Luis Alvarez Esteban profile picture

Luis
Alvarez Esteban

Professor, Department of Accounting and Finance
PhD (Economics) 1994, PhD (Applied Mathematics) 1997

Contact

+358 29 450 2119
+358 40 074 7961
Rehtorinpellonkatu 3
20500
Turku

Areas of expertise

In financial economics: macrofinance
neoclassical investment theory
taxation and investment
real options
irreversible capital accumulation
capital budgeting

In natural resource economics: management of renewable resources
optimal harvesting
optimal forest rotation policies
amenity valuation

In mathematics: Stochastic control theory
optimal stopping
impulse control
singular control
diffusion processes
mathematical finance

Biography



I have been a Professor of Quantitative Methods in Management, with a primary focus 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 the University of Turku (UTU) during 1987–1988. From 1989 to 1994, I worked at the Department of Economics, where I obtained my first PhD in Economics in 1994. My PhD dissertation focused on the impact of anticipated policy changes on firms’ optimal investment policies and, consequently, on their optimal capital accumulation paths. I then moved to the Department of Mathematics, where I worked from 1995 to 2000. During that period, I completed my second PhD in Applied Mathematics in 1997. My second dissertation focused on the application of stochastic control theory to problems arising in economics, finance, and the management of renewable resources.



Teaching

TKM11/LRS23  Quantitative methods in finance

TKMS8/LRS30 Interest rate derivatives and valuation

TKMS10/LRS29 Mathematical finance

Master's Thesis Seminar 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

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Optimal Stopping of the Maximum Process (2014)

Journal of Applied Probability
Luis Alvarez Esteban, Pekka Matomäki
(Vertaisarvioitu alkuperäisartikkeli tai data-artikkeli tieteellisessä aikakauslehdessä (A1))