Details about Miquel Montero

Access statistics for papers by Miquel Montero.

Last updated 2022-11-21. Update your information in the RePEc Author Service.

Short-id: pmo125

Working Papers

2020

1. Statistical analysis and stochastic interest rate modelling for valuing the future with implications in climate change mitigation
   Papers, arXiv.org View citations (2)

2017

2. Discounting the distant future: What do historical bond prices imply about the long term discount rate?
   LABORatorio R. Revelli Working Papers Series, LABORatorio R. Revelli, Centre for Employment Studies View citations (1)

2014

3. Discounting the Distant Future
   Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (4)

2013

4. Uncertain Growth and the Value of the Future
   Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
   Also in Papers, arXiv.org (2013)

2011

5. Parrondo-like behavior in continuous-time random walks with memory
   Papers, arXiv.org View citations (1)

2010

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

2009

7. Perpetual American vanilla option pricing under single regime change risk. An exhaustive study
   Papers, arXiv.org View citations (1)
8. Predator-Prey Model for Stock Market Fluctuations
   Papers, arXiv.org

2008

9. On properties of Continuous-Time Random Walks with Non-Poissonian jump-times
   Papers, arXiv.org
10. Renewal equations for option pricing
    Papers, arXiv.org View citations (2)
    See also Journal Article Renewal equations for option pricing, The European Physical Journal B: Condensed Matter and Complex Systems, Springer (2008) View citations (4) (2008)

2007

11. Perpetual American options within CTRW's
    Papers, arXiv.org
    See also Journal Article Perpetual American options within CTRWs, Physica A: Statistical Mechanics and its Applications, Elsevier (2008) (2008)
12. Volatility and dividend risk in perpetual American options
    Papers, arXiv.org View citations (1)

2006

13. Entropy of the Nordic electricity market: anomalous scaling, spikes, and mean-reversion
    Papers, arXiv.org View citations (9)
14. Mean Exit Time and Survival Probability within the CTRW Formalism
    Papers, arXiv.org
    See also Journal Article Mean exit time and survival probability within the CTRW formalism, The European Physical Journal B: Condensed Matter and Complex Systems, Springer (2007) View citations (1) (2007)
15. The CTRW in finance: Direct and inverse problems with some generalizations and extensions
    Papers, arXiv.org View citations (2)
    See also Journal Article The CTRW in finance: Direct and inverse problems with some generalizations and extensions, Physica A: Statistical Mechanics and its Applications, Elsevier (2007) View citations (3) (2007)
16. The continuous time random walk formalism in financial markets
    Papers, arXiv.org View citations (11)
    Also in Modeling, Computing, and Mastering Complexity 2003, Society for Computational Economics View citations (11)
    See also Journal Article The continuous time random walk formalism in financial markets, Journal of Economic Behavior & Organization, Elsevier (2006) View citations (10) (2006)

2005

17. Scaling and data collapse for the mean exit time of asset prices
    Papers, arXiv.org View citations (4)

2004

18. Extreme times in financial markets
    Papers, arXiv.org View citations (4)

2003

19. Activity autocorrelation in financial markets. A comparative study between several models
    Papers, arXiv.org
20. Malliavin calculus in finance
    Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra View citations (10)
21. Partial Derivative Approach for Option Pricing in a Simple Stochastic Volatility Model
    Papers, arXiv.org
    See also Journal Article Partial derivative approach for option pricing in a simple stochastic volatility model, The European Physical Journal B: Condensed Matter and Complex Systems, Springer (2004) (2004)

2002

22. A continuous time random walk model for financial distributions
    Papers, arXiv.org View citations (23)

2001

23. An application of Malliavin Calculus to Finance
    Papers, arXiv.org View citations (1)
24. Return or stock price differences
    Papers, arXiv.org
    See also Journal Article Return or stock price differences, Physica A: Statistical Mechanics and its Applications, Elsevier (2002) (2002)

2000

25. A dynamical model describing stock market price distributions
    Papers, arXiv.org View citations (4)
    See also Journal Article A dynamical model describing stock market price distributions, Physica A: Statistical Mechanics and its Applications, Elsevier (2000) View citations (4) (2000)
26. Black-Scholes option pricing within Ito and Stratonovich conventions
    Papers, arXiv.org View citations (1)
    See also Journal Article Black–Scholes option pricing within Itô and Stratonovich conventions, Physica A: Statistical Mechanics and its Applications, Elsevier (2000) View citations (2) (2000)

Journal Articles

2017

1. Continuous Time Random Walks with memory and financial distributions
   The European Physical Journal B: Condensed Matter and Complex Systems, 2017, 90, (11), 1-11 View citations (1)
2. Continuous-time random walks with reset events
   The European Physical Journal B: Condensed Matter and Complex Systems, 2017, 90, (9), 1-10 View citations (3)

2008

3. Perpetual American options within CTRWs
   Physica A: Statistical Mechanics and its Applications, 2008, 387, (15), 3936-3941
   See also Working Paper Perpetual American options within CTRW's, Papers (2007) (2007)
4. Renewal equations for option pricing
   The European Physical Journal B: Condensed Matter and Complex Systems, 2008, 65, (2), 295-306 View citations (4)
   See also Working Paper Renewal equations for option pricing, Papers (2008) View citations (2) (2008)

2007

5. 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 (1)
   See also Working Paper Mean Exit Time and Survival Probability within the CTRW Formalism, Papers (2006) (2006)
6. The CTRW in finance: Direct and inverse problems with some generalizations and extensions
   Physica A: Statistical Mechanics and its Applications, 2007, 379, (1), 151-167 View citations (3)
   See also Working Paper The CTRW in finance: Direct and inverse problems with some generalizations and extensions, Papers (2006) View citations (2) (2006)

2006

7. The continuous time random walk formalism in financial markets
   Journal of Economic Behavior & Organization, 2006, 61, (4), 577-598 View citations (10)
   See also Working Paper The continuous time random walk formalism in financial markets, Papers (2006) View citations (11) (2006)

2005

8. Diffusion Entropy technique applied to the study of the market activity
   Physica A: Statistical Mechanics and its Applications, 2005, 355, (1), 131-137 View citations (2)

2004

9. 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 Partial Derivative Approach for Option Pricing in a Simple Stochastic Volatility Model, Papers (2003) (2003)

2003

10. Local Vega Index and Variance Reduction Methods
    Mathematical Finance, 2003, 13, (1), 85-97 View citations (3)
11. Malliavin Calculus applied to finance
    Physica A: Statistical Mechanics and its Applications, 2003, 320, (C), 548-570 View citations (10)

2002

12. Return or stock price differences
    Physica A: Statistical Mechanics and its Applications, 2002, 316, (1), 539-560
    See also Working Paper Return or stock price differences, Papers (2001) (2001)

2000

13. A dynamical model describing stock market price distributions
    Physica A: Statistical Mechanics and its Applications, 2000, 283, (3), 559-567 View citations (4)
    See also Working Paper A dynamical model describing stock market price distributions, Papers (2000) View citations (4) (2000)
14. Black–Scholes option pricing within Itô and Stratonovich conventions
    Physica A: Statistical Mechanics and its Applications, 2000, 278, (1), 260-274 View citations (2)
    See also Working Paper Black-Scholes option pricing within Ito and Stratonovich conventions, Papers (2000) View citations (1) (2000)