Luis Alvarez Esteban
PhD (Economics) 1994, PhD (Applied Mathematics) 1997

Professor, Quantitative Methods in Management (Department of Accounting and Finance)

lhralv@utu.fi
+358 29 450 2119
+358 40 074 7961

Rehtorinpellonkatu 3
Turku



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.




Research
Stochastic control theory and its applications, optimal stopping and its applications, diffusion processes, real options, stopping games, optimal rotation problems, Faustmann's formula


Teaching
Mathematical finance, Interest rate derivatives and valuation, Quantitative methods in finance

Publications
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Optimal sustainable harvesting of populations in random environments (2019)
Stochastic Processes and their Applications
Natural Resource Modeling
Alvarez E. L., Hening A.
(
A1 Journal article – refereed)

Expected Supremum Representation of the Value of a Singular Stochastic Control Problem (2017)
SIAM Journal on Control and Optimization
Luis H. R. Alvarez E., Pekka Matomäki
(
A1 Journal article – refereed)

Timing in the presence of directional predictability: Optimal stopping of skew Brownian motion (2017)
Mathematical Methods of Operations Research
Luis H. R. Alvarez E., Paavo Salminen
(
A1 Journal article – refereed)

Optimal multi-dimensional stochastic harvesting with density-dependent prices (2016)
Afrika Matematica
Luis H. R. Alvarez, Edward Lungu, Bernt Øksendal
(
A1 Journal article – refereed)

A Class of Solvable Optimal Stopping Problems of Spectrally Negative Jump Diffusions (2014)
SIAM Journal on Control and Optimization
Luis Alvarez Esteban, Pekka Matomäki, Teppo Rakkolainen
(
A1 Journal article – refereed)

Optimal Stopping of the Maximum Process (2014)
Journal of Applied Probability
Luis Alvarez Esteban, Pekka Matomäki
(
A1 Journal article – refereed)

Optimal Capital Accumulation under Price Uncertainty and Costly Reversibility (2011)
Journal of Economic Dynamics and Control
Luis Alvarez Esteban
(
A1 Journal article – refereed)

Investment Timing in Presence of Downside Risk: A Certainty Equivalent Characterization (2010)
Annals of Finance
Luis Alvarez Esteban, Teppo Rakkolainen
(
A1 Journal article – refereed)

Irreversible Capital Accumulation under Interest Rate Uncertainty (2010)
Mathematical Methods of Operations Research
Luis Alvarez Esteban
(
A1 Journal article – refereed)

Minimum Guaranteed Payments and Costly Cancellation Rights: A Stopping Game Perspective (2010)
Mathematical Finance
Luis Alvarez Esteban
(
A1 Journal article – refereed)

On Singular Stochastic Control and Optimal Stopping of Spectrally Negative Jump Diffusions (2009)
Stochastics
Luis Alvarez Esteban, Teppo Rakkolainen
(
A1 Journal article – refereed)

Optimal payout policy in presence of downside risk (2009)
Mathematical Methods of Operations Research
Luis Alvarez Esteban, Teppo Rakkolainen
(
A1 Journal article – refereed)

A Class of Solvable Stopping Games (2008)
Applied Mathematics and Optimization
Luis Alvarez Esteban
(
A1 Journal article – refereed)

On the Optimal Stochastic Impulse Control of Linear Diffusions (2008)
SIAM Journal on Control and Optimization
Luis Alvarez Esteban, Jukka Lempa
(
A1 Journal article – refereed)

Progressive Taxation, Tax Exemption, and Irreversible Investment under Uncertainty (2008)
Journal of Public Economic Theory
Luis Alvarez Esteban, Erkki Koskela
(
A1 Journal article – refereed)

Irreversible Capital Accumulation and Non-Linear Tax Policy: A Note (2007)
FinanzArchiv / Public Finance Analysis
Luis Alvarez Esteban, Erkki Koskela
(
A1 Journal article – refereed)

Optimal Harvesting under Resource Stock and Price Uncertainty (2007)
Journal of Economic Dynamics and Control
Luis Alvarez Esteban, Erkki Koskela
(
A1 Journal article – refereed)

Partial Outsourcing: A Real Options Perspective (2007)
International Journal of Industrial Organization
Luis Alvarez Esteban, Rune Stenbacka
(
A1 Journal article – refereed)

Taxation and Rotation Age under Stochastic Forest Stand Value (2007)
Journal of Environmental Economics and Management
Luis Alvarez Esteban, Erkki Koskela
(
A1 Journal article – refereed)

The Forest Rotation Problem with Stochastic Harvest and Amenity Value (2007)
Luis Alvarez Esteban, Erkki Koskela
(
A1 Journal article – refereed)


Last updated on 2019-15-06 at 02:21