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Information about:
Álvaro Cartea

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

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Personal Details

First Name: Álvaro
Middle Name:
Last Name: Cartea
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RePEc Short-ID: pca161

Email:
Homepage: http://www.econ.bbk.ac.uk/faculty/cartea/index.htm
Postal Address:
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Affiliation

(in no particular order)

Works

| Working papers | Articles | Access and download statistics | Citations (if any)| NEP Fields |
Download all references for this author: available formats: HTML (with abstracts), plain text (with abstracts), BibTeX, RIS (EndNote), ReDIF

Working papers

  1. 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. [Downloadable!]

  2. 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. [Downloadable!]

  3. 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. [Downloadable!]

  4. 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. [Downloadable!]

  5. 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. [Downloadable!]
    Published as:

  6. 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. [Downloadable!]

  7. 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. [Downloadable!]

  8. 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. [Downloadable!]
    Published as:

  9. 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. [Downloadable!]
    Published as:

  10. 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. [Downloadable!]
    Other versions:
    Published as:

  11. 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. [Downloadable!]

  12. Alvaro Cartea & Sam Howison, 2004. "Option Pricing with Levy-Stable Processes," OFRC Working Papers Series 2004mf01, Oxford Financial Research Centre. [Downloadable!]

  13. 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. [Downloadable!]

Articles

  1. 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. [Downloadable!] (restricted)
    Other versions:

  2. 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. [Downloadable!] (restricted)
    Other versions:

  3. 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. [Downloadable!] (restricted)
    Other versions:

  4. Álvaro Cartea & Marcelo Figueroa, 2005. "Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality," Applied Mathematical Finance, Taylor and Francis Journals, vol. 12(4), pages 313-335, December. [Downloadable!] (restricted)
    Other versions:

NEP Fields

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

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