Escobar, M.; Neykova, D.; Zagst, R.
HARA Utility Maximization in a Markov-Switching Bond-Stock Market
Quantitative Finance
2017
17
11
1715-1733

Escobar, M.; Neykova, D.; Zagst, R.
Optimal Investment in Multidimensional Markov-modulated Affine Models: Theory and Examples
Annals of Finance
2015
11
3
503-530

Escobar, M.; Götz, B., Neykova, D.; Zagst, R.
Pricing two-asset Barrier Options under Stochastic Correlation via Perturbation
International Journal of Theoretical and Applied Finance
2015
18
3
1-44

Escobar, M.; Neykova, D.; Zagst, R.
Portfolio Optimization in Affine Models with Markov Switching
International Journal of Theoretical and Applied Finance
2015
18
5
1-46

Escobar, M.; Götz, B.; Neykova, D.; Zagst, R.
Stochastic Correlation and Volatility Mean-reversion - Empirical Motivation and Derivatives Pricing via Perturbation Theory
Applied Mathematical Finance
2014
21
6
555-594