Miquel Montero at IDEAS
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Information
about: Miquel Montero
Personal Details | Affiliation | Works
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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:
Phone: Affiliation (in no particular order)
Departament de FĂsica Fonamental, Universitat de Barcelona Homepage: http://www.ffn.ub.es
Location: BarcelonaWorks | Working papers | Articles | Access
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Working papers
Miquel Montero, 2008.
"Predator-Prey Model for Stock Market Fluctuations ,"
Quantitative Finance Papers
0810.4844, arXiv.org, revised Jul 2009.
[Downloadable!]
Javier Villarroel & Miquel Montero, 2008.
"On properties of Continuous-Time Random Walks with Non-Poissonian jump-times ,"
Quantitative Finance Papers
0812.2148, arXiv.org.
[Downloadable!]
Miquel Montero, 2008.
"Perpetual American vanilla option pricing under single regime change risk. An exhaustive study ,"
Quantitative Finance Papers
0812.0556, arXiv.org, revised Feb 2009.
[Downloadable!]
Miquel Montero, 2007.
"Perpetual American options within CTRW's ,"
Quantitative Finance Papers
0708.0544, arXiv.org, revised Nov 2007.
[Downloadable!]
Miquel Montero, 2007.
"Renewal equations for option pricing ,"
Quantitative Finance Papers
0711.2624, arXiv.org, revised Jun 2008.
[Downloadable!]
Miquel Montero, 2006.
"Volatility and dividend risk in perpetual American options ,"
Quantitative Finance Papers
physics/0610047, arXiv.org, revised Mar 2007.
[Downloadable!]
J. Masoliver & M. Montero & J. Perello & G. H. Weiss, 2006.
"The continuous time random walk formalism in financial markets ,"
Quantitative Finance Papers
physics/0611138, arXiv.org.
[Downloadable!]
Josep Perello & Miquel Montero & Luigi Palatella & Ingve Simonsen & Jaume Masoliver, 2006.
"Entropy of the Nordic electricity market: anomalous scaling, spikes, and mean-reversion ,"
Quantitative Finance Papers
physics/0609066, arXiv.org.
[Downloadable!]
Miquel Montero & Jaume Masoliver, 2006.
"Mean Exit Time and Survival Probability within the CTRW Formalism ,"
Quantitative Finance Papers
physics/0607268, arXiv.org, revised Oct 2006.
[Downloadable!]
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 ,"
Quantitative Finance Papers
physics/0507054, arXiv.org.
[Downloadable!]
Jaume Masoliver & Miquel Montero & Josep Perello, 2004.
"Extreme times in financial markets ,"
Quantitative Finance Papers
cond-mat/0406556, arXiv.org.
[Downloadable!]
Luigi Palatella & Josep Perello & Miquel Montero & Jaume Masoliver, 2003.
"Activity autocorrelation in financial markets. A comparative study between several models ,"
Quantitative Finance Papers
cond-mat/0312489, arXiv.org.
[Downloadable!]
Jaume Masoliver & Miquel Montero & Josep Perello & George H. Weiss, 2003.
"The CTRW in finance: Direct and inverse problems with some generalizations and extensions ,"
Quantitative Finance Papers
cond-mat/0308017, arXiv.org, revised Nov 2006.
[Downloadable!]
Miquel Montero, 2003.
"Partial Derivative Approach for Option Pricing in a Simple Stochastic Volatility Model ,"
Quantitative Finance Papers
cond-mat/0307759, arXiv.org.
[Downloadable!]
Arturo Kohatsu & Montero Miquel, 2003.
"Malliavin Calculus in Finance ,"
Economics Working Papers
672, Department of Economics and Business, Universitat Pompeu Fabra.
[Downloadable!]
Jaume Masoliver & Miquel Montero & George H. Weiss, 2002.
"A continuous time random walk model for financial distributions ,"
Quantitative Finance Papers
cond-mat/0210513, arXiv.org.
[Downloadable!]
Arturo Kohatsu-Higa & Miquel Montero, 2001.
"An application of Malliavin Calculus to Finance ,"
Quantitative Finance Papers
cond-mat/0111563, arXiv.org.
[Downloadable!]
Jaume Masoliver & Miquel Montero & Josep Perello, 2001.
"Return or stock price differences ,"
Quantitative Finance Papers
cond-mat/0111529, arXiv.org.
[Downloadable!]
Jaume Masoliver & Miquel Montero & Josep M. Porra, 2000.
"A dynamical model describing stock market price distributions ,"
Quantitative Finance Papers
cond-mat/0003357, arXiv.org.
[Downloadable!]
J. Perello & J. M. Porra & M. Montero & J. Masoliver, 2000.
"Black-Scholes option pricing within Ito and Stratonovich conventions ,"
Quantitative Finance Papers
physics/0001040, arXiv.org, revised Apr 2000.
[Downloadable!]
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.
Published as:
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.
[Downloadable!] (restricted)
Articles
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.
[Downloadable!] (restricted) Other versions:
Hans-Peter Bermin & Arturo Kohatsu-Higa & Miquel Montero, 2003.
"Local Vega Index and Variance Reduction Methods ,"
Mathematical Finance ,
Blackwell Publishing, vol. 13(1), pages 85-97.
[Downloadable!] (restricted)
NEP Fields 2 papers by this author were announced in NEP , and specifically in the following field reports (number of papers):
NEP-ETS : Econometric Time Series (1) 2004-01-25 Author is listed
NEP-FIN : Finance (2) 2004-01-25 2004-05-26 Author is listed
NEP-RMG : Risk Management (1) 2004-01-25 Author is listed
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This page was last updated on 2009-11-10.
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