Luis
Alvarez Esteban
Professor, Department of Accounting and Finance
PhD (Economics) 1994, PhD (Applied Mathematics) 1997
Areas of expertise
Stochastic control theory
optimal stopping
impulse control
singular control
diffusion processes
real options
mathematical finance
Biography
I have been a Professor of Quantitative Methods in Management (focusing mainly on mathematical finance and mathematical economics) at the Turku School of Economics (University of Turku) since 2001. My educational and professional background is as follows: I originally studied economics and applied mathematics at University of Turku (UTU) for 1987-1988. For 1989-1994 I worked at the Department of Economics and obtained my first PhD in Economics in 1994. After that I moved to the Department of Mathematics and worked there for 1995-2000. During that period I completed my second PhD in Applied Mathematics in 1997.
Teaching
Mathematical finance, Interest rate derivatives and valuation, Quantitative methods in finance
Research
Stochastic control theory and its applications, optimal stopping and its applications, diffusion processes, real options, stopping games, optimal rotation problems, Faustmann's formula
Publications
Solutions for Poissonian Stopping Problems of Linear Diffusions via Extremal Processes (2024)
Stochastic Processes and their Applications
(A1 Vertaisarvioitu alkuperäisartikkeli tieteellisessä lehdessä )
Optimal stopping and impulse control in the presence of an anticipated regime switch (2023)
Mathematical Methods of Operations Research
(Vertaisarvioitu alkuperäisartikkeli tai data-artikkeli tieteellisessä aikakauslehdessä (A1))
Optimal sustainable harvesting of populations in random environments (2022)
Stochastic Processes and their Applications
(Vertaisarvioitu alkuperäisartikkeli tai data-artikkeli tieteellisessä aikakauslehdessä (A1))
A Class of Solvable Multidimensional Stopping Problems in the Presence of Knightian Uncertainty (2021)
Advances in Applied Probability
(Vertaisarvioitu alkuperäisartikkeli tai data-artikkeli tieteellisessä aikakauslehdessä (A1))
Timing in the presence of directional predictability: Optimal stopping of skew Brownian motion (2017)
Mathematical Methods of Operations Research
(Vertaisarvioitu alkuperäisartikkeli tai data-artikkeli tieteellisessä aikakauslehdessä (A1))
Expected Supremum Representation of the Value of a Singular Stochastic Control Problem (2017)
SIAM Journal on Control and Optimization
(Vertaisarvioitu alkuperäisartikkeli tai data-artikkeli tieteellisessä aikakauslehdessä (A1))
Optimal multi-dimensional stochastic harvesting with density-dependent prices (2016)
Afrika Matematica
(Vertaisarvioitu alkuperäisartikkeli tai data-artikkeli tieteellisessä aikakauslehdessä (A1))
Optimal Stopping of the Maximum Process (2014)
Journal of Applied Probability
(Vertaisarvioitu alkuperäisartikkeli tai data-artikkeli tieteellisessä aikakauslehdessä (A1))
A Class of Solvable Optimal Stopping Problems of Spectrally Negative Jump Diffusions (2014)
SIAM Journal on Control and Optimization
(Vertaisarvioitu alkuperäisartikkeli tai data-artikkeli tieteellisessä aikakauslehdessä (A1))
Optimal Capital Accumulation under Price Uncertainty and Costly Reversibility (2011)
Journal of Economic Dynamics and Control
(Vertaisarvioitu alkuperäisartikkeli tai data-artikkeli tieteellisessä aikakauslehdessä (A1))