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Information about:
Miquel Montero

Personal Details | Affiliation | Works
This is information that was supplied by Miquel Montero in registering through RePEc. If you are Miquel Montero , 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: Miquel
Middle Name:
Last Name: Montero
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RePEc Short-ID: pmo125

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Homepage: http://www.ffn.ub.es/miquel
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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. Miquel Montero, 2008. "Predator-Prey Model for Stock Market Fluctuations," Quantitative Finance Papers 0810.4844, arXiv.org, revised Jul 2009. [Downloadable!]

  2. 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!]

  3. 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!]

  4. Miquel Montero, 2007. "Perpetual American options within CTRW's," Quantitative Finance Papers 0708.0544, arXiv.org, revised Nov 2007. [Downloadable!]

  5. Miquel Montero, 2007. "Renewal equations for option pricing," Quantitative Finance Papers 0711.2624, arXiv.org, revised Jun 2008. [Downloadable!]

  6. Miquel Montero, 2006. "Volatility and dividend risk in perpetual American options," Quantitative Finance Papers physics/0610047, arXiv.org, revised Mar 2007. [Downloadable!]

  7. 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!]

  8. 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!]

  9. 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!]

  10. 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!]

  11. Jaume Masoliver & Miquel Montero & Josep Perello, 2004. "Extreme times in financial markets," Quantitative Finance Papers cond-mat/0406556, arXiv.org. [Downloadable!]

  12. 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!]

  13. 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!]

  14. Miquel Montero, 2003. "Partial Derivative Approach for Option Pricing in a Simple Stochastic Volatility Model," Quantitative Finance Papers cond-mat/0307759, arXiv.org. [Downloadable!]

  15. Arturo Kohatsu & Montero Miquel, 2003. "Malliavin Calculus in Finance," Economics Working Papers 672, Department of Economics and Business, Universitat Pompeu Fabra. [Downloadable!]

  16. 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!]

  17. Arturo Kohatsu-Higa & Miquel Montero, 2001. "An application of Malliavin Calculus to Finance," Quantitative Finance Papers cond-mat/0111563, arXiv.org. [Downloadable!]

  18. Jaume Masoliver & Miquel Montero & Josep Perello, 2001. "Return or stock price differences," Quantitative Finance Papers cond-mat/0111529, arXiv.org. [Downloadable!]

  19. 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!]

  20. 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!]

  21. 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:

Articles

  1. 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:

  2. 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):
  1. NEP-ETS: Econometric Time Series (1) 2004-01-25 Author is listed
  2. NEP-FIN: Finance (2) 2004-01-25 2004-05-26 Author is listed
  3. 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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