Feedback to SSRN

 
  • Selected
  • Entire List
 

Cartea, Álvaro


 SSRN Author Rank: 545 by Downloads
 

University College London


 Gower Street
 London, WC1E 6BT
 United Kingdom
 HOME PAGE: http://www.cartea.net
 email address

  SSRN's personal information usage policy
Authors: If anything on this page requires updating or correction, please go to your SSRN User HeadQuarters and make the change.
The RSS feed for this author will notify you of all new papers and revisions as soon as they are added to the SSRN eLibrary.
Popular RSS readers
. Cartea, Álvaro's Scholarly Papers Click on the title of any column to sort the table by that column.
Aggregate Statistics
Total
Downloads
22,025
Total
Citations
107
Authors Date Downloads
 (Rank)
Citations
ACTIONS:    Email Selected Abstracts    Export Selected Bibliographic Info    VIEW: Selected      Original List     All Versions       All Abstracts       Legend
1.  
Modeling Asset Prices for Algorithmic and High Frequency Trading | Show Abstract | Download |
Applied Mathematical Finance, Vol. 20, No. 6, 2013
Working Paper Series
Cartea, Álvaro
University College London
Jaimungal, Sebastian
University of Toronto - Department of Statistics
Posted:
09 Dec 10
Last Revised:
28 Feb 14
2,803
(1,807)
4

2.  
Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality | Show Abstract | Download |
Applied Mathematical Finance, Vol. 12, No. 4, December 2005
Accepted Paper Series
Cartea, Álvaro
University College London
Figueroa, Marcelo G.
University of London - Birkbeck College
Posted:
04 Oct 06
2,502
(2,236)
35

3.   Incl. Electronic Paper
Cartea, Álvaro
University College London
Penalva, José
Universidad Carlos III, Madrid - Business Economics Department
Posted:
21 Nov 10
Last Revised:
11 Mar 13
2,347
(2,505)
15

4.  
Buy Low Sell High: A High Frequency Trading Perspective | Show Abstract | Download |
SIAM Journal of Financial Mathematics, Forthcoming
Accepted Paper Series
Cartea, Álvaro
University College London
Jaimungal, Sebastian
University of Toronto - Department of Statistics
Ricci, Jason
University of Toronto, Department of Statistics
Posted:
26 Nov 11
Last Revised:
16 Apr 14
2,169
(2,868)
4

5.  
Cross-Commodity Analysis and Applications to Risk Management | Show Abstract | Download |
Journal of Futures Markets, Vol. 29, No. 3, January 2009
Accepted Paper Series
Boerger, Reik H.
RWE AG
Cartea, Álvaro
University College London
Kiesel, Ruediger
University of Duisburg-Essen - Faculty of Economic Science
Schindlmayr, Gero
affiliation not provided to SSRN
Posted:
18 Apr 07
Last Revised:
16 Nov 09
1,726
(4,252)
3

6.  
Benth, Fred Espen
University of Oslo
Cartea, Álvaro
University College London
Kiesel, Ruediger
University of Duisburg-Essen - Faculty of Economic Science
Posted:
01 Nov 06
Last Revised:
11 Mar 13
1,413
(6,053)
15

7.  
Spot Price Modeling and the Valuation of Electricity Forward Contracts: The Role of Demand and Capacity | Show Abstract | Download |
Journal of Banking and Finance 32, Issue 12, (2008), pp. 2502-2519
Working Paper Series
Cartea, Álvaro
University College London
Villaplana, Pablo
Comisión Nacional de Energía
Posted:
25 Oct 07
Last Revised:
11 Mar 13
1,309
(6,854)
6

8.  
Cartea, Álvaro
University College London
Jaimungal, Sebastian
University of Toronto - Department of Statistics
Posted:
26 Feb 12
Last Revised:
05 Oct 12
1,216
(7,744)
1

9.  
UK Gas Markets: the Market Price of Risk and Applications to Multiple Interruptible Supply Contracts | Show Abstract | Download |
Energy Economics, Volume 30, Issue 3, pages 829-846, May 2008
Working Paper Series
Cartea, Álvaro
University College London
Posted:
04 Oct 06
Last Revised:
11 Mar 13
1,138
(8,659)
8

10.  
Modelling Electricity Prices with Forward Looking Capacity Constraints | Show Abstract | Download |
Applied Mathematical Finance, Volume 16, Issue 2, 2009, p 103-122
Working Paper Series
Cartea, Álvaro
University College London
Figueroa, Marcelo G.
University of London - Birkbeck College
Geman, Hélyette
University of London, Birkbeck College - School of Economics, Mathematics and Statistics
Posted:
26 Jan 08
Last Revised:
11 Mar 13
746
(16,585)
4

11.  
Cartea, Álvaro
University College London
Posted:
05 Oct 06
629
(21,240)
1

12.  
Option Pricing with Levy-Stable Processes Generated by Levy-Stable Integrated Variance | Show Abstract | Download |
Quantitative Finance Vol. 9, No. 4, June 2009, pp 397–409
Accepted Paper Series
Cartea, Álvaro
University College London
Howison, Sam
University of Oxford - Nomura Centre for Quantitative Finance, OCIAM
Posted:
02 Oct 07
Last Revised:
11 Mar 13
547
(25,687)
1

13.  
Fractional Diffusion Models of Option Prices in Markets With Jumps | Show Abstract | Download |
Physica A, 374, pages 749–763, 2007
Working Paper Series
Cartea, Álvaro
University College London
Posted:
04 Oct 06
Last Revised:
11 Mar 13
479
(30,647)
1

14.  
Cartea, Álvaro
University College London
Jaimungal, Sebastian
University of Toronto - Department of Statistics
Kinzebulatov, Damir
The Fields Institute for Mathematical Sciences
Posted:
01 Jan 14
Last Revised:
19 Feb 14
398
(38,983)
 

15.  
Cartea, Álvaro
University College London
Donnelly, Ryan
University of Toronto - Department of Mathematics
Jaimungal, Sebastian
University of Toronto - Department of Statistics
Posted:
15 Aug 13
Last Revised:
25 Nov 13
395
(39,467)
 

16.  
Cartea, Álvaro
University College London
Karyampas, Dimitris
UBS AG
Posted:
18 Nov 09
Last Revised:
14 May 11
373
(42,088)
1

17.  
Volatility and Covariation of Financial Assets: A High-Frequency Analysis | Show Abstract | Download |
Journal of Banking and Finance 35(12), December 2011, p 3319-3334
Working Paper Series
Cartea, Álvaro
University College London
Karyampas, Dimitris
UBS AG
Posted:
11 Feb 09
Last Revised:
11 Mar 13
311
(52,249)
2

18.  
How Duration Between Trades of Underlying Securities Affects Option Prices | Show Abstract | Download |
Review of Finance, Volume 14, Issue 4, October 2010, p 749-785
Accepted Paper Series
Cartea, Álvaro
University College London
Meyer-Brandis, Thilo
University of Oslo
Posted:
27 Nov 07
Last Revised:
11 Mar 13
307
(53,064)
3

19.  
How Much Should We Pay for Interconnecting Electricity Markets? A Real Options Approach | Show Abstract | Download |
Energy Economics, Vol. 34, No. 1, pp. 14–30, January 2012
Working Paper Series
Cartea, Álvaro
University College London
González-Pedraz, Carlos
Universidad Carlos III de Madrid
Posted:
14 Jul 10
Last Revised:
11 Mar 13
273
(60,930)
2

20.  
Assessing the Performance of Different Volatility Estimators: A Monte Carlo Analysis | Show Abstract | Download |
Applied Mathematical Finance, Volume 19, Issue 6, 2012, 535-552
Accepted Paper Series
Cartea, Álvaro
University College London
Karyampas, Dimitris
UBS AG
Posted:
10 Jan 12
Last Revised:
11 Mar 13
241
(69,475)
 

21.  
Derivatives Pricing with Marked Point Processes Using Tick-by-Tick Data | Show Abstract | Download |
Quantitative Finance, Volume13 (1), 2013, Pages 111-123
Working Paper Series
Cartea, Álvaro
University College London
Posted:
25 Mar 10
Last Revised:
11 Mar 13
203
(82,894)
1

22.  
Optimal Portfolio Choice in Real Terms: Measuring the Benefits of TIPS | Show Abstract | Download |
Journal of Empirical Finance, Volume 19, Issue 5, December 2012, Pages 721–740
Working Paper Series
Cartea, Álvaro
University College London
Saúl, Jonatan
Universidad Carlos III de Madrid
Toro, Juan
Fundación Instituto de Empresa, S.L. - IE Business School
Posted:
12 Feb 11
Last Revised:
11 Mar 13
197
(85,854)
 

23.  
Cartea, Álvaro
University College London
Villaplana, Pablo
Comisión Nacional de Energía
Posted:
07 Sep 12
167
(99,819)
 

24.  
Cartea, Álvaro
University College London
Jaimungal, Sebastian
University of Toronto - Department of Statistics
Posted:
19 Feb 14
77
(178,641)
 

25.  
Cartea, Álvaro
University College London
Cheeseman, James
British Petroleum
Jaimungal, Sebastian
University of Toronto - Department of Statistics
Posted:
13 Jan 14
59
(208,382)
 


Records 1 - 25 of 25 matches
[ 1 ]

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo5 in 0.422 seconds