Details about Miquel Montero

Access statistics for papers by Miquel Montero.

Last updated 2011-10-27. Update your information in the RePEc Author Service.

Short-id: pmo125

Working Papers

2011

1. Parrondo-like behavior in continuous-time random walks with memory
   Papers, arXiv.org

2010

2. Exit times in non-Markovian drifting continuous-time random walk processes
   Papers, arXiv.org

2009

3. Perpetual American vanilla option pricing under single regime change risk. An exhaustive study
   Papers, arXiv.org
4. Predator-Prey Model for Stock Market Fluctuations
   Papers, arXiv.org

2008

5. On properties of Continuous-Time Random Walks with Non-Poissonian jump-times
   Papers, arXiv.org
6. Renewal equations for option pricing
   Papers, arXiv.org View citations (1)
   See also Journal Article in The European Physical Journal B - Condensed Matter and Complex Systems (2008)

2007

7. Perpetual American options within CTRW's
   Papers, arXiv.org
8. Volatility and dividend risk in perpetual American options
   Papers, arXiv.org

2006

9. Entropy of the Nordic electricity market: anomalous scaling, spikes, and mean-reversion
   Papers, arXiv.org View citations (1)
10. Mean Exit Time and Survival Probability within the CTRW Formalism
    Papers, arXiv.org
    See also Journal Article in The European Physical Journal B - Condensed Matter and Complex Systems (2007)
11. The CTRW in finance: Direct and inverse problems with some generalizations and extensions
    Papers, arXiv.org
12. The continuous time random walk formalism in financial markets
    Papers, arXiv.org
    Also in Modeling, Computing, and Mastering Complexity 2003, Society for Computational Economics
    See also Journal Article in Journal of Economic Behavior & Organization (2006)

2005

13. Scaling and data collapse for the mean exit time of asset prices
    Papers, arXiv.org View citations (1)

2004

14. Extreme times in financial markets
    Papers, arXiv.org

2003

15. Activity autocorrelation in financial markets. A comparative study between several models
    Papers, arXiv.org
16. Malliavin calculus in finance
    Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra View citations (3)
17. Partial Derivative Approach for Option Pricing in a Simple Stochastic Volatility Model
    Papers, arXiv.org
    See also Journal Article in The European Physical Journal B - Condensed Matter and Complex Systems (2004)

2002

18. A continuous time random walk model for financial distributions
    Papers, arXiv.org View citations (3)

2001

19. An application of Malliavin Calculus to Finance
    Papers, arXiv.org
20. Return or stock price differences
    Papers, arXiv.org

2000

21. A dynamical model describing stock market price distributions
    Papers, arXiv.org View citations (1)
22. Black-Scholes option pricing within Ito and Stratonovich conventions
    Papers, arXiv.org

Journal Articles

2008

1. Renewal equations for option pricing
   The European Physical Journal B - Condensed Matter and Complex Systems, 2008, 65, (2), 295-306 View citations (3)
   See also Working Paper (2008)

2007

2. Mean exit time and survival probability within the CTRW formalism
   The European Physical Journal B - Condensed Matter and Complex Systems, 2007, 57, (2), 181-185 View citations (2)
   See also Working Paper (2006)

2006

3. The continuous time random walk formalism in financial markets
   Journal of Economic Behavior & Organization, 2006, 61, (4), 577-598
   See also Working Paper (2006)

2004

4. Partial derivative approach for option pricing in a simple stochastic volatility model
   The European Physical Journal B - Condensed Matter and Complex Systems, 2004, 42, (1), 141-153
   See also Working Paper (2003)

2003

5. Local Vega Index and Variance Reduction Methods
   Mathematical Finance, 2003, 13, (1), 85-97