Luis Alvarez Esteban
PhD (Economics) 1994, PhD (Applied Mathematics) 1997
lhralv@utu.fi +358 29 450 2119 +358 40 074 7961 Rehtorinpellonkatu 3 Turku ORCID identifier: https://orcid.org/https://orcid.org/0000-0003-1342-1691 |
Stochastic control theory, optimal stopping, impulse control, singular control, diffusion processes, real options, mathematical finance
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.
Stochastic control theory and its applications, optimal stopping and its applications, diffusion processes, real options, stopping games, optimal rotation problems, Faustmann's formula
Mathematical finance, Interest rate derivatives and valuation, Quantitative methods in finance
- Optimal stopping and impulse control in the presence of an anticipated regime switch (2023)
- Mathematical Methods of Operations Research
(Refereed journal article or data article (A1)) - Optimal sustainable harvesting of populations in random environments (2022)
- Stochastic Processes and their Applications
(Refereed journal article or data article (A1)) - A Class of Solvable Multidimensional Stopping Problems in the Presence of Knightian Uncertainty (2021)
- Advances in Applied Probability
(Refereed journal article or data article (A1)) - Expected Supremum Representation of the Value of a Singular Stochastic Control Problem (2017)
- SIAM Journal on Control and Optimization
(Refereed journal article or data article (A1)) - Timing in the presence of directional predictability: Optimal stopping of skew Brownian motion (2017)
- Mathematical Methods of Operations Research
(Refereed journal article or data article (A1)) - Optimal multi-dimensional stochastic harvesting with density-dependent prices (2016)
- Afrika Matematica
(Refereed journal article or data article (A1)) - A Class of Solvable Optimal Stopping Problems of Spectrally Negative Jump Diffusions (2014)
- SIAM Journal on Control and Optimization
(Refereed journal article or data article (A1)) - Optimal Stopping of the Maximum Process (2014)
- Journal of Applied Probability
(Refereed journal article or data article (A1)) - Optimal Capital Accumulation under Price Uncertainty and Costly Reversibility (2011)
- Journal of Economic Dynamics and Control
(Refereed journal article or data article (A1)) - Investment Timing in Presence of Downside Risk: A Certainty Equivalent Characterization (2010)
- Annals of Finance
(Refereed journal article or data article (A1)) - Irreversible Capital Accumulation under Interest Rate Uncertainty (2010)
- Mathematical Methods of Operations Research
(Refereed journal article or data article (A1)) - Minimum Guaranteed Payments and Costly Cancellation Rights: A Stopping Game Perspective (2010)
- Mathematical Finance
(Refereed journal article or data article (A1)) - On Singular Stochastic Control and Optimal Stopping of Spectrally Negative Jump Diffusions (2009)
- Stochastics
(Refereed journal article or data article (A1)) - Optimal payout policy in presence of downside risk (2009)
- Mathematical Methods of Operations Research
(Refereed journal article or data article (A1)) - A Class of Solvable Stopping Games (2008)
- Applied Mathematics and Optimization
(Refereed journal article or data article (A1)) - On the Optimal Stochastic Impulse Control of Linear Diffusions (2008)
- SIAM Journal on Control and Optimization
(Refereed journal article or data article (A1)) - Progressive Taxation, Tax Exemption, and Irreversible Investment under Uncertainty (2008)
- Journal of Public Economic Theory
(Refereed journal article or data article (A1)) - Irreversible Capital Accumulation and Non-Linear Tax Policy: A Note (2007)
- FinanzArchiv / Public Finance Analysis
(Refereed journal article or data article (A1)) - Optimal Harvesting under Resource Stock and Price Uncertainty (2007)
- Journal of Economic Dynamics and Control
(Refereed journal article or data article (A1)) - Partial Outsourcing: A Real Options Perspective (2007)
- International Journal of Industrial Organization
(Refereed journal article or data article (A1))