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Álvaro Cartea

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This is information that was supplied by Álvaro Cartea in registering through RePEc. If you are Álvaro Cartea , you may change this information at the RePEc Author Service. Or if you are not registered and would like to be listed as well, register at the RePEc Author Service. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Personal Details

First Name: Álvaro
Middle Name:
Last Name: Cartea
Suffix:

RePEc Short-ID: pca161

Email:
Homepage: http://www.cartea.net/
Postal Address:
Phone:

Affiliation

Departamento de Economía de la Empresa
Universidad Carlos III de Madrid
Location: Madrid, Spain
Homepage: http://portal.uc3m.es/portal/page/portal/dpto_economia_empresa
Email:
Phone: +34 91 624-9630
Fax: +34 91 624-9608
Postal: Calle Madrid 126, 28903 Getafe (Madrid)
Handle: RePEc:edi:dmuc3es (more details at EDIRC)

Works

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Working papers

  1. Álvaro Cartea & José Penalva, 2011. "Where is the value in high frequency trading?," Banco de Espa�a Working Papers 1111, Banco de Espa�a.
  2. Álvaro Cartea & Carlos González-Pedraz, 2010. "How much should we pay for interconnecting electricity markets? A real options approach," Business Economics Working Papers wb103206, Universidad Carlos III, Departamento de Economía de la Empresa.
  3. Álvaro Cartea, 2010. "Derivatives pricing with marked point processes using Tick-by-tick dataR," Business Economics Working Papers wb101604, Universidad Carlos III, Departamento de Economía de la Empresa.
  4. Cartea, Álvaro & Meyer-Brandis, Thilo, 2009. "How Duration Between Trades of Underlying Securities Affects Option Prices," MPRA Paper 16179, University Library of Munich, Germany.
  5. Álvaro Cartea & Dimitrios Karyampas, 2009. "Volatility and Covariation of Financial Assets: A High-Frequency Analysis," Birkbeck Working Papers in Economics and Finance 0913, Birkbeck, Department of Economics, Mathematics & Statistics.
  6. Alvaro Cartea & Dimitrios Karyampas, 2009. "The relationship between the volatility of returns and the number of jumps in financial markets," Business Economics Working Papers wb097508, Universidad Carlos III, Departamento de Economía de la Empresa.
  7. Alvaro Cartea & Marcelo G. Figueroa & Helyette Geman, 2008. "Modelling Electricity Prices with Forward Looking Capacity Constraints," Birkbeck Working Papers in Economics and Finance 0802, Birkbeck, Department of Economics, Mathematics & Statistics.
  8. Alvaro Cartea & Thilo Meyer-Brandis, 2007. "How Does Duration Between Trades of Underlying Securities Affect Option Prices," Birkbeck Working Papers in Economics and Finance 0721, Birkbeck, Department of Economics, Mathematics & Statistics.
  9. Alvaro Cartea & Diego del-Castillo-Negrete, 2007. "On the Fluid Limit of the Continuous-Time Random Walk with General Lévy Jump Distribution Functions," Birkbeck Working Papers in Economics and Finance 0708, Birkbeck, Department of Economics, Mathematics & Statistics.
  10. Reik H. Boerger & Alvaro Cartea & Ruediger Kiesel & Gero Schindlmayr, 2007. "A Multivariate Commodity Analysis and Applications to Risk Management," Birkbeck Working Papers in Economics and Finance 0709, Birkbeck, Department of Economics, Mathematics & Statistics.
  11. Alvaro Cartea & Pablo Villaplana Conde, 2007. "Spot Price Modeling and the Valuation of Electricity Forward Contracts: the Role of Demand and Capacity," Birkbeck Working Papers in Economics and Finance 0718, Birkbeck, Department of Economics, Mathematics & Statistics.
  12. Alvaro Cartea & Thomas Williams, 2006. "UK Gas Markets: the Market Price of Risk and Applications to Multiple Interruptible Supply Contracts," Birkbeck Working Papers in Economics and Finance 0608, Birkbeck, Department of Economics, Mathematics & Statistics.
  13. Alvaro Cartea & Sam Howison, 2006. "Option Pricing with Lévy-Stable Processes Generated by Lévy-Stable Integrated Variance," Birkbeck Working Papers in Economics and Finance 0602, Birkbeck, Department of Economics, Mathematics & Statistics.
  14. Fred Espen Benth & Alvaro Cartea & Ruediger Kiesel, 2006. "Pricing Forward Contracts in Power Markets by the Certainty Equivalence Principle: Explaining the Sign of the Market Risk Premium," Birkbeck Working Papers in Economics and Finance 0611, Birkbeck, Department of Economics, Mathematics & Statistics.
  15. Alvaro Cartea & Diego del-Castillo-Negrete, 2006. "Fractional Diffusion Models of Option Prices in Markets with Jumps," Birkbeck Working Papers in Economics and Finance 0604, Birkbeck, Department of Economics, Mathematics & Statistics.
  16. Alvaro Cartea, 2005. "Dynamic Hedging of Financial Instruments When the Underlying Follows a Non-Gaussian Process," Birkbeck Working Papers in Economics and Finance 0508, Birkbeck, Department of Economics, Mathematics & Statistics.
  17. Alvaro Cartea & Marcelo_Gustavo Figueroa, 2005. "Pricing in Electricity Markets: a Mean Reverting Jump Diffusion Model with Seasonality," Finance 0501011, EconWPA, revised 10 Sep 2005.
  18. Alvaro Cartea & Sam Howison, 2004. "Option Pricing with Levy-Stable Processes," OFRC Working Papers Series 2004mf01, Oxford Financial Research Centre.
  19. Alvaro Cartea & Sam Howison, 2002. "Distinguished Limits of Levy-Stable Processes, and Applications to Option Pricing," OFRC Working Papers Series 2002mf04, Oxford Financial Research Centre.

Articles

  1. �lvaro Cartea, 2013. "Derivatives pricing with marked point processes using tick-by-tick data," Quantitative Finance, Taylor & Francis Journals, vol. 13(1), pages 111-123, January.
  2. �lvaro Cartea & Dimitrios Karyampas, 2012. "Assessing the Performance of Different Volatility Estimators: A Monte Carlo Analysis," Applied Mathematical Finance, Taylor & Francis Journals, vol. 19(6), pages 535-552, December.
  3. Cartea, Álvaro & Saúl, Jonatan & Toro, Juan, 2012. "Optimal portfolio choice in real terms: Measuring the benefits of TIPS," Journal of Empirical Finance, Elsevier, vol. 19(5), pages 721-740.
  4. Cartea, Álvaro & González-Pedraz, Carlos, 2012. "How much should we pay for interconnecting electricity markets? A real options approach," Energy Economics, Elsevier, vol. 34(1), pages 14-30.
  5. Cartea, Álvaro & Karyampas, Dimitrios, 2011. "Volatility and covariation of financial assets: A high-frequency analysis," Journal of Banking & Finance, Elsevier, vol. 35(12), pages 3319-3334.
  6. �lvaro Cartea & Thilo Meyer-Brandis, 2010. "How Duration Between Trades of Underlying Securities Affects Option Prices," Review of Finance, European Finance Association, vol. 14(4), pages 749-785.
  7. Alvaro Cartea & Sam Howison, 2009. "Option pricing with Levy-Stable processes generated by Levy-Stable integrated variance," Quantitative Finance, Taylor & Francis Journals, vol. 9(4), pages 397-409.
  8. Alvaro Cartea & Marcelo Figueroa & Helyette Geman, 2009. "Modelling Electricity Prices with Forward Looking Capacity Constraints," Applied Mathematical Finance, Taylor & Francis Journals, vol. 16(2), pages 103-122.
  9. Cartea, Álvaro & Williams, Thomas, 2008. "UK gas markets: The market price of risk and applications to multiple interruptible supply contracts," Energy Economics, Elsevier, vol. 30(3), pages 829-846, May.
  10. Cartea, Álvaro & Villaplana, Pablo, 2008. "Spot price modeling and the valuation of electricity forward contracts: The role of demand and capacity," Journal of Banking & Finance, Elsevier, vol. 32(12), pages 2502-2519, December.
  11. Benth, Fred Espen & Cartea, Álvaro & Kiesel, Rüdiger, 2008. "Pricing forward contracts in power markets by the certainty equivalence principle: Explaining the sign of the market risk premium," Journal of Banking & Finance, Elsevier, vol. 32(10), pages 2006-2021, October.
  12. Cartea, Álvaro & del-Castillo-Negrete, Diego, 2007. "Fractional diffusion models of option prices in markets with jumps," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 374(2), pages 749-763.
  13. Alvaro Cartea & Marcelo Figueroa, 2005. "Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality," Applied Mathematical Finance, Taylor & Francis Journals, vol. 12(4), pages 313-335.

NEP Fields

22 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CFN: Corporate Finance (1) 2011-06-04
  2. NEP-ECM: Econometrics (2) 2009-11-21 2010-04-17
  3. NEP-ENE: Energy Economics (8) 2005-03-06 2005-04-16 2006-09-16 2006-11-18 2007-05-04 2007-11-03 2008-02-02 2010-07-31. Author is listed
  4. NEP-ETS: Econometric Time Series (1) 2003-08-31
  5. NEP-FIN: Finance (4) 2005-03-06 2005-05-29 2006-03-05 2006-09-16
  6. NEP-FMK: Financial Markets (3) 2003-08-31 2006-03-18 2006-09-16
  7. NEP-MIC: Microeconomics (3) 2006-11-18 2007-11-03 2008-02-02
  8. NEP-MST: Market Microstructure (7) 2007-12-15 2009-07-17 2009-11-21 2009-12-05 2009-12-11 2010-04-17 2011-06-04. Author is listed
  9. NEP-RMG: Risk Management (4) 2003-08-31 2005-05-29 2007-05-04 2007-12-15
  10. NEP-UPT: Utility Models & Prospect Theory (1) 2006-11-18

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