbankfin.2020.105895
Escobar-Anel, Marcos, Javad Rastegari, and Lars Stentoft. "Option pricing with conditional GARCH models." European Journal of Operational Research 289.1 (2020): 350-363. http://dx.doi.org/10.1016/j.ejor.2020.07.002
Escobar, M., S. Panz*, R. Zagst. Pricing multiple barrier derivatives under stochastic volatility. Journal of Computational Finance 24.2 (2020). https://doi.org/10.21314/JCF.2020.395
Escobar, M., Y. Havrylenko*, R. Zagst. Optimal First-Loss Fee Structures in Hedge Funds. Journal of Banking and Finance, 2020. https://doi.org/10.1016/j.jbankfin.2020.105884
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. https://doi.org/10.1142/S0219024920500454
#60 - Escobar-Anel, M., A. Lichtenstern*, R. Zagst. Behavioral Finance driven Investment Strategies. Financial Markets and Portfolio Management, 34.4 (2020): 353-399. https://doi.org/10.1007/s11408-020-00353-5
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. https://doi.org/10.1017/asb.2020.12
Escobar, M., L. Fang*, Stochastic volatility model for the implied correlation index. Evidence, properties and pricing. Finance Research Letters, 35.C (2020). https://doi.org/10.1016/j.frl.2019.101309
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). https://doi.org/10.1002/asmb.2534

2019

Cheng, Y., M. Escobar, Z. Gong*, Generalized mean-reverting 4/2 Factor Model. Journal of Risk and Financial Management, 12.4 (2019): 159. https://doi.org/10.3390/jrfm12040159
Escobar, M., H. Moreno-Franco, Dynamic Portfolio Strategies under a fully correlated jump-diffusion process. Annals of Finance, 15.3 (2019): 421-453. https://doi.org/10.1007/s10436-019-00350-3

2018

Escobar-Anel, M., Höhn*, V., Seco, L., & Zagst, R. (2018). Optimal fee structures in hedge funds. Journal of Asset Management, 19 (7), 522-542. https://doi.org/10.1057/s41260-018-0094-7
Escobar, M., P. Kriebel*, M. Wahl*, R. Zagst (2018). Portfolio optimization under Solvency II. Annals of Operation Research. https://doi.org/10.1007/s10479-018-2835-x
Escobar, M., S. Ferrando, A. Rubtsov. (2018) Dynamic Derivative Strategies with Stochastic Interest Rates and Model Uncertainty. Journal of Economic Dynamics and Control. 86 (C), pages 49-71. https://doi.org/10.1016/j.jedc.2017.09.007
V. Bergen*, M. Escobar, A. Rubtsov. R. Zagst. (2018) Robust Multivariate Portfolio Choice with Stochastic Covariance in the Presence of Ambiguity. Quantitative Finance. https://doi.org/10.1080/14697688.2018.1429647
#50 - Escobar M. (2018) A Stochastic Volatility Factor Model of Heston type. Statistical Properties and Estimation. Stochastics. 90 (2). https://doi.org/10.1080/17442508.2017.1316272
Escobar M., C. Gschnaidtner*. (2018) A multivariate stochastic volatility model with applications in the foreign exchange market. Review of Derivatives Research. 21. 1. https://doi.org/10.1007/s11147-017-9132-8

2017

Escobar, B. Goetz*, R. Zagst (2017). Two asset-barrier option under stochastic volatility. Applied Mathematical Finance, 24 (6) 520-546. https://doi.org/10.1080/1350486X.2017.1419910
Escobar, M. Mahlstedt*, S. Panz*, R. Zagst (2017). Collateralized Structured Products. Journal of Derivatives. Spring 2017, Vol. 24, No. 3, pp. 84-102. https://doi.org/10.3905/jod.2017.24.3.084
Escobar, M., D. Neykova*, R. Zagst. (2017) HARA Utility Maximization in a Markov-Switching Bond-Stock Market. Quantitative Finance. 17, 11. https://doi.org/10.1080/14697688.2017.1302600

2016

Escobar, M. Krayzler*, F. Ramsauer*, D. Saunders, R. Zagst. (2016) Pricing of variable annuities - incorporation of policy holders surrender behavior. Risks, 4, 41. http://dx.doi.org/10.3390/risks4040041
Escobar, M.; Panz, S*. (2016) A Note on the Impact of Parameter Uncertainty on Barrier Derivatives. Risks, 4, 35. https://doi.org/10.3390/risks4040035
Bi, M.*, Escobar-Anel, M., Goetz, B.* and Zagst, R. (2016). Principal Component Models with Stochastic Mean-Reverting levels. Pricing and Covariance surface improvements. Applied Stochastic Models in Business and Industry, 32 (5), 585–606. http://onlinelibrary.wiley.com/doi/10.1002/asmb.2179/full.
Escobar-Anel, M. and Gschnaidtner, C.* (2016). Parameters Recovery via Calibration in the Heston model. A Comprehensive Review. Wilmott Magazine. http://dx.doi.org/10.1002/wilm.10551
Escobar-Anel, M., Rudolph, B.* and Zagst, R. (2016). Estimation of stochastic covariance models using a Continuum of Moment Condition. . ACM Transactions of Mathematical Software 42. 4/33. http://dl.acm.org/citation.cfm?id=2834115.
#40 - Escobar-Anel, M., Krause, D.* and Zagst, R. (2016). Stochastic Covariance and dimension reduction in the pricing of basket options. Review of Derivatives Research, 19. 165-200. http://link.springer.com/article/10.1007/s11147-016-9119-x.
Escobar-Anel, M., Ferrando, S. and Rubtsov, A. (2016). Optimal investment under multi-factor stochastic volatility. Quantitative Finance, 17, 2, 241-260. http://www.tandfonline.com/doi/full/10.1080/14697688.2016.1202440.

2015

Escobar-Anel, M., Goetz, B.*, Neykova, D.* and Zagst, R. (2015). Pricing two-assets Barrier Options under stochastic correlation via perturbation theory. International Journal of Theoretical and Applied Finance, 18 (3) . http://www.worldscientific.com/doi/abs/10.1142/S0219024915500181.
Escobar-Anel, M., Neykova, D.* and Zagst, R. (2015). Portfolio optimization in Affine models with Markov switching. International Journal of Theoretical and Applied Finance, 18 (5) . http://www.worldscientific.com/doi/abs/10.1142/S0219024915500302.
Escobar-Anel, M., Ferrando, S. and Rubtsov, A. (2015). Portfolio Choice with Stochastic Interest Rates and Learning about Stock Return Predictability. International Review of Economics and Finance, . http://www.sciencedirect.com/science/article/pii/S1059056015001100.
Escobar-Anel, M., Ferrando, S. and Rubtsov, A. (2015). Robust portfolio choice with derivative trading under stochastic volatility.. Journal of Banking and Finance, 61 142-157. http://www.sciencedirect.com/science/article/pii/S0378426615002551.
Escobar-Anel, M., Neykova, D.* and Zagst, R. (2015). Optimal Investment in Multidimensional Markov-modulated Affine Models: Theory and Examples. Annals of Finance, 11 (3). http://link.springer.com/article/10.1007/s10436-015-0268-y.

2014

Escobar-Anel, M., Ferrando, S. and Wen, X.* (2014). Barrier options in three dimensions. International Journal of Financial Markets and Derivatives, 3 (3) 260-292. http://www.inderscience.com/offer.php?id=59642.
Escobar-Anel, M., Goetz, B.* and Zagst, R. (2014). Closed-form pricing of two asset-barrier option within stochastic covariance. Applied Mathematical Finance, 21 (4) 363-397. http://www.tandfonline.com/doi/full/10.1080/1350486X.2014.881662.
Escobar-Anel, M., Goetz, B.*, Neykova, D.* and Zagst, R. (2014). Stochastic Correlation and Volatility Mean- reversion. Empirical Motivation and Derivatives Pricing via Perturbation Theory. Applied Mathematical Finance, 21 (6) 555-594. http://www.tandfonline.com/doi/full/10.1080/1350486X.2014.906972
#30 - Escobar-Anel, M. and Hernandez, J.* (2014). A note on the distribution of multivariate Brownian Extrema. International Journal of Stochastic Analysis. http://www.hindawi.com/journals/ijsa/2014/575270/.

2013

Escobar-Anel, M. and Olivares, P. (2013). Pricing of Mountain Range Derivatives under a Principal Component Stochastic Volatility Model. Applied Stochastic Models in Business and Industry, 29 (1) 31-44. http://onlinelibrary.wiley.com/doi/10.1002/asmb.936/full.
Bernhart, G.*, Escobar-Anel, M., Mai, J. and Scherer, M. (2013). Default models based on scale mixtures of Marshall-Olkin Copulas: properties and applications. Metrika, 76 (2) 179-203. http://link.springer.com/article/10.1007/s00184-012-0382-z.
Escobar-Anel, M., Friederich, T.*, Seco, L. and Zagst, R. (2013). Multi-Dimensional Structural Credit Modeling under Stochastic Volatility. ISRN Probability and Statistics. http://www.hindawi.com/journals/isrn/2013/851419/.
Escobar-Anel, M., Ferrando, S. and Wen, X.* (2013). Three Dimensional Distribution of Brownian Motion Extrema. An International Journal of Probability and Stochastic Processes, 85 (5) 807-832. http://www.tandfonline.com/doi/full/10.1080/17442508.2012.660942.
Escobar-Anel, M., Mitterreiter, M.*, Saunders, D., Seco, L. and Zagst, R. (2013). Market Crises and the 1/N Asset-Allocation Strategy.. Journal of Investment Strategies, 4 (2) . http://www.risk.net/journal-of-investment-strategies/technical-paper/2293586/market-crises-and-the-1-n-asset-allocation-strategy.
Escobar-Anel, M., Hieber, P.* and Scherer, M. (2013). Efficiently pricing double barrier derivatives in stochastic volatility models. Review of Derivatives Research, 17, 191-216. http://link.springer.com/article/10.1007/s11147-013-9094-4.

2009-2012 (sample)

Escobar-Anel, M., Frielingsdorf, T.* and Zagst, R. (2012). Impact of factor models on portfolio risk measures. A structural approach. Journal of Credit Risk, 8 (2) . http://www.risk.net/journal-of-credit-risk/technical-paper/2186506/impact-factor-models-portfolio-risk-measures-structural-approach.
Escobar-Anel, M., Frielingsdorf, T.*, Krayzler, M.*, Seco, L. and Zagst, R. (2011). An Intensity-Based Approach for Equity Modeling. Applied Stochastic Models in Business and Industry, 27 (6) 676-690. http://onlinelibrary.wiley.com/doi/10.1002/asmb.883/full.
Escobar-Anel, M., Hieber, P.*, Scherer, M. and Seco, L. (2011). Portfolio optimization in a multidimensional structural-default model with a focus on private equity.. Journal of Private Equity, 15 (1) 26-35. http://www.iijournals.com/doi/abs/10.3905/jpe.2011.15.1.026.
Escobar-Anel, M., Goetz, B.*, Seco, L. and Zagst, R. (2010). Pricing of a CDO on stochastically correlated underlyings. Quantitative Finance, 3 265-277. http://www.tandfonline.com/doi/full/10.1080/14697680802629418.
Goetz, B.*, Seco, L., Zagst, R. and Escobar-Anel, M. (2009). Pricing of Spread Options on stochastically correlated underlyings. Journal of Computational Finance, 12 (3). http://www.risk.net/journal-of-computational-finance/technical-paper/2160375/pricing-spread-options-stochastically-correlated-underlyings.
Abinzano, I., Seco, L. and Escobar-Anel, M. (2009). Debt reorganization and First Passage Models. Economic Modelling, 26 (5) 910-917. http://www.sciencedirect.com/science/article/pii/S0264999309000431.

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