Access Statistics for Álvaro Cartea

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Multivariate Commodity Analysis and Applications to Risk Management 0 0 0 311 1 1 3 687
Derivatives pricing with marked point processes using Tick-by-tick data 0 0 1 41 0 1 3 137
Distinguished Limits of Levy-Stable Processes, and Applications to Option Pricing 0 0 1 266 0 0 3 533
Dynamic Hedging of Financial Instruments When the Underlying Follows a Non-Gaussian Process 0 0 1 382 0 0 4 1,076
Fractional Diffusion Models of Option Prices in Markets with Jumps 0 0 0 277 0 0 0 764
How Does Duration Between Trades of Underlying Securities Affect Option Prices 0 0 0 48 0 0 0 252
How Duration Between Trades of Underlying Securities Affects Option Prices 0 0 0 17 0 0 0 85
How much should we pay for interconnecting electricity markets? A real options approach 0 1 5 94 0 2 7 165
Modelling Electricity Prices with Forward Looking Capacity Constraints 0 2 2 272 0 2 3 650
On the Fluid Limit of the Continuous-Time Random Walk with General Lévy Jump Distribution Functions 0 0 1 68 0 1 3 226
Option Pricing with Levy-Stable Processes 0 0 1 375 0 1 2 759
Option Pricing with Lévy-Stable Processes Generated by Lévy-Stable Integrated Variance 0 0 0 184 0 0 0 435
Pricing Forward Contracts in Power Markets by the Certainty Equivalence Principle: Explaining the Sign of the Market Risk Premium 0 0 1 251 0 0 3 778
Pricing in Electricity Markets: a Mean Reverting Jump Diffusion Model with Seasonality 0 1 1 2,706 1 3 4 5,557
Pricing in Electricity Markets: a Mean Reverting Jump Diffusion Model with Seasonality 1 1 4 451 1 3 16 1,072
Spot Price Modeling and the Valuation of Electricity Forward Contracts: the Role of Demand and Capacity 0 0 0 412 3 3 3 1,184
The Relationship Between the Volatility of Returns and the Number of Jumps in Financial Markets 0 0 0 46 0 0 2 249
The relationship between the volatility of returns and the number of jumps in financial markets 0 0 0 35 0 0 0 122
UK Gas Markets: the Market Price of Risk and Applications to Multiple Interruptible Supply Contracts 0 0 0 296 0 0 1 758
Volatility and Covariation of Financial Assets: A High-Frequency Analysis 0 0 0 57 0 0 3 157
Volatility and covariation of financial assets: a high-frequency analysis 0 0 0 40 0 0 1 143
Where is the value in high frequency trading? 0 1 3 203 0 1 10 478
Total Working Papers 1 6 21 6,832 6 18 71 16,267


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
ALGORITHMIC TRADING OF CO-INTEGRATED ASSETS 0 1 2 13 0 3 8 76
ALGORITHMIC TRADING WITH LEARNING 1 1 1 62 1 3 17 212
Assessing the Performance of Different Volatility Estimators: A Monte Carlo Analysis 0 0 0 13 0 0 0 49
Cross‐commodity analysis and applications to risk management 0 0 0 1 0 0 0 13
Derivatives pricing with marked point processes using tick-by-tick data 0 0 0 15 0 0 2 101
Fractional diffusion models of option prices in markets with jumps 0 0 1 16 1 2 8 72
How Duration Between Trades of Underlying Securities Affects Option Prices 0 0 0 9 0 0 0 79
How much should we pay for interconnecting electricity markets? A real options approach 0 0 1 29 0 0 3 94
Modelling Asset Prices for Algorithmic and High-Frequency Trading 0 0 0 55 0 0 2 168
Modelling Electricity Prices with Forward Looking Capacity Constraints 0 0 0 32 0 0 2 160
Optimal execution with limit and market orders 2 2 5 38 3 4 17 110
Optimal portfolio choice in real terms: Measuring the benefits of TIPS 0 0 0 19 1 1 1 84
Option pricing with Levy-Stable processes generated by Levy-Stable integrated variance 0 0 0 35 0 0 0 113
Pricing forward contracts in power markets by the certainty equivalence principle: Explaining the sign of the market risk premium 0 0 5 68 0 0 7 234
Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality 1 1 1 337 1 1 4 973
RISK METRICS AND FINE TUNING OF HIGH-FREQUENCY TRADING STRATEGIES 0 0 0 48 0 1 6 131
Spot price modeling and the valuation of electricity forward contracts: The role of demand and capacity 1 2 5 102 4 9 16 330
The Relationship between the Volatility of Returns and the Number of Jumps in Financial Markets 0 0 0 1 0 1 2 27
UK gas markets: The market price of risk and applications to multiple interruptible supply contracts 0 0 0 51 1 1 1 204
Volatility and covariation of financial assets: A high-frequency analysis 0 0 0 6 0 0 0 80
Where is the Value in High Frequency Trading? 0 0 0 8 0 0 10 49
Total Journal Articles 5 7 21 958 12 26 106 3,359


Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Volume Imbalance and Market Making* 1 5 16 80 1 10 30 195
Total Chapters 1 5 16 80 1 10 30 195


Statistics updated 2024-06-06