# Miquel Montero

## Personal Details

First Name: | Miquel |

Middle Name: | |

Last Name: | Montero |

Suffix: | |

RePEc Short-ID: | pmo125 |

http://www.ffn.ub.es/miquel | |

## Affiliation

### Departament de Física Fonamental, Universitat de Barcelona

http://www.ffn.ub.esBarcelona

## Research output

Jump to: Working papers Articles### Working papers

- Matteo Richiardi & J. Doyne Farmer & John Geanakoplos & Jaume Masoliver & Miquel Montero & Josep Perellò, 2017.
"
**Discounting the distant future: What do historical bond prices imply about the long term discount rate?**," LABORatorio R. Revelli Working Papers Series 156, LABORatorio R. Revelli, Centre for Employment Studies. - J. Doyne Farmer & John Geanakoplos & Jaume Masoliver & Miquel Montero & Josep Perello, 2014.
"
**Discounting the Distant Future**," Cowles Foundation Discussion Papers 1951, Cowles Foundation for Research in Economics, Yale University. - Jaume Masoliver & Miquel Montero & Josep Perello & John Geanakoplos, 2013.
"
**Uncertain Growth and the Value of the Future**," Cowles Foundation Discussion Papers 1930, Cowles Foundation for Research in Economics, Yale University.- Jaume Masoliver & Miquel Montero & Josep Perell'o & John Geanakoplos & J. Doyne Farmer, 2013.
"
**Uncertain growth and the value of the future**," Papers 1311.4068, arXiv.org.

- Jaume Masoliver & Miquel Montero & Josep Perell'o & John Geanakoplos & J. Doyne Farmer, 2013.
"
- Miquel Montero, 2011.
"
**Parrondo-like behavior in continuous-time random walks with memory**," Papers 1107.2346, arXiv.org, revised Nov 2011. - Miquel Montero & Javier Villarroel, 2010.
"
**Exit times in non-Markovian drifting continuous-time random walk processes**," Papers 1002.0571, arXiv.org, revised Jun 2010. - Miquel Montero, 2008.
"
**Predator-Prey Model for Stock Market Fluctuations**," Papers 0810.4844, arXiv.org, revised Jul 2009. - Javier Villarroel & Miquel Montero, 2008.
"
**On properties of Continuous-Time Random Walks with Non-Poissonian jump-times**," Papers 0812.2148, arXiv.org. - Miquel Montero, 2008.
"
**Perpetual American vanilla option pricing under single regime change risk. An exhaustive study**," Papers 0812.0556, arXiv.org, revised Feb 2009. - Miquel Montero, 2007.
"
**Renewal equations for option pricing**," Papers 0711.2624, arXiv.org, revised Jun 2008.- M. Montero, 2008.
"
**Renewal equations for option pricing**," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 65(2), pages 295-306, September.

- M. Montero, 2008.
"
- Miquel Montero, 2007.
"
**Perpetual American options within CTRW's**," Papers 0708.0544, arXiv.org, revised Nov 2007.- Montero, Miquel, 2008.
"
**Perpetual American options within CTRWs**," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(15), pages 3936-3941.

- Montero, Miquel, 2008.
"
- 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. - Miquel Montero, 2006.
"
**Volatility and dividend risk in perpetual American options**," Papers physics/0610047, arXiv.org, revised Mar 2007. - Miquel Montero & Jaume Masoliver, 2006.
"
**Mean Exit Time and Survival Probability within the CTRW Formalism**," Papers physics/0607268, arXiv.org, revised Oct 2006.- 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;EDP Sciences, vol. 57(2), pages 181-185, May.

- M. Montero & J. Masoliver, 2007.
"
- 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. - Jaume Masoliver & Miquel Montero & Josep Perello, 2004.
"
**Extreme times in financial markets**," Papers cond-mat/0406556, arXiv.org. - Miquel Montero, 2003.
"
**Partial Derivative Approach for Option Pricing in a Simple Stochastic Volatility Model**," Papers cond-mat/0307759, arXiv.org.- 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;EDP Sciences, vol. 42(1), pages 141-153, November.

- M. Montero, 2004.
"
- 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.- Masoliver, Jaume & Montero, Miquel & Perelló, Josep & Weiss, George H., 2007.
"
**The CTRW in finance: Direct and inverse problems with some generalizations and extensions**," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 379(1), pages 151-167.

- Masoliver, Jaume & Montero, Miquel & Perelló, Josep & Weiss, George H., 2007.
"
- 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. - Arturo Kohatsu & Montero Miquel, 2003.
"
**Malliavin calculus in finance**," Economics Working Papers 672, Department of Economics and Business, Universitat Pompeu Fabra. - Jaume Masoliver & Miquel Montero & George H. Weiss, 2002.
"
**A continuous time random walk model for financial distributions**," Papers cond-mat/0210513, arXiv.org. - Arturo Kohatsu-Higa & Miquel Montero, 2001.
"
**An application of Malliavin Calculus to Finance**," Papers cond-mat/0111563, arXiv.org. - Jaume Masoliver & Miquel Montero & Josep Perello, 2001.
"
**Return or stock price differences**," Papers cond-mat/0111529, arXiv.org.- Montero, Miquel & Perelló, Josep & Masoliver, Jaume, 2002.
"
**Return or stock price differences**," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 316(1), pages 539-560.

- Montero, Miquel & Perelló, Josep & Masoliver, Jaume, 2002.
"
- 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.- Perelló, J & Porrà, J.M & Montero, M & Masoliver, J, 2000.
"
**Black–Scholes option pricing within Itô and Stratonovich conventions**," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 278(1), pages 260-274.

- Perelló, J & Porrà, J.M & Montero, M & Masoliver, J, 2000.
"
- Jaume Masoliver & Miquel Montero & Josep M. Porra, 2000.
"
**A dynamical model describing stock market price distributions**," Papers cond-mat/0003357, arXiv.org.- Masoliver, Jaume & Montero, Miquel & Porrà, Josep M, 2000.
"
**A dynamical model describing stock market price distributions**," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 283(3), pages 559-567.

- Masoliver, Jaume & Montero, Miquel & Porrà, Josep M, 2000.
"
- Jaume Masoliver & Miquel Montero & Josep Perello, "undated".
"
**The continuous time random walk formalism in financial markets**," Modeling, Computing, and Mastering Complexity 2003 24, Society for Computational Economics.- 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.

- J. Masoliver & M. Montero & J. Perello & G. H. Weiss, 2006.
"
**The continuous time random walk formalism in financial markets**," Papers physics/0611138, arXiv.org.

- Masoliver, Jaume & Montero, Miquel & Perello, Josep & Weiss, George H., 2006.
"

### Articles

- Miquel Montero & Jaume Masoliver, 2017.
"
**Continuous Time Random Walks with memory and financial distributions**," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 90(11), pages 1-11, November. - Miquel Montero & Axel Masó-Puigdellosas & Javier Villarroel, 2017.
"
**Continuous-time random walks with reset events**," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 90(9), pages 1-10, September. - M. Montero, 2008.
"
**Renewal equations for option pricing**," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 65(2), pages 295-306, September.- Miquel Montero, 2007.
"
**Renewal equations for option pricing**," Papers 0711.2624, arXiv.org, revised Jun 2008.

- Miquel Montero, 2007.
"
- Montero, Miquel, 2008.
"
**Perpetual American options within CTRWs**," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(15), pages 3936-3941.- Miquel Montero, 2007.
"
**Perpetual American options within CTRW's**," Papers 0708.0544, arXiv.org, revised Nov 2007.

- Miquel Montero, 2007.
"
- Masoliver, Jaume & Montero, Miquel & Perelló, Josep & Weiss, George H., 2007.
"
**The CTRW in finance: Direct and inverse problems with some generalizations and extensions**," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 379(1), pages 151-167.- 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.

- Jaume Masoliver & Miquel Montero & Josep Perello & George H. Weiss, 2003.
"
- 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;EDP Sciences, vol. 57(2), pages 181-185, May.- Miquel Montero & Jaume Masoliver, 2006.
"
**Mean Exit Time and Survival Probability within the CTRW Formalism**," Papers physics/0607268, arXiv.org, revised Oct 2006.

- Miquel Montero & Jaume Masoliver, 2006.
"
- 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.- Jaume Masoliver & Miquel Montero & Josep Perello, "undated".
"
**The continuous time random walk formalism in financial markets**," Modeling, Computing, and Mastering Complexity 2003 24, Society for Computational Economics. - J. Masoliver & M. Montero & J. Perello & G. H. Weiss, 2006.
"
**The continuous time random walk formalism in financial markets**," Papers physics/0611138, arXiv.org.

- Jaume Masoliver & Miquel Montero & Josep Perello, "undated".
"
- Palatella, Luigi & Perelló, Josep & Montero, Miquel & Masoliver, Jaume, 2005.
"
**Diffusion Entropy technique applied to the study of the market activity**," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 355(1), pages 131-137. - 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;EDP Sciences, vol. 42(1), pages 141-153, November.- Miquel Montero, 2003.
"
**Partial Derivative Approach for Option Pricing in a Simple Stochastic Volatility Model**," Papers cond-mat/0307759, arXiv.org.

- Miquel Montero, 2003.
"
- 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. - Montero, Miquel & Kohatsu-Higa, Arturo, 2003.
"
**Malliavin Calculus applied to finance**," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 320(C), pages 548-570. - Montero, Miquel & Perelló, Josep & Masoliver, Jaume, 2002.
"
**Return or stock price differences**," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 316(1), pages 539-560.- Jaume Masoliver & Miquel Montero & Josep Perello, 2001.
"
**Return or stock price differences**," Papers cond-mat/0111529, arXiv.org.

- Jaume Masoliver & Miquel Montero & Josep Perello, 2001.
"
- Masoliver, Jaume & Montero, Miquel & Porrà, Josep M, 2000.
"
**A dynamical model describing stock market price distributions**," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 283(3), pages 559-567.- Jaume Masoliver & Miquel Montero & Josep M. Porra, 2000.
"
**A dynamical model describing stock market price distributions**," Papers cond-mat/0003357, arXiv.org.

- Jaume Masoliver & Miquel Montero & Josep M. Porra, 2000.
"
- Perelló, J & Porrà, J.M & Montero, M & Masoliver, J, 2000.
"
**Black–Scholes option pricing within Itô and Stratonovich conventions**," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 278(1), pages 260-274.- 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.

- J. Perello & J. M. Porra & M. Montero & J. Masoliver, 2000.
"

## Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.### Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:- J. Doyne Farmer & John Geanakoplos & Jaume Masoliver & Miquel Montero & Josep Perello, 2014.
"
**Discounting the Distant Future**," Cowles Foundation Discussion Papers 1951, Cowles Foundation for Research in Economics, Yale University.Mentioned in:

- How much is our distant future worth?

by Steve Cecchetti and Kim Schoenholtz in Money, Banking and Financial Markets on 2014-08-11 17:10:42

- How much is our distant future worth?

### Working papers

- J. Doyne Farmer & John Geanakoplos & Jaume Masoliver & Miquel Montero & Josep Perello, 2014.
"
**Discounting the Distant Future**," Cowles Foundation Discussion Papers 1951, Cowles Foundation for Research in Economics, Yale University.Cited by:

- Katz, Yuri A., 2017.
"
**Value of the distant future: Model-independent results**," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 466(C), pages 269-276. - Gollier, Christian, 2016.
"
**Gamma discounters are short-termist**," Journal of Public Economics, Elsevier, vol. 142(C), pages 83-90.- Gollier, Christian, 2014.
"
**Gamma discounters are short-termist**," IDEI Working Papers 828, Institut d'Économie Industrielle (IDEI), Toulouse, revised Oct 2014. - Gollier, Christian, 2014.
"
**Gamma discounters are short-termist**," TSE Working Papers 14-499, Toulouse School of Economics (TSE), revised Oct 2014.

- Gollier, Christian, 2014.
"

- Katz, Yuri A., 2017.
"
- Jaume Masoliver & Miquel Montero & Josep Perello & John Geanakoplos, 2013.
"
**Uncertain Growth and the Value of the Future**," Cowles Foundation Discussion Papers 1930, Cowles Foundation for Research in Economics, Yale University.- Jaume Masoliver & Miquel Montero & Josep Perell'o & John Geanakoplos & J. Doyne Farmer, 2013.
"
**Uncertain growth and the value of the future**," Papers 1311.4068, arXiv.org.

Cited by:

- Rob Aalbers & Marjon Ruijter & Kees Oosterlee, 2014.
"
**The social discount rate under a stochastic A2 scenario**," CPB Discussion Paper 296, CPB Netherlands Bureau for Economic Policy Analysis.

- Jaume Masoliver & Miquel Montero & Josep Perell'o & John Geanakoplos & J. Doyne Farmer, 2013.
"
- Miquel Montero, 2011.
"
**Parrondo-like behavior in continuous-time random walks with memory**," Papers 1107.2346, arXiv.org, revised Nov 2011.Cited by:

- Jaros{l}aw Klamut & Tomasz Gubiec, 2018.
"
**Directed Continuous-Time Random Walk with memory**," Papers 1807.01934, arXiv.org.

- Jaros{l}aw Klamut & Tomasz Gubiec, 2018.
"
- Miquel Montero, 2007.
"
**Renewal equations for option pricing**," Papers 0711.2624, arXiv.org, revised Jun 2008.- M. Montero, 2008.
"
**Renewal equations for option pricing**," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 65(2), pages 295-306, September.

Cited by:

- Nikita Ratanov, 2008.
"
**Option Pricing Model Based on a Markov-modulated Diffusion with Jumps**," Papers 0812.0761, arXiv.org. - Miquel Montero, 2007.
"
**Renewal equations for option pricing**," Papers 0711.2624, arXiv.org, revised Jun 2008.- M. Montero, 2008.
"
**Renewal equations for option pricing**," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 65(2), pages 295-306, September.

- M. Montero, 2008.
"
- Enrico Scalas & Mauro Politi, 2012.
"
**A parsimonious model for intraday European option pricing**," Papers 1202.4332, arXiv.org.- Scalas, Enrico & Politi, Mauro, 2012.
"
**A parsimonious model for intraday European option pricing**," Economics Discussion Papers 2012-14, Kiel Institute for the World Economy (IfW).

- Scalas, Enrico & Politi, Mauro, 2012.
"
- Álvaro Cartea, 2013.
"
**Derivatives pricing with marked point processes using tick-by-tick data**," Quantitative Finance, Taylor & Francis Journals, vol. 13(1), pages 111-123, January.- Cartea, Álvaro, 2010.
"
**Derivatives pricing with marked point processes using Tick-by-tick data**," DEE - Working Papers. Business Economics. WB wb101604, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.

- Cartea, Álvaro, 2010.
"

- M. Montero, 2008.
"
- 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.Cited by:

- Erzgräber, Hartmut & Strozzi, Fernanda & Zaldívar, José-Manuel & Touchette, Hugo & Gutiérrez, Eugénio & Arrowsmith, David K., 2008.
"
**Time series analysis and long range correlations of Nordic spot electricity market data**," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(26), pages 6567-6574. - Weron, Rafal, 2008.
"
**Market price of risk implied by Asian-style electricity options and futures**," Energy Economics, Elsevier, vol. 30(3), pages 1098-1115, May. - Bigdeli, N. & Afshar, K., 2009.
"
**Characterization of Iran electricity market indices with pay-as-bid payment mechanism**," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(8), pages 1577-1592. - G. Papaioannou & P. Papaioannou & N. Parliaris, 2014.
"
**Modeling the stylized facts of wholesale system marginal price (SMP) and the impacts of regulatory reforms on the Greek Electricity Market**," Papers 1401.5452, arXiv.org. - Alvarez-Ramirez, J. & Escarela-Perez, R. & Espinosa-Perez, G. & Urrea, R., 2009.
"
**Dynamics of electricity market correlations**," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(11), pages 2173-2188.

- Erzgräber, Hartmut & Strozzi, Fernanda & Zaldívar, José-Manuel & Touchette, Hugo & Gutiérrez, Eugénio & Arrowsmith, David K., 2008.
"
- Miquel Montero & Jaume Masoliver, 2006.
"
**Mean Exit Time and Survival Probability within the CTRW Formalism**," Papers physics/0607268, arXiv.org, revised Oct 2006.- 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;EDP Sciences, vol. 57(2), pages 181-185, May.

Cited by:

- Takero Ibuki & Jun-ichi Inoue, 2011.
"
**Response of double-auction markets to instantaneous Selling–Buying signals with stochastic Bid–Ask spread**," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 6(2), pages 93-120, November.

- M. Montero & J. Masoliver, 2007.
"
- 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.Cited by:

- Zoltan Eisler & Janos Kertesz & Fabrizio Lillo & Rosario Mantegna, 2009.
"
**Diffusive behavior and the modeling of characteristic times in limit order executions**," Quantitative Finance, Taylor & Francis Journals, vol. 9(5), pages 547-563.- Zoltan Eisler & Janos Kertesz & Fabrizio Lillo & Rosario N. Mantegna, 2007.
"
**Diffusive behavior and the modeling of characteristic times in limit order executions**," Papers physics/0701335, arXiv.org, revised Dec 2008.

- Zoltan Eisler & Janos Kertesz & Fabrizio Lillo & Rosario N. Mantegna, 2007.
"
- Bernardo Spagnolo & Davide Valenti, 2008.
"
**Volatility Effects on the Escape Time in Financial Market Models**," Papers 0810.1625, arXiv.org.

- Zoltan Eisler & Janos Kertesz & Fabrizio Lillo & Rosario Mantegna, 2009.
"
- 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.- Masoliver, Jaume & Montero, Miquel & Perelló, Josep & Weiss, George H., 2007.
"
**The CTRW in finance: Direct and inverse problems with some generalizations and extensions**," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 379(1), pages 151-167.

Cited by:

- Vallois, Pierre & Tapiero, Charles S., 2007.
"
**Memory-based persistence in a counting random walk process**," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 386(1), pages 303-317. - Jaros{l}aw Klamut & Tomasz Gubiec, 2018.
"
**Directed Continuous-Time Random Walk with memory**," Papers 1807.01934, arXiv.org. - Schumer, Rina & Baeumer, Boris & Meerschaert, Mark M., 2011.
"
**Extremal behavior of a coupled continuous time random walk**," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(3), pages 505-511.

- Masoliver, Jaume & Montero, Miquel & Perelló, Josep & Weiss, George H., 2007.
"
- Arturo Kohatsu & Montero Miquel, 2003.
"
**Malliavin calculus in finance**," Economics Working Papers 672, Department of Economics and Business, Universitat Pompeu Fabra.Cited by:

- Chen, Nan & Glasserman, Paul, 2007.
"
**Malliavin Greeks without Malliavin calculus**," Stochastic Processes and their Applications, Elsevier, vol. 117(11), pages 1689-1723, November. - Leão, Dorival & Ohashi, Alberto, 2012.
"
**Weak Approximations for Wiener Functionals**," Insper Working Papers wpe_276, Insper Working Paper, Insper Instituto de Ensino e Pesquisa. - Leão, Dorival & Ohashi, Alberto, 2010.
"
**Weak Approximations for Wiener Functionals**," Insper Working Papers wpe_215, Insper Working Paper, Insper Instituto de Ensino e Pesquisa. - Nicola Cufaro Petroni & Piergiacomo Sabino, 2011.
"
**Multidimensional Quasi-Monte Carlo Malliavin Greeks**," Papers 1103.5722, arXiv.org. - Tahmasebi, M., 2014.
"
**Smooth density for the solution of scalar SDEs with locally Lipschitz coefficients under Hörmander condition**," Statistics & Probability Letters, Elsevier, vol. 85(C), pages 51-62. - Nicola Cufaro Petroni & Piergiacomo Sabino, 2013.
"
**Multidimensional quasi-Monte Carlo Malliavin Greeks**," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 36(2), pages 199-224, November. - Boyle, Phelim & Potapchik, Alexander, 2008.
"
**Prices and sensitivities of Asian options: A survey**," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 189-211, February.

- Chen, Nan & Glasserman, Paul, 2007.
"
- Jaume Masoliver & Miquel Montero & George H. Weiss, 2002.
"
**A continuous time random walk model for financial distributions**," Papers cond-mat/0210513, arXiv.org.Cited by:

- Enrico Scalas & Rudolf Gorenflo & Francesco Mainardi & Maurizio Mantelli & Marco Raberto, 2003.
"
**Anomalous waiting times in high-frequency financial data**," Papers cond-mat/0310305, arXiv.org.- Enrico Scalas & Rudolf Gorenflo & Hugh Luckock & Francesco Mainardi & Maurizio Mantelli & Marco Raberto, 2005.
"
**Anomalous waiting times in high-frequency financial data**," Papers physics/0505210, arXiv.org. - Enrico Scalas & Rudolf Gorenflo & Hugh Luckock & Francesco Mainardi & Maurizio Mantelli & Marco Raberto, 2004.
"
**Anomalous waiting times in high-frequency financial data**," Quantitative Finance, Taylor & Francis Journals, vol. 4(6), pages 695-702.

- Enrico Scalas & Rudolf Gorenflo & Hugh Luckock & Francesco Mainardi & Maurizio Mantelli & Marco Raberto, 2005.
"
- Enrico Scalas, 2005.
"
**Five Years of Continuous-time Random Walks in Econophysics**," Finance 0501005, University Library of Munich, Germany.- Enrico Scalas, 2005.
"
**Five Years of Continuous-time Random Walks in Econophysics**," Papers cond-mat/0501261, arXiv.org.

- Enrico Scalas, 2005.
"
- Vallois, Pierre & Tapiero, Charles S., 2007.
"
**Memory-based persistence in a counting random walk process**," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 386(1), pages 303-317. - Scalas, Enrico & Viles, Noèlia, 2014.
"
**A functional limit theorem for stochastic integrals driven by a time-changed symmetric α-stable Lévy process**," Stochastic Processes and their Applications, Elsevier, vol. 124(1), pages 385-410. - Jaume Masoliver & Miquel Montero & Josep Perello, "undated".
"
**The continuous time random walk formalism in financial markets**," Modeling, Computing, and Mastering Complexity 2003 24, Society for Computational Economics.- J. Masoliver & M. Montero & J. Perello & G. H. Weiss, 2006.
"
**The continuous time random walk formalism in financial markets**," Papers physics/0611138, arXiv.org. - 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.

- J. Masoliver & M. Montero & J. Perello & G. H. Weiss, 2006.
"
- Jaros{l}aw Klamut & Tomasz Gubiec, 2018.
"
**Directed Continuous-Time Random Walk with memory**," Papers 1807.01934, arXiv.org. - Sazuka, Naoya & Inoue, Jun-ichi & Scalas, Enrico, 2009.
"
**The distribution of first-passage times and durations in FOREX and future markets**," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(14), pages 2839-2853.- Naoya Sazuka & Jun-ichi Inoue & Enrico Scalas, 2008.
"
**The distribution of first-passage times and durations in FOREX and future markets**," Papers 0808.0372, arXiv.org.

- Naoya Sazuka & Jun-ichi Inoue & Enrico Scalas, 2008.
"
- James Primbs & Muruhan Rathinam, 2009.
"
**Trader Behavior and its Effect on Asset Price Dynamics**," Applied Mathematical Finance, Taylor & Francis Journals, vol. 16(2), pages 151-181. - Schumer, Rina & Baeumer, Boris & Meerschaert, Mark M., 2011.
"
**Extremal behavior of a coupled continuous time random walk**," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(3), pages 505-511. - Javier Villarroel & Miquel Montero, 2008.
"
**On properties of Continuous-Time Random Walks with Non-Poissonian jump-times**," Papers 0812.2148, arXiv.org. - Scalas, Enrico, 2006.
"
**The application of continuous-time random walks in finance and economics**," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 362(2), pages 225-239. - Guo, Gang & Chen, Bin & Zhao, Xinjun & Zhao, Fang & Wang, Quanmin, 2015.
"
**First passage time distribution of a modified fractional diffusion equation in the semi-infinite interval**," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 433(C), pages 279-290. - Gubiec, T. & Wiliński, M., 2015.
"
**Intra-day variability of the stock market activity versus stationarity of the financial time series**," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 432(C), pages 216-221.

- Enrico Scalas & Rudolf Gorenflo & Francesco Mainardi & Maurizio Mantelli & Marco Raberto, 2003.
"
- Jaume Masoliver & Miquel Montero & Josep M. Porra, 2000.
"
**A dynamical model describing stock market price distributions**," Papers cond-mat/0003357, arXiv.org.- Masoliver, Jaume & Montero, Miquel & Porrà, Josep M, 2000.
"
**A dynamical model describing stock market price distributions**," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 283(3), pages 559-567.

Cited by:

- Zhuang, Xin-tian & Huang, Xiao-yuan & Sha, Yan-li, 2004.
"
**Research on the fractal structure in the Chinese stock market**," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 333(C), pages 293-305. - Collan, Mikael, 2004.
"
**Giga-Investments: Modelling the Valuation of Very Large Industrial Real Investments**," MPRA Paper 4328, University Library of Munich, Germany.

- Masoliver, Jaume & Montero, Miquel & Porrà, Josep M, 2000.
"
- Jaume Masoliver & Miquel Montero & Josep Perello, "undated".
"
**The continuous time random walk formalism in financial markets**," Modeling, Computing, and Mastering Complexity 2003 24, Society for Computational Economics.- 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.

- J. Masoliver & M. Montero & J. Perello & G. H. Weiss, 2006.
"
**The continuous time random walk formalism in financial markets**," Papers physics/0611138, arXiv.org.

Cited by:

- Ruan, Yong-Ping & Zhou, Wei-Xing, 2011.
"
**Long-term correlations and multifractal nature in the intertrade durations of a liquid Chinese stock and its warrant**," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(9), pages 1646-1654. - Jaros{l}aw Klamut & Tomasz Gubiec, 2018.
"
**Directed Continuous-Time Random Walk with memory**," Papers 1807.01934, arXiv.org. - Jiang, Zhi-Qiang & Chen, Wei & Zhou, Wei-Xing, 2009.
"
**Detrended fluctuation analysis of intertrade durations**," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(4), pages 433-440. - Sazuka, Naoya & Inoue, Jun-ichi & Scalas, Enrico, 2009.
"
**The distribution of first-passage times and durations in FOREX and future markets**," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(14), pages 2839-2853.- Naoya Sazuka & Jun-ichi Inoue & Enrico Scalas, 2008.
"
**The distribution of first-passage times and durations in FOREX and future markets**," Papers 0808.0372, arXiv.org.

- Naoya Sazuka & Jun-ichi Inoue & Enrico Scalas, 2008.
"
- Schumer, Rina & Baeumer, Boris & Meerschaert, Mark M., 2011.
"
**Extremal behavior of a coupled continuous time random walk**," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(3), pages 505-511. - Ni, Xiao-Hui & Jiang, Zhi-Qiang & Gu, Gao-Feng & Ren, Fei & Chen, Wei & Zhou, Wei-Xing, 2010.
"
**Scaling and memory in the non-Poisson process of limit order cancelation**," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(14), pages 2751-2761. - Jiang, Zhi-Qiang & Chen, Wei & Zhou, Wei-Xing, 2008.
"
**Scaling in the distribution of intertrade durations of Chinese stocks**," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(23), pages 5818-5825.

- Masoliver, Jaume & Montero, Miquel & Perello, Josep & Weiss, George H., 2006.
"

### Articles

- M. Montero, 2008.
"
**Renewal equations for option pricing**," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 65(2), pages 295-306, September.See citations under working paper version above.- Miquel Montero, 2007.
"
**Renewal equations for option pricing**," Papers 0711.2624, arXiv.org, revised Jun 2008.

- Miquel Montero, 2007.
"
- Masoliver, Jaume & Montero, Miquel & Perelló, Josep & Weiss, George H., 2007.
"
**The CTRW in finance: Direct and inverse problems with some generalizations and extensions**," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 379(1), pages 151-167.See citations under working paper version above.- 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.

- Jaume Masoliver & Miquel Montero & Josep Perello & George H. Weiss, 2003.
"
- 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;EDP Sciences, vol. 57(2), pages 181-185, May.See citations under working paper version above.- Miquel Montero & Jaume Masoliver, 2006.
"
**Mean Exit Time and Survival Probability within the CTRW Formalism**," Papers physics/0607268, arXiv.org, revised Oct 2006.

- Miquel Montero & Jaume Masoliver, 2006.
"
- 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.See citations under working paper version above.- Jaume Masoliver & Miquel Montero & Josep Perello, "undated".
"
**The continuous time random walk formalism in financial markets**," Modeling, Computing, and Mastering Complexity 2003 24, Society for Computational Economics. - J. Masoliver & M. Montero & J. Perello & G. H. Weiss, 2006.
"
**The continuous time random walk formalism in financial markets**," Papers physics/0611138, arXiv.org.

- Jaume Masoliver & Miquel Montero & Josep Perello, "undated".
"
- Palatella, Luigi & Perelló, Josep & Montero, Miquel & Masoliver, Jaume, 2005.
"
**Diffusion Entropy technique applied to the study of the market activity**," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 355(1), pages 131-137.Cited by:

- Palatella, Luigi, 2010.
"
**A reflexive toy-model for financial market**," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(2), pages 315-322.

- Palatella, Luigi, 2010.
"
- 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.Cited by:

- Chen, Nan & Glasserman, Paul, 2007.
"
**Malliavin Greeks without Malliavin calculus**," Stochastic Processes and their Applications, Elsevier, vol. 117(11), pages 1689-1723, November.

- Chen, Nan & Glasserman, Paul, 2007.
"
- Montero, Miquel & Kohatsu-Higa, Arturo, 2003.
"
**Malliavin Calculus applied to finance**," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 320(C), pages 548-570.Cited by:

- Muroi, Yoshifumi & Suda, Shintaro, 2013.
"
**Discrete Malliavin calculus and computations of greeks in the binomial tree**," European Journal of Operational Research, Elsevier, vol. 231(2), pages 349-361. - Suda, Shintaro & Muroi, Yoshifumi, 2015.
"
**Computation of Greeks using binomial trees in a jump-diffusion model**," Journal of Economic Dynamics and Control, Elsevier, vol. 51(C), pages 93-110. - Muroi, Yoshifumi & Suda, Shintaro, 2017.
"
**Computation of Greeks in jump-diffusion models using discrete Malliavin calculus**," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 140(C), pages 69-93. - Nicola Cufaro Petroni & Piergiacomo Sabino, 2013.
"
**Multidimensional quasi-Monte Carlo Malliavin Greeks**," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 36(2), pages 199-224, November. - Boyle, Phelim & Potapchik, Alexander, 2008.
"
**Prices and sensitivities of Asian options: A survey**," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 189-211, February.

- Muroi, Yoshifumi & Suda, Shintaro, 2013.
"
- Masoliver, Jaume & Montero, Miquel & Porrà, Josep M, 2000.
"
**A dynamical model describing stock market price distributions**," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 283(3), pages 559-567.See citations under working paper version above.- Jaume Masoliver & Miquel Montero & Josep M. Porra, 2000.
"
**A dynamical model describing stock market price distributions**," Papers cond-mat/0003357, arXiv.org.

- Jaume Masoliver & Miquel Montero & Josep M. Porra, 2000.
"

## More information

Research fields, statistics, top rankings, if available.### Statistics

#### Access and download statistics for all items

### Co-authorship network on CollEc

### NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 7 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.- NEP-ETS: Econometric Time Series (2) 2004-01-25 2011-10-09
- NEP-FIN: Finance (2) 2004-01-25 2004-05-26
- NEP-ECM: Econometrics (1) 2010-02-13
- NEP-HIS: Business, Economic & Financial History (1) 2014-07-21
- NEP-RMG: Risk Management (1) 2004-01-25

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