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
Solving Optimal Stopping Problems of Linear Diffusions by Applying Convolution Approximations (2001)
Mathematical Methods of Operations Research
(Vertaisarvioitu alkuperäisartikkeli tai data-artikkeli tieteellisessä aikakauslehdessä (A1))
On the Form and Risk-sensitivity of Zero Coupon Bonds for a Class of Interest Rate Models (2001)
Insurance: Mathematics and Economics
(Vertaisarvioitu alkuperäisartikkeli tai data-artikkeli tieteellisessä aikakauslehdessä (A1))
Singular Stochastic Control in the Presence of a State-dependent Yield Structure (2000)
Stochastic Processes and their Applications
(Vertaisarvioitu alkuperäisartikkeli tai data-artikkeli tieteellisessä aikakauslehdessä (A1))
On the Option Interpretation of Rational Harvesting Planning (2000)
Journal of Mathematical Biology
(Vertaisarvioitu alkuperäisartikkeli tai data-artikkeli tieteellisessä aikakauslehdessä (A1))
On the Comparative Static Properties of the Expected Population Density in the Presence of Stochastic Fluctuations (2000)
Journal of Mathematical Biology
(Vertaisarvioitu alkuperäisartikkeli tai data-artikkeli tieteellisessä aikakauslehdessä (A1))
Why is the corporation tax not neutral? Anticipated tax reform, investment spurts and corporate borrowing (2000)
FinanzArchiv / Public Finance Analysis
(Vertaisarvioitu alkuperäisartikkeli tai data-artikkeli tieteellisessä aikakauslehdessä (A1))
A Class of Solvable Singular Stochastic Control Problems (1999)
Stochastics: An International Journal of Probability and Stochastic Processes
(Vertaisarvioitu alkuperäisartikkeli tai data-artikkeli tieteellisessä aikakauslehdessä (A1))
Optimal Exit and Valuation under Demand Uncertainty: A Real Options Approach (1999)
European Journal of Operational Research
(Vertaisarvioitu alkuperäisartikkeli tai data-artikkeli tieteellisessä aikakauslehdessä (A1))
Exit strategies and price uncertainty: A Greenian Approach (1998)
Journal of Mathematical Economics
(Vertaisarvioitu alkuperäisartikkeli tai data-artikkeli tieteellisessä aikakauslehdessä (A1))
Optimal harvesting under stochastic fluctuations and critical depensation (1998)
Mathematical Biosciences
(Vertaisarvioitu alkuperäisartikkeli tai data-artikkeli tieteellisessä aikakauslehdessä (A1))