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Miquel Montero

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This is information that was supplied by Miquel Montero in registering through RePEc. If you are Miquel Montero , 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: Miquel
Middle Name:
Last Name: Montero
Suffix:

RePEc Short-ID: pmo125

Email:
Homepage: http://www.ffn.ub.es/miquel
Postal Address:
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Affiliation

Departament de Física Fonamental, Universitat de Barcelona
Homepage: http://www.ffn.ub.es
Location: Barcelona

Works

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Working papers

  1. Miquel Montero, 2011. "Parrondo-like behavior in continuous-time random walks with memory," Papers 1107.2346, arXiv.org, revised Nov 2011.
  2. Miquel Montero & Javier Villarroel, 2010. "Exit times in non-Markovian drifting continuous-time random walk processes," Papers 1002.0571, arXiv.org, revised Jun 2010.
  3. Miquel Montero, 2008. "Predator-Prey Model for Stock Market Fluctuations," Papers 0810.4844, arXiv.org, revised Jul 2009.
  4. Javier Villarroel & Miquel Montero, 2008. "On properties of Continuous-Time Random Walks with Non-Poissonian jump-times," Papers 0812.2148, arXiv.org.
  5. Miquel Montero, 2008. "Perpetual American vanilla option pricing under single regime change risk. An exhaustive study," Papers 0812.0556, arXiv.org, revised Feb 2009.
  6. Miquel Montero, 2007. "Perpetual American options within CTRW's," Papers 0708.0544, arXiv.org, revised Nov 2007.
  7. Miquel Montero, 2007. "Renewal equations for option pricing," Papers 0711.2624, arXiv.org, revised Jun 2008.
  8. Miquel Montero & Jaume Masoliver, 2006. "Mean Exit Time and Survival Probability within the CTRW Formalism," Papers physics/0607268, arXiv.org, revised Oct 2006.
  9. Miquel Montero, 2006. "Volatility and dividend risk in perpetual American options," Papers physics/0610047, arXiv.org, revised Mar 2007.
  10. Josep Perello & Miquel Montero & Luigi Palatella & Ingve Simonsen & Jaume Masoliver, 2006. "Entropy of the Nordic electricity market: anomalous scaling, spikes, and mean-reversion," Papers physics/0609066, arXiv.org.
  11. Miquel Montero & Josep Perello & Jaume Masoliver & Fabrizio Lillo & Salvatore Micciche & Rosario N. Mantegna, 2005. "Scaling and data collapse for the mean exit time of asset prices," Papers physics/0507054, arXiv.org.
  12. Jaume Masoliver & Miquel Montero & Josep Perello, 2004. "Extreme times in financial markets," Papers cond-mat/0406556, arXiv.org.
  13. Arturo Kohatsu & Montero Miquel, 2003. "Malliavin calculus in finance," Economics Working Papers 672, Department of Economics and Business, Universitat Pompeu Fabra.
  14. Miquel Montero, 2003. "Partial Derivative Approach for Option Pricing in a Simple Stochastic Volatility Model," Papers cond-mat/0307759, arXiv.org.
  15. Luigi Palatella & Josep Perello & Miquel Montero & Jaume Masoliver, 2003. "Activity autocorrelation in financial markets. A comparative study between several models," Papers cond-mat/0312489, arXiv.org.
  16. Jaume Masoliver & Miquel Montero & Josep Perello & George H. Weiss, 2003. "The CTRW in finance: Direct and inverse problems with some generalizations and extensions," Papers cond-mat/0308017, arXiv.org, revised Nov 2006.
  17. Jaume Masoliver & Miquel Montero & George H. Weiss, 2002. "A continuous time random walk model for financial distributions," Papers cond-mat/0210513, arXiv.org.
  18. Arturo Kohatsu-Higa & Miquel Montero, 2001. "An application of Malliavin Calculus to Finance," Papers cond-mat/0111563, arXiv.org.
  19. Jaume Masoliver & Miquel Montero & Josep Perello, 2001. "Return or stock price differences," Papers cond-mat/0111529, arXiv.org.
  20. Jaume Masoliver & Miquel Montero & Josep M. Porra, 2000. "A dynamical model describing stock market price distributions," Papers cond-mat/0003357, arXiv.org.
  21. J. Perello & J. M. Porra & M. Montero & J. Masoliver, 2000. "Black-Scholes option pricing within Ito and Stratonovich conventions," Papers physics/0001040, arXiv.org, revised Apr 2000.
  22. Jaume Masoliver & Miquel Montero & Josep Perello, . "The continuous time random walk formalism in financial markets," Modeling, Computing, and Mastering Complexity 2003 24, Society for Computational Economics.

Articles

  1. M. Montero, 2008. "Renewal equations for option pricing," The European Physical Journal B - Condensed Matter and Complex Systems, Springer, vol. 65(2), pages 295-306, September.
  2. M. Montero & J. Masoliver, 2007. "Mean exit time and survival probability within the CTRW formalism," The European Physical Journal B - Condensed Matter and Complex Systems, Springer, vol. 57(2), pages 181-185, 05.
  3. Masoliver, Jaume & Montero, Miquel & Perello, Josep & Weiss, George H., 2006. "The continuous time random walk formalism in financial markets," Journal of Economic Behavior & Organization, Elsevier, vol. 61(4), pages 577-598, December.
  4. M. Montero, 2004. "Partial derivative approach for option pricing in a simple stochastic volatility model," The European Physical Journal B - Condensed Matter and Complex Systems, Springer, vol. 42(1), pages 141-153, November.
  5. Hans-Peter Bermin & Arturo Kohatsu-Higa & Miquel Montero, 2003. "Local Vega Index and Variance Reduction Methods," Mathematical Finance, Wiley Blackwell, vol. 13(1), pages 85-97.

NEP Fields

4 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-ECM: Econometrics (1) 2010-02-13. Author is listed
  2. NEP-ETS: Econometric Time Series (2) 2004-01-25 2011-10-09. Author is listed
  3. NEP-FIN: Finance (2) 2004-01-25 2004-05-26. Author is listed
  4. NEP-RMG: Risk Management (1) 2004-01-25. Author is listed

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