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Archivo Abierto Institucional de la Universidad Carlos III de Madrid >
Browsing by Author Cartea, Álvaro [acartea]
Showing results 1 to 20 of 28
| Issue Date | Title | Author(s) | Type | | 7-Dec-2007 | Cross-Commodity Analysis and Applications to Risk management | Börger, Reik; Cartea, Álvaro [acartea]; Kiesel, Rüdiger; Schindlmayr, Gero | workingPaper |
| Mar-2009 | Cross-commodity analysis and applications to risk management | Börger, Reik; Cartea, Álvaro [acartea]; Kiesel, Rüdiger; Schindlmayr, Gero | article |
| Apr-2010 | Derivatives pricing with marked point processes using Tick-by-tick data | Cartea, Álvaro [acartea] | workingPaper |
| 19-Aug-2003 | Distinguished limits of Lévy-Stable processes, and applications to option pricing | Cartea, Álvaro [acartea]; Howison, Sam | workingPaper |
| 25-May-2005 | Dynamic hedging of financial instruments when the underlying follows a non-Gaussian process | Cartea, Álvaro [acartea] | workingPaper |
| Oct-2007 | Fluid limit of the continuous-time random walk with general Lévy jump distribution functions | Cartea, Álvaro [acartea]; Castillo Negrete, Diego del | article |
| Feb-2007 | Fractional diffusion models of option prices in markets with jumps | Cartea, Álvaro [acartea]; Castillo Negrete, Diego del | article |
| 11-Aug-2006 | Fractional diffusion models of option prices in markets with jumps | Cartea, Álvaro [acartea]; Castillo Negrete, Diego del | workingPaper |
| 21-May-2009 | How duration between trades of underlying securities affects option prices | Cartea, Álvaro [acartea]; Meyer-Brandis, Thilo | workingPaper |
| Jul-2010 | How much should we pay for interconnecting electricity markets? A real options approach | Cartea, Álvaro [acartea]; González-Pedraz, Carlos [cugonzal] | workingPaper |
| 26-Apr-2011 | Modeling asset prices for algorithmic and high frequency trading | Cartea, Álvaro [acartea]; Jaimungal, Sebastian | workingPaper |
| Feb-2009 | Modelling electricity prices with forward looking capacity constraints | Cartea, Álvaro [acartea] | article |
| 16-Jan-2008 | Modelling electricity prices with forward looking capacity constraints | Cartea, Álvaro [acartea]; Figuerola, Marcelo G.; German, Hélyette | workingPaper |
| Apr-2007 | On the fluid limit of the continuous-time random walk with general Lévy jump distribution functions | Cartea, Álvaro [acartea]; Castillo Negrete, Diego del | workingPaper |
| Jan-2011 | Optimal portfolio choice in real terms : measuring the bene ts of TIPS | Cartea, Álvaro [acartea]; Saúl, Jonatan [jsaul]; Toro, Juan | workingPaper |
| Jun-2009 | Option pricing with Lévy-Stable processes generated by Lévy-Stable integrated variance | Cartea, Álvaro [acartea]; Howison, Sam | article |
| 13-Jan-2009 | Option pricing with Lévy-Stable processes generated by Lévy-Stable integrated variance | Cartea, Álvaro [acartea]; Howison, Sam | workingPaper |
| 14-Dec-2007 | Pricing forward contracts in power markets by the certainty equivalence principle : explaining the sign of the market risk premium | Benth, Fred Espen; Cartea, Álvaro [acartea]; Kiesel, Rüdiger | workingPaper |
| Oct-2008 | Pricing forward contracts in power markets by the certainty equivalence principle: Explaining the sign of the market risk premium | Benth, Fred Espen; Cartea, Álvaro [acartea]; Kiesel, Rüdiger | article |
| 2-Sep-2005 | Pricing in electricity markets : a mean reverting jump diffusion model with seasonality | Cartea, Álvaro [acartea]; Figueroa, Marcelo G. | workingPaper |
Showing results 1 to 20 of 28
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