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Details about Álvaro Cartea

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Homepage:http://www.cartea.net/
Workplace:Mathematical and Computational Finance Group, Oxford University, (more information at EDIRC)

Access statistics for papers by Álvaro Cartea.

Last updated 2018-12-10. Update your information in the RePEc Author Service.

Short-id: pca161


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Working Papers

2011

  1. Where is the value in high frequency trading?
    Working Papers, Banco de España Downloads View citations (6)
    See also Journal Article in Quarterly Journal of Finance (QJF) (2012)

2010

  1. Derivatives pricing with marked point processes using Tick-by-tick data
    DEE - Working Papers. Business Economics. WB, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa Downloads View citations (1)
    See also Journal Article in Quantitative Finance (2013)
  2. How much should we pay for interconnecting electricity markets? A real options approach
    DEE - Working Papers. Business Economics. WB, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa Downloads
    See also Journal Article in Energy Economics (2012)

2009

  1. How Duration Between Trades of Underlying Securities Affects Option Prices
    MPRA Paper, University Library of Munich, Germany Downloads
    See also Journal Article in Review of Finance (2010)
  2. The Relationship Between the Volatility of Returns and the Number of Jumps in Financial Markets
    Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics Downloads
    Also in DEE - Working Papers. Business Economics. WB, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa (2009) Downloads View citations (2)

    See also Journal Article in Econometric Reviews (2016)
  3. Volatility and Covariation of Financial Assets: A High-Frequency Analysis
    Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics Downloads
    Also in DEE - Working Papers. Business Economics. WB, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa (2009) Downloads

    See also Journal Article in Journal of Banking & Finance (2011)

2008

  1. Modelling Electricity Prices with Forward Looking Capacity Constraints
    Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics Downloads View citations (13)
    See also Journal Article in Applied Mathematical Finance (2009)

2007

  1. A Multivariate Commodity Analysis and Applications to Risk Management
    Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics Downloads View citations (5)
  2. How Does Duration Between Trades of Underlying Securities Affect Option Prices
    Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics Downloads
  3. On the Fluid Limit of the Continuous-Time Random Walk with General Lévy Jump Distribution Functions
    Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics Downloads View citations (2)
  4. Spot Price Modeling and the Valuation of Electricity Forward Contracts: the Role of Demand and Capacity
    Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics Downloads
    See also Journal Article in Journal of Banking & Finance (2008)

2006

  1. Fractional Diffusion Models of Option Prices in Markets with Jumps
    Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics Downloads View citations (1)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2007)
  2. Option Pricing with Lévy-Stable Processes Generated by Lévy-Stable Integrated Variance
    Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics Downloads
    See also Journal Article in Quantitative Finance (2009)
  3. Pricing Forward Contracts in Power Markets by the Certainty Equivalence Principle: Explaining the Sign of the Market Risk Premium
    Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics Downloads View citations (9)
    See also Journal Article in Journal of Banking & Finance (2008)
  4. UK Gas Markets: the Market Price of Risk and Applications to Multiple Interruptible Supply Contracts
    Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics Downloads View citations (7)
    See also Journal Article in Energy Economics (2008)

2005

  1. Dynamic Hedging of Financial Instruments When the Underlying Follows a Non-Gaussian Process
    Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics Downloads View citations (2)
  2. Pricing in Electricity Markets: a Mean Reverting Jump Diffusion Model with Seasonality
    Finance, University Library of Munich, Germany Downloads View citations (144)
    Also in Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics (2005) Downloads View citations (136)

    See also Journal Article in Applied Mathematical Finance (2005)

2004

  1. Option Pricing with Levy-Stable Processes
    OFRC Working Papers Series, Oxford Financial Research Centre Downloads

2002

  1. Distinguished Limits of Levy-Stable Processes, and Applications to Option Pricing
    OFRC Working Papers Series, Oxford Financial Research Centre Downloads View citations (5)

Journal Articles

2016

  1. ALGORITHMIC TRADING OF CO-INTEGRATED ASSETS
    International Journal of Theoretical and Applied Finance (IJTAF), 2016, 19, (06), 1-18 Downloads View citations (6)
  2. ALGORITHMIC TRADING WITH LEARNING
    International Journal of Theoretical and Applied Finance (IJTAF), 2016, 19, (04), 1-30 Downloads View citations (6)
  3. The Relationship between the Volatility of Returns and the Number of Jumps in Financial Markets
    Econometric Reviews, 2016, 35, (6), 929-950 Downloads
    See also Working Paper (2009)

2015

  1. Optimal execution with limit and market orders
    Quantitative Finance, 2015, 15, (8), 1279-1291 Downloads View citations (14)
  2. RISK METRICS AND FINE TUNING OF HIGH-FREQUENCY TRADING STRATEGIES
    Mathematical Finance, 2015, 25, (3), 576-611 Downloads View citations (7)

2013

  1. Derivatives pricing with marked point processes using tick-by-tick data
    Quantitative Finance, 2013, 13, (1), 111-123 Downloads
    See also Working Paper (2010)
  2. Modelling Asset Prices for Algorithmic and High-Frequency Trading
    Applied Mathematical Finance, 2013, 20, (6), 512-547 Downloads View citations (6)

2012

  1. Assessing the Performance of Different Volatility Estimators: A Monte Carlo Analysis
    Applied Mathematical Finance, 2012, 19, (6), 535-552 Downloads
  2. How much should we pay for interconnecting electricity markets? A real options approach
    Energy Economics, 2012, 34, (1), 14-30 Downloads View citations (18)
    See also Working Paper (2010)
  3. Optimal portfolio choice in real terms: Measuring the benefits of TIPS
    Journal of Empirical Finance, 2012, 19, (5), 721-740 Downloads View citations (5)
  4. Where is the Value in High Frequency Trading?
    Quarterly Journal of Finance (QJF), 2012, 02, (03), 1-46 Downloads View citations (8)
    See also Working Paper (2011)

2011

  1. Volatility and covariation of financial assets: A high-frequency analysis
    Journal of Banking & Finance, 2011, 35, (12), 3319-3334 Downloads View citations (6)
    See also Working Paper (2009)

2010

  1. How Duration Between Trades of Underlying Securities Affects Option Prices
    Review of Finance, 2010, 14, (4), 749-785 Downloads View citations (3)
    See also Working Paper (2009)

2009

  1. Cross‐commodity analysis and applications to risk management
    Journal of Futures Markets, 2009, 29, (3), 197-217 Downloads View citations (6)
  2. Modelling Electricity Prices with Forward Looking Capacity Constraints
    Applied Mathematical Finance, 2009, 16, (2), 103-122 Downloads View citations (22)
    See also Working Paper (2008)
  3. Option pricing with Levy-Stable processes generated by Levy-Stable integrated variance
    Quantitative Finance, 2009, 9, (4), 397-409 Downloads View citations (3)
    See also Working Paper (2006)

2008

  1. Pricing forward contracts in power markets by the certainty equivalence principle: Explaining the sign of the market risk premium
    Journal of Banking & Finance, 2008, 32, (10), 2006-2021 Downloads View citations (52)
    See also Working Paper (2006)
  2. Spot price modeling and the valuation of electricity forward contracts: The role of demand and capacity
    Journal of Banking & Finance, 2008, 32, (12), 2502-2519 Downloads View citations (53)
    See also Working Paper (2007)
  3. UK gas markets: The market price of risk and applications to multiple interruptible supply contracts
    Energy Economics, 2008, 30, (3), 829-846 Downloads View citations (22)
    See also Working Paper (2006)

2007

  1. Fractional diffusion models of option prices in markets with jumps
    Physica A: Statistical Mechanics and its Applications, 2007, 374, (2), 749-763 Downloads View citations (18)
    See also Working Paper (2006)

2005

  1. Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality
    Applied Mathematical Finance, 2005, 12, (4), 313-335 Downloads View citations (118)
    See also Working Paper (2005)

Chapters

2016

  1. Volume Imbalance and Market Making*
    Chapter 3 in RECENT ADVANCES IN FINANCIAL ENGINEERING 2014 Proceedings of the TMU Finance Workshop 2014, 2016, pp 57-73 Downloads
 
Page updated 2019-12-08