Miquel Montero

University of Barcelona - Departament de Física de la Matèria Condensada

Associate Professor

Martí i Franquès, 1

Barcelona, Catalonia 08028

Spain

SCHOLARLY PAPERS

14

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SSRN CITATIONS

1

CROSSREF CITATIONS

2

Scholarly Papers (14)

1.

Partial Derivative Approach for Option Pricing in a Simple Stochastic Volatility Model

Number of pages: 21 Posted: 18 Oct 2003
Miquel Montero
University of Barcelona - Departament de Física de la Matèria Condensada
Downloads 244 (134,601)

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stochastic volatility models, partial derivative equations, option pricing, completeness, Monte Carlo methods

2.

Discounting the Distant Future

Cowles Foundation Discussion Paper No. 1951
Number of pages: 32 Posted: 16 Jul 2014
University of Oxford - Institute for New Economic Thinking at the Oxford Martin School, Yale University, University of Barcelona - Department of Physics, University of Barcelona - Departament de Física de la Matèria Condensada and University of Barcelona - Department of Physics
Downloads 231 (141,968)
Citation 3

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Discounting, Environment, Interest rates, Inflation, Ornstein-Uhlenbeck process

3.

Predator-Prey Model for Stock Market Fluctuations

Number of pages: 20 Posted: 29 Oct 2008
Miquel Montero
University of Barcelona - Departament de Física de la Matèria Condensada
Downloads 154 (204,775)
Citation 2

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Models of financial markets, Interacting agent models, Stochastic processes

4.

Volatility and Dividend Risk in Perpetual American Options

Number of pages: 21 Posted: 09 Nov 2006
Miquel Montero
University of Barcelona - Departament de Física de la Matèria Condensada
Downloads 130 (234,652)

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5.

The Ctrw in Finance: Direct and Inverse Problems

Number of pages: 17 Posted: 10 Oct 2003
University of Barcelona - Department of Physics, University of Barcelona - Departament de Física de la Matèria Condensada, University of Barcelona - Department of Physics and Government of the United States of America - Center for Information Technology
Downloads 116 (255,418)
Citation 3

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random walks, financial markets, volatility, trading activity

6.

Scaling and Data Collapse for the Mean Exit Time of Asset Prices

Number of pages: 11 Posted: 18 Jul 2005
University of Barcelona - Departament de Física de la Matèria Condensada, University of Barcelona - Department of Physics, University of Barcelona - Department of Physics, Università di Bologna, University of Palermo - Department of Physics and Chemistry and University of Palermo
Downloads 94 (294,971)

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Continuous time random walk, mean exit time, Markov process

7.

Renewal Equations for Option Pricing

Number of pages: 11 Posted: 20 Nov 2007 Last Revised: 09 Jul 2008
Miquel Montero
University of Barcelona - Departament de Física de la Matèria Condensada
Downloads 73 (343,428)

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8.

Uncertain Growth and the Value of the Future

Cowles Foundation Discussion Paper No. 1930
Number of pages: 9 Posted: 18 Nov 2013 Last Revised: 18 Dec 2013
University of Barcelona - Department of Physics, University of Barcelona - Departament de Física de la Matèria Condensada, University of Barcelona - Department of Physics, Yale University and University of Oxford - Institute for New Economic Thinking at the Oxford Martin School
Downloads 72 (346,047)

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stochastic processes, environmental economics, Ornstein-Uhlenbeck, discount

9.

Mean Exit Time and Survival Probability within the Ctrw Formalism

Number of pages: 11 Posted: 09 Nov 2006
Miquel Montero and Jaume Masoliver
University of Barcelona - Departament de Física de la Matèria Condensada and University of Barcelona - Department of Physics
Downloads 69 (354,239)

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Continuous Time Random Walks, Markov Processes, Mean Exit Time, Risk Measures, Survival Probability

10.

Activity Autocorrelation in Financial Markets' a Comparative Study between Several Models

European Physical Journal, Vol. 38, pp. 671-677
Number of pages: 15 Posted: 20 Jul 2005
Universita di Pisa, University of Barcelona - Department of Physics, University of Barcelona - Departament de Física de la Matèria Condensada and University of Barcelona - Department of Physics
Downloads 66 (362,693)

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Financial markets, time series analysis, market microsture, activity

11.

Non-Independent Continuous Time Random Walks

Number of pages: 24 Posted: 01 Aug 2007
Miquel Montero and Jaume Masoliver
University of Barcelona - Departament de Física de la Matèria Condensada and University of Barcelona - Department of Physics
Downloads 65 (365,578)

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Stochastic processes, Markov processes, Random walks, CTRW, Approximations

12.

Local Vega Index and Variance Reduction Methods

Mathematical Finance, Vol. 13, pp. 85-97, 2003
Number of pages: 13 Posted: 20 Mar 2003
Lund University, Department of Economics, Universitat Pompeu Fabra - Faculty of Economic and Business Sciences and University of Barcelona - Departament de Física de la Matèria Condensada
Downloads 31 (493,253)
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Option Sensitivity, Volatility Structure

13.

Exit Times in Non-Markovian Drifting Continuous-Time Random Walk Processes

Number of pages: 8 Posted: 03 Feb 2010
Miquel Montero and Javier villarroel
University of Barcelona - Departament de Física de la Matèria Condensada and affiliation not provided to SSRN
Downloads 24 (531,872)

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continuous-time random walks, non-Markovian processes, exit times

14.

Perpetual American Vanilla Option Pricing Under Single Regime Change Risk - An Exhaustive Study

Posted: 02 Dec 2008
Miquel Montero
University of Barcelona - Departament de Física de la Matèria Condensada

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