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Cartea, Álvaro


 SSRN Author Rank: 492 by Downloads
 

University College London


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

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. Cartea, Álvaro's Scholarly Papers Click on the title of any column to sort the table by that column.
Aggregate Statistics
Total
Downloads
25,703
Total
Citations
110
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 This Paper |
Applied Mathematical Finance, Vol. 20, No. 6, 2013
Number of Pages in PDF File: 32
Cartea, Álvaro
University College London
Jaimungal, Sebastian
University of Toronto - Department of Statistics
Posted:
09 Dec 10
Last Revised:
28 Feb 14
3,287
(1,559)
4

2.  
Buy Low Sell High: A High Frequency Trading Perspective | Show Abstract | Download This Paper |
SIAM Journal of Financial Mathematics, Forthcoming
Number of Pages in PDF File: 37
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
2,828
(2,067)
5

3.  
Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality | Show Abstract | Download This Paper |
Applied Mathematical Finance, Vol. 12, No. 4, December 2005
Number of Pages in PDF File: 29
Cartea, Álvaro
University College London
Figueroa, Marcelo G.
University of London - Birkbeck College
Posted:
04 Oct 06
2,611
(2,410)
35

4.   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
2,591
(2,448)
16

5.  
Cross-Commodity Analysis and Applications to Risk Management | Show Abstract | Download This Paper |
Journal of Futures Markets, Vol. 29, No. 3, January 2009
Number of Pages in PDF File: 20
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
1,768
(4,684)
3

6.  
Risk Metrics and Fine Tuning of High Frequency Trading Strategies | Show Abstract | Download This Paper |
Forthcoming, Mathematical Finance
Number of Pages in PDF File: 37
Cartea, Álvaro
University College London
Jaimungal, Sebastian
University of Toronto - Department of Statistics
Posted:
26 Feb 12
Last Revised:
05 Oct 12
1,476
(6,431)
1

7.  
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
1,444
(6,695)
15

8.  
Spot Price Modeling and the Valuation of Electricity Forward Contracts: The Role of Demand and Capacity | Show Abstract | Download This Paper |
Journal of Banking and Finance 32, Issue 12, (2008), pp. 2502-2519
Number of Pages in PDF File: 55
Cartea, Álvaro
University College London
Villaplana, Pablo
Comisión Nacional de Energía
Posted:
25 Oct 07
Last Revised:
11 Mar 13
1,354
(7,439)
6

9.  
UK Gas Markets: the Market Price of Risk and Applications to Multiple Interruptible Supply Contracts | Show Abstract | Download This Paper |
Energy Economics, Volume 30, Issue 3, pages 829-846, May 2008
Number of Pages in PDF File: 29
Cartea, Álvaro
University College London
Posted:
04 Oct 06
Last Revised:
11 Mar 13
1,162
(9,616)
9

10.  
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
825
(16,360)
 

11.  
Modelling Electricity Prices with Forward Looking Capacity Constraints | Show Abstract | Download This Paper |
Applied Mathematical Finance, Volume 16, Issue 2, 2009, p 103-122
Number of Pages in PDF File: 36
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
770
(18,030)
4

12.  
Cartea, Álvaro
University College London
Donnelly, Ryan Francis
University of Toronto - Department of Mathematics
Jaimungal, Sebastian
University of Toronto - Department of Statistics
Posted:
15 Aug 13
Last Revised:
29 Dec 14
701
(20,749)
 

13.  
Cartea, Álvaro
University College London
Posted:
05 Oct 06
645
(23,278)
1

14.  
Option Pricing with Levy-Stable Processes Generated by Levy-Stable Integrated Variance | Show Abstract | Download This Paper |
Quantitative Finance Vol. 9, No. 4, June 2009, pp 397–409
Number of Pages in PDF File: 30
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
559
(28,393)
1

15.  
Fractional Diffusion Models of Option Prices in Markets With Jumps | Show Abstract | Download This Paper |
Physica A, 374, pages 749–763, 2007
Number of Pages in PDF File: 29
Cartea, Álvaro
University College London
Posted:
04 Oct 06
Last Revised:
11 Mar 13
495
(33,420)
1

16.  
Optimal Execution with Limit and Market Orders | Show Abstract | Download This Paper |
Forthcoming: Quantitative Finance
Number of Pages in PDF File: 24
Cartea, Álvaro
University College London
Jaimungal, Sebastian
University of Toronto - Department of Statistics
Posted:
19 Feb 14
Last Revised:
21 Nov 14
428
(40,257)
 

17.  
Cartea, Álvaro
University College London
Karyampas, Dimitris
ICMA, University of Reading
Posted:
18 Nov 09
Last Revised:
08 May 14
420
(41,112)
1

18.  
Volatility and Covariation of Financial Assets: A High-Frequency Analysis | Show Abstract | Download This Paper |
Journal of Banking and Finance 35(12), December 2011, p 3319-3334
Number of Pages in PDF File: 52
Cartea, Álvaro
University College London
Karyampas, Dimitris
ICMA, University of Reading
Posted:
11 Feb 09
Last Revised:
11 Mar 13
345
(52,293)
2

19.  
How Duration Between Trades of Underlying Securities Affects Option Prices | Show Abstract | Download This Paper |
Review of Finance, Volume 14, Issue 4, October 2010, p 749-785
Number of Pages in PDF File: 49
Cartea, Álvaro
University College London
Meyer-Brandis, Thilo
University of Oslo
Posted:
27 Nov 07
Last Revised:
11 Mar 13
326
(55,923)
3

20.  
How Much Should We Pay for Interconnecting Electricity Markets? A Real Options Approach | Show Abstract | Download This Paper |
Energy Economics, Vol. 34, No. 1, pp. 14–30, January 2012
Number of Pages in PDF File: 36
Cartea, Álvaro
University College London
G. Pedraz, Carlos
Universidad Carlos III de Madrid
Posted:
14 Jul 10
Last Revised:
11 Mar 13
293
(63,477)
2

21.  
Assessing the Performance of Different Volatility Estimators: A Monte Carlo Analysis | Show Abstract | Download This Paper |
Applied Mathematical Finance, Volume 19, Issue 6, 2012, 535-552
Number of Pages in PDF File: 23
Cartea, Álvaro
University College London
Karyampas, Dimitris
ICMA, University of Reading
Posted:
10 Jan 12
Last Revised:
11 Mar 13
270
(69,477)
 

22.  
Derivatives Pricing with Marked Point Processes Using Tick-by-Tick Data | Show Abstract | Download This Paper |
Quantitative Finance, Volume13 (1), 2013, Pages 111-123
Number of Pages in PDF File: 32
Cartea, Álvaro
University College London
Posted:
25 Mar 10
Last Revised:
11 Mar 13
219
(86,346)
1

23.  
Optimal Portfolio Choice in Real Terms: Measuring the Benefits of TIPS | Show Abstract | Download This Paper |
Journal of Empirical Finance, Volume 19, Issue 5, December 2012, Pages 721–740
Number of Pages in PDF File: 34
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
208
(90,887)
 

24.  
Cartea, Álvaro
University College London
Villaplana, Pablo
Comisión Nacional de Energía
Posted:
07 Sep 12
202
(93,612)
 

25.  
Cartea, Álvaro
University College London
Cheeseman, James
British Petroleum
Jaimungal, Sebastian
University of Toronto - Department of Statistics
Posted:
13 Jan 14
164
(114,402)
 

26.  
Cartea, Álvaro
University College London
Jaimungal, Sebastian
University of Toronto - Department of Statistics
Posted:
31 Jan 15
Last Revised:
06 Feb 15
105
(163,859)
 

27.  
Cartea, Álvaro
University College London
Jaimungal, Sebastian
University of Toronto - Department of Statistics
Posted:
24 Dec 14
Last Revised:
27 Jan 15
104
(163,859)
 

28.  
Cartea, Álvaro
University College London
Jaimungal, Sebastian
University of Toronto - Department of Statistics
Posted:
22 Jan 15
103
(165,021)
 


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