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Publications

by members of

Oxford University → Mathematical and Computational Finance Group

These are publications listed in RePEc written by members of the above institution who are registered with the RePEc Author Service. Thus this compiles the works all those currently affiliated with this institution, not those affilated at the time of publication. List of registered members. Register yourself. Citation analysis. This page is updated in the first days of each month.
| Working papers | Journal articles | Chapters |

Working papers

2020

  1. Hans Buhler & Blanka Horvath & Terry Lyons & Imanol Perez Arribas & Ben Wood, 2020, "A Data-driven Market Simulator for Small Data Environments," Papers, arXiv.org, number 2006.14498, Jun.

2019

  1. Terry Lyons & Sina Nejad & Imanol Perez Arribas, 2019, "Nonparametric pricing and hedging of exotic derivatives," Papers, arXiv.org, number 1905.00711, May.
  2. Jasdeep Kalsi & Terry Lyons & Imanol Perez Arribas, 2019, "Optimal execution with rough path signatures," Papers, arXiv.org, number 1905.00728, May.
  3. Terry Lyons & Sina Nejad & Imanol Perez Arribas, 2019, "Numerical method for model-free pricing of exotic derivatives using rough path signatures," Papers, arXiv.org, number 1905.01720, May, revised Feb 2020.

2014

  1. Terry Lyons, 2014, "Rough paths, Signatures and the modelling of functions on streams," Papers, arXiv.org, number 1405.4537, May.

2013

  1. Lajos Gergely Gyurk'o & Terry Lyons & Mark Kontkowski & Jonathan Field, 2013, "Extracting information from the signature of a financial data stream," Papers, arXiv.org, number 1307.7244, Jul, revised Jul 2014.
  2. Daniel Levin & Terry Lyons & Hao Ni, 2013, "Learning from the past, predicting the statistics for the future, learning an evolving system," Papers, arXiv.org, number 1309.0260, Sep, revised Mar 2016.

2011

  1. Álvaro Cartea & José Penalva, 2011, "Where is the value in high frequency trading?," Working Papers, Banco de España, number 1111, May.

2010

  1. Cartea, Álvaro, 2010, "Derivatives pricing with marked point processes using Tick-by-tick data," DEE - Working Papers. Business Economics. WB, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa, number wb101604, Apr.
  2. Cartea, Álvaro & González-Pedraz, Carlos, 2010, "How much should we pay for interconnecting electricity markets? A real options approach," DEE - Working Papers. Business Economics. WB, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa, number wb103206, Jul.
  3. G. Liang & T. Lyons & Z. Qian, 2010, "A Functional Approach to FBSDEs and Its Application in Optimal Portfolios," Papers, arXiv.org, number 1011.4499, Nov.

2009

  1. Álvaro Cartea & Dimitrios Karyampas, 2009, "Volatility and Covariation of Financial Assets: A High-Frequency Analysis," Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics, number 0913, Oct.
  2. Cartea, Álvaro & Karyampas, Dimitrios, 2009, "The relationship between the volatility of returns and the number of jumps in financial markets," DEE - Working Papers. Business Economics. WB, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa, number wb097508, Dec.
  3. Cartea, Álvaro & Meyer-Brandis, Thilo, 2009, "How Duration Between Trades of Underlying Securities Affects Option Prices," MPRA Paper, University Library of Munich, Germany, number 16179, Apr.

2008

  1. Alvaro Cartea & Marcelo G. Figueroa & Helyette Geman, 2008, "Modelling Electricity Prices with Forward Looking Capacity Constraints," Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics, number 0802, Feb.

2007

  1. Reik H. Börger & Alvaro Cartea & Ruediger Kiesel & Gero Schindlmayr, 2007, "A Multivariate Commodity Analysis and Applications to Risk Management," Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics, number 0709, Jan.
  2. 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, Birkbeck, Department of Economics, Mathematics & Statistics, number 0708, Jan.
  3. 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, Birkbeck, Department of Economics, Mathematics & Statistics, number 0718, Nov.
  4. Alvaro Cartea & Thilo Meyer-Brandis, 2007, "How Does Duration Between Trades of Underlying Securities Affect Option Prices," Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics, number 0721, Dec.

2006

  1. Alvaro Cartea & Sam Howison, 2006, "Option Pricing with Lévy-Stable Processes Generated by Lévy-Stable Integrated Variance," Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics, number 0602, Feb.
  2. Alvaro Cartea & Diego del-Castillo-Negrete, 2006, "Fractional Diffusion Models of Option Prices in Markets with Jumps," Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics, number 0604, Apr.
  3. 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, Birkbeck, Department of Economics, Mathematics & Statistics, number 0608, Sep.
  4. 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, Birkbeck, Department of Economics, Mathematics & Statistics, number 0611, Oct.

2005

  1. Alvaro Cartea & Marcelo_Gustavo Figueroa, 2005, "Pricing in Electricity Markets: a Mean Reverting Jump Diffusion Model with Seasonality," Finance, University Library of Munich, Germany, number 0501011, Jan, revised 12 Sep 2005.
  2. Alvaro Cartea, 2005, "Dynamic Hedging of Financial Instruments When the Underlying Follows a Non-Gaussian Process," Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics, number 0508, May.

2004

  1. Alvaro Cartea & Sam Howison, 2004, "Option Pricing with Levy-Stable Processes," OFRC Working Papers Series, Oxford Financial Research Centre, number 2004mf01.

2002

  1. Alvaro Cartea & Sam Howison, 2002, "Distinguished Limits of Levy-Stable Processes, and Applications to Option Pricing," OFRC Working Papers Series, Oxford Financial Research Centre, number 2002mf04.

Journal articles

2025

  1. DECOVID Consortium & Louis J. M. Aslett & Andreea Avramescu & Nicholas Bakewell & Isabel Birds & Louise Bowler & Michael P. J. Camilleri & Sheng-Chia Chung & David A. Clifton & Samuel N. Cohen & Natha, 2025, "DECOVID: A UK Two-Center Harmonized Database of Acute Care Electronic Health Records for COVID-19 Research," Data, MDPI, volume 10, issue 12, pages 1-27, November.

2024

  1. Lyons, Terry J. & Margarint, Vlad & Nejad, Sina, 2024, "Convergence to closed-form distribution for the backward SLEκ at some random times and the phase transition at κ=8," Statistics & Probability Letters, Elsevier, volume 205, issue C, DOI: 10.1016/j.spl.2023.109958.

2023

  1. Ibraheem, Rasheed & Wu, Yue & Lyons, Terry & dos Reis, Gonçalo, 2023, "Early prediction of Lithium-ion cell degradation trajectories using signatures of voltage curves up to 4-minute sub-sampling rates," Applied Energy, Elsevier, volume 352, issue C, DOI: 10.1016/j.apenergy.2023.121974.

2022

  1. Yue Wu & Guy M Goodwin & Terry Lyons & Kate E A Saunders, 2022, "Identifying psychiatric diagnosis from missing mood data through the use of log-signature features," PLOS ONE, Public Library of Science, volume 17, issue 11, pages 1-18, November, DOI: 10.1371/journal.pone.0276821.

2020

  1. Terry Lyons & Sina Nejad & Imanol Perez Arribas, 2020, "Non-parametric Pricing and Hedging of Exotic Derivatives," Applied Mathematical Finance, Taylor & Francis Journals, volume 27, issue 6, pages 457-494, November, DOI: 10.1080/1350486X.2021.1891555.

2019

  1. P J Moore & T J Lyons & J Gallacher & for the Alzheimer’s Disease Neuroimaging Initiative, 2019, "Random forest prediction of Alzheimer’s disease using pairwise selection from time series data," PLOS ONE, Public Library of Science, volume 14, issue 2, pages 1-14, February, DOI: 10.1371/journal.pone.0211558.
  2. Terry Lyons & Sina Nejad & Imanol Perez Arribas, 2019, "Numerical Method for Model-free Pricing of Exotic Derivatives in Discrete Time Using Rough Path Signatures," Applied Mathematical Finance, Taylor & Francis Journals, volume 26, issue 6, pages 583-597, November, DOI: 10.1080/1350486X.2020.1726784.

2016

  1. Álvaro Cartea & Sebastian Jaimungal & Damir Kinzebulatov, 2016, "Algorithmic Trading With Learning," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., volume 19, issue 04, pages 1-30, June, DOI: 10.1142/S021902491650028X.
  2. Álvaro Cartea & Sebastian Jaimungal, 2016, "Algorithmic Trading Of Co-Integrated Assets," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., volume 19, issue 06, pages 1-18, September, DOI: 10.1142/S0219024916500382.
  3. Álvaro Cartea & Dimitrios Karyampas, 2016, "The Relationship between the Volatility of Returns and the Number of Jumps in Financial Markets," Econometric Reviews, Taylor & Francis Journals, volume 35, issue 6, pages 929-950, June, DOI: 10.1080/07474938.2014.976529.
  4. Flint, Guy & Hambly, Ben & Lyons, Terry, 2016, "Discretely sampled signals and the rough Hoff process," Stochastic Processes and their Applications, Elsevier, volume 126, issue 9, pages 2593-2614, DOI: 10.1016/j.spa.2016.02.011.

2015

  1. �lvaro Cartea & Sebastian Jaimungal, 2015, "Optimal execution with limit and market orders," Quantitative Finance, Taylor & Francis Journals, volume 15, issue 8, pages 1279-1291, August, DOI: 10.1080/14697688.2015.1032543.
  2. Álvaro Cartea & Sebastian Jaimungal, 2015, "Risk Metrics And Fine Tuning Of High-Frequency Trading Strategies," Mathematical Finance, Wiley Blackwell, volume 25, issue 3, pages 576-611, July.

2013

  1. Álvaro Cartea, 2013, "Derivatives pricing with marked point processes using tick-by-tick data," Quantitative Finance, Taylor & Francis Journals, volume 13, issue 1, pages 111-123, January, DOI: 10.1080/14697688.2012.661447.
  2. �lvaro Cartea & Sebastian Jaimungal, 2013, "Modelling Asset Prices for Algorithmic and High-Frequency Trading," Applied Mathematical Finance, Taylor & Francis Journals, volume 20, issue 6, pages 512-547, December, DOI: 10.1080/1350486X.2013.771515.

2012

  1. Cartea, Álvaro & González-Pedraz, Carlos, 2012, "How much should we pay for interconnecting electricity markets? A real options approach," Energy Economics, Elsevier, volume 34, issue 1, pages 14-30, DOI: 10.1016/j.eneco.2011.06.002.
  2. Álvaro Cartea & Dimitrios Karyampas, 2012, "Assessing the Performance of Different Volatility Estimators: A Monte Carlo Analysis," Applied Mathematical Finance, Taylor & Francis Journals, volume 19, issue 6, pages 535-552, December, DOI: 10.1080/1350486X.2011.646513.
  3. Cartea, Álvaro & Saúl, Jonatan & Toro, Juan, 2012, "Optimal portfolio choice in real terms: Measuring the benefits of TIPS," Journal of Empirical Finance, Elsevier, volume 19, issue 5, pages 721-740, DOI: 10.1016/j.jempfin.2012.08.002.
  4. Álvaro Cartea & José Penalva, 2012, "Where is the Value in High Frequency Trading?," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., volume 2, issue 03, pages 1-46, DOI: 10.1142/S2010139212500140.

2011

  1. Cartea, Álvaro & Karyampas, Dimitrios, 2011, "Volatility and covariation of financial assets: A high-frequency analysis," Journal of Banking & Finance, Elsevier, volume 35, issue 12, pages 3319-3334, DOI: 10.1016/j.jbankfin.2011.05.012.

2010

  1. Álvaro Cartea & Thilo Meyer-Brandis, 2010, "How Duration Between Trades of Underlying Securities Affects Option Prices," Review of Finance, European Finance Association, volume 14, issue 4, pages 749-785.

2009

  1. Alvaro Cartea & Marcelo Figueroa & Helyette Geman, 2009, "Modelling Electricity Prices with Forward Looking Capacity Constraints," Applied Mathematical Finance, Taylor & Francis Journals, volume 16, issue 2, pages 103-122, DOI: 10.1080/13504860802351164.
  2. Alvaro Cartea & Sam Howison, 2009, "Option pricing with Levy-Stable processes generated by Levy-Stable integrated variance," Quantitative Finance, Taylor & Francis Journals, volume 9, issue 4, pages 397-409, DOI: 10.1080/14697680902748506.
  3. Reik Börger & Álvaro Cartea & Rüdiger Kiesel & Gero Schindlmayr, 2009, "Cross‐commodity analysis and applications to risk management," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 29, issue 3, pages 197-217, March.

2008

  1. Cartea, Álvaro & Williams, Thomas, 2008, "UK gas markets: The market price of risk and applications to multiple interruptible supply contracts," Energy Economics, Elsevier, volume 30, issue 3, pages 829-846, May.
  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, volume 32, issue 10, pages 2006-2021, October.
  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, volume 32, issue 12, pages 2502-2519, December.

2007

  1. 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, volume 374, issue 2, pages 749-763, DOI: 10.1016/j.physa.2006.08.071.

2005

  1. Alvaro Cartea & Marcelo Figueroa, 2005, "Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality," Applied Mathematical Finance, Taylor & Francis Journals, volume 12, issue 4, pages 313-335, DOI: 10.1080/13504860500117503.

2002

  1. Crisan Dan & Lyons Terry, 2002, "Minimal Entropy Approximations and Optimal Algorithms," Monte Carlo Methods and Applications, De Gruyter, volume 8, issue 4, pages 343-356, December, DOI: 10.1515/mcma.2002.8.4.343.

1996

  1. Lyons, T. J. & Röckner, M. & Zhang, T. S., 1996, "Martingale decomposition of Dirichlet processes on the Banach space C0[0, 1]," Stochastic Processes and their Applications, Elsevier, volume 64, issue 1, pages 31-38, November.

1995

  1. T. J. Lyons, 1995, "Uncertain volatility and the risk-free synthesis of derivatives," Applied Mathematical Finance, Taylor & Francis Journals, volume 2, issue 2, pages 117-133, DOI: 10.1080/13504869500000007.

Chapters

2026

  1. Hans Bühler & Blanka Horvath & Terry Lyons & Imanol Perez Arribas & Ben Wood, 2026, "A Data-Driven Market Simulator for Small Data Environments," Springer Books, Springer, in: Dan Crisan & Ilya Chevyrev & Thomas Cass & James Foster & Christian Litterer & Cristopher Salvi, "Stochastic Analysis and Applications 2025", DOI: 10.1007/978-3-032-03914-9_10.
  2. James Morrill & Adeline Fermanian & Patrick Kidger & Terry Lyons, 2026, "A Canonical Signature-Based Feature Set for Multivariate Time Series Classification," Springer Books, Springer, in: Dan Crisan & Ilya Chevyrev & Thomas Cass & James Foster & Christian Litterer & Cristopher Salvi, "Stochastic Analysis and Applications 2025", DOI: 10.1007/978-3-032-03914-9_3.

2024

  1. Adeline Fermanian & Jiawei Chang & Terry Lyons & Gérard Biau, 2024, "The Insertion Method to Invert the Signature of a Path," Springer Books, Springer, in: Matteo Barigozzi & Siegfried Hörmann & Davy Paindaveine, "Recent Advances in Econometrics and Statistics", DOI: 10.1007/978-3-031-61853-6_29.

2022

  1. Weixin Yang & Terry Lyons & Hao Ni & Cordelia Schmid & Lianwen Jin, 2022, "Developing the Path Signature Methodology and Its Application to Landmark- Based Human Action Recognition," Springer Books, Springer, in: George Yin & Thaleia Zariphopoulou, "Stochastic Analysis, Filtering, and Stochastic Optimization", DOI: 10.1007/978-3-030-98519-6_18.

2016

  1. Álvaro Cartea & Ryan Donnelly & Sebastian Jaimungal, 2016, "Volume Imbalance and Market Making," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 3, in: Masaaki Kijima & Yukio Muromachi & Takashi Shibata, "RECENT ADVANCES IN FINANCIAL ENGINEERING 2014 Proceedings of the TMU Finance Workshop 2014".

2011

  1. Lajos Gergely Gyurkó & Terry J. Lyons, 2011, "Efficient and Practical Implementations of Cubature on Wiener Space," Springer Books, Springer, in: Dan Crisan, "Stochastic Analysis 2010", DOI: 10.1007/978-3-642-15358-7_5.

2007

  1. Keisuke Hara & Terry Lyons, 2007, "Smooth Rough Paths and the Applications," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 7, in: Jiro Akahori & Shigeyoshi Ogawa & Shinzo Watanabe, "Stochastic Processes And Applications To Mathematical Finance".
  2. Christian Litterer & Terry Lyons, 2007, "Cubature on Wiener Space Continued," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 12, in: Jiro Akahori & Shigeyoshi Ogawa & Shinzo Watanabe, "Stochastic Processes And Applications To Mathematical Finance".

1996

  1. T. J. Lyons & Z. M. Qian, 1996, "Calculus for multiplicative functionals, Itô’s formula and differential equations," Springer Books, Springer, in: Nobuyuki Ikeda & Shinzo Watanabe & Masatoshi Fukushima & Hiroshi Kunita, "Itô’s Stochastic Calculus and Probability Theory", DOI: 10.1007/978-4-431-68532-6_15.

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