Research

Manuscripts

• Escobar-Anel, M., Stentoft, L., and Ye, X. (2023). Analytical Fixed Income Pricing in Discrete-Time: A New Family of Models. Preprint. [SSRN]

• Escobar-Anel, M., Stentoft, L., and Ye, X. (2023). Setting the VIX Free: A Generalized Affine GARCH Model. Preprint. [SSRN]

Publications

• Escobar-Anel, M., Stentoft, L., and Ye, X. (2024). Not all VIXs are (Informationally) equal: Evidence from affine GARCH option pricing models. Finance Research Letters, 69, 106053. [Journal]

• Escobar-Anel, M., Stentoft, L., and Ye, X. (2022). The Benefits of Returns and Options in the Estimation of GARCH Models. A Heston-Nandi GARCH Insight. Econometrics and Statistics. In press. [Journal]

Academic activities

• The 12th Annual Canadian Statistics Student Conference, Memorial University of Newfoundland, St. John’s, Newfoundland and Labrador, Canada. 2024.
  • Presenter. Title: Generalized Autoregressive Conditionally Stochastic Heteroskedasticity: Motivation and Applications. [Slides]
    
    
• The 4th Department of Statistical and Actuarial Sciences (DSAS) Graduate Colloquium, Western University, London, Ontario, Canada. 2024.
  • Chair.
    
    
• The 2nd Department of Statistical and Actuarial Sciences (DSAS) Graduate Colloquium, Western University, London, Ontario, Canada. 2023.
  • Presenter. Title: Generalized Autoregressive Conditionally Stochastic Heteroskedasticity: Motivation and Applications. [Slides]
    
    
• Fields-CFI-CQAM Industrial Problem-Solving Workshop, Online, 2021.
  • Case study participant. Project title: Counterparty Credit Risk Migration Indicator
    
    
• The 3rd iCAIR (international Research Centre in Asset Management, Insurance and Risk Management) Online Seminar, Online, 2020.
  • Presenter. Title: Affine GARCH option valuation models. [Slides]
  • Case study participant. Project title: Deep Hedging. [Slides]
    
    

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