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
Investment Timing in Presence of Downside Risk: A Certainty Equivalent Characterization (2010)
Annals of Finance
(Vertaisarvioitu alkuperäisartikkeli tai data-artikkeli tieteellisessä aikakauslehdessä (A1))
Minimum Guaranteed Payments and Costly Cancellation Rights: A Stopping Game Perspective (2010)
Mathematical Finance
(Vertaisarvioitu alkuperäisartikkeli tai data-artikkeli tieteellisessä aikakauslehdessä (A1))
Irreversible Capital Accumulation under Interest Rate Uncertainty (2010)
Mathematical Methods of Operations Research
(Vertaisarvioitu alkuperäisartikkeli tai data-artikkeli tieteellisessä aikakauslehdessä (A1))
Optimal payout policy in presence of downside risk (2009)
Mathematical Methods of Operations Research
(Vertaisarvioitu alkuperäisartikkeli tai data-artikkeli tieteellisessä aikakauslehdessä (A1))
On Singular Stochastic Control and Optimal Stopping of Spectrally Negative Jump Diffusions (2009)
Stochastics
(Vertaisarvioitu alkuperäisartikkeli tai data-artikkeli tieteellisessä aikakauslehdessä (A1))
Progressive Taxation, Tax Exemption, and Irreversible Investment under Uncertainty (2008)
Journal of Public Economic Theory
(Vertaisarvioitu alkuperäisartikkeli tai data-artikkeli tieteellisessä aikakauslehdessä (A1))
A Class of Solvable Stopping Games (2008)
Applied Mathematics and Optimization
(Vertaisarvioitu alkuperäisartikkeli tai data-artikkeli tieteellisessä aikakauslehdessä (A1))
On the Optimal Stochastic Impulse Control of Linear Diffusions (2008)
SIAM Journal on Control and Optimization
(Vertaisarvioitu alkuperäisartikkeli tai data-artikkeli tieteellisessä aikakauslehdessä (A1))
Partial Outsourcing: A Real Options Perspective (2007)
International Journal of Industrial Organization
(Vertaisarvioitu alkuperäisartikkeli tai data-artikkeli tieteellisessä aikakauslehdessä (A1))
Irreversible Capital Accumulation and Non-Linear Tax Policy: A Note (2007)
FinanzArchiv / Public Finance Analysis
(Vertaisarvioitu alkuperäisartikkeli tai data-artikkeli tieteellisessä aikakauslehdessä (A1))