# Miquel Montero

### Contents:

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: | |

Phone: |

- 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. - 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.
"
**Predator-Prey Model for Stock Market Fluctuations**," Papers 0810.4844, arXiv.org, revised Jul 2009. - 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.
"
**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.
"
- 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, vol. 65(2), pages 295-306, September.

- M. Montero, 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, vol. 57(2), pages 181-185, 05.

- M. Montero & J. Masoliver, 2007.
"
- 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 & 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. - 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. - 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, 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.
"
- 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. - 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.
"
- Arturo Kohatsu-Higa & Miquel Montero, 2001.
"
**An application of Malliavin Calculus to Finance**," Papers cond-mat/0111563, arXiv.org. - 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, .
"
**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.
"

- 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.- 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.
"
- 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.- 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 & 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.
"
- 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. - 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.

- J. Masoliver & M. Montero & J. Perello & G. H. Weiss, 2006.
"
- 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, 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.
"
- 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. - 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 & 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.
"

7 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):

- NEP-ECM: Econometrics (1) 2010-02-13
- NEP-ETS: Econometric Time Series (2) 2004-01-25 2011-10-09. Author is listed
- NEP-FIN: Finance (2) 2004-01-25 2004-05-26. Author is listed
- NEP-HIS: Business, Economic & Financial History (1) 2014-07-21
- NEP-RMG: Risk Management (1) 2004-01-25

#### Most cited item

- Jaume Masoliver & Miquel Montero & George H. Weiss, 2002.
"
**A continuous time random walk model for financial distributions**," Papers cond-mat/0210513, arXiv.org.

#### Most downloaded item (past 12 months)

- 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.

#### Access and download statistics for all items

#### Co-authorship network on CollEc

For general information on how to correct material on RePEc, see these instructions.

To update listings or check citations waiting for approval, Miquel Montero should log into the RePEc Author Service

To make corrections to the bibliographic information of a particular item, find the technical contact on the abstract page of that item. There, details are also given on how to add or correct references and citations.

To link different versions of the same work, where versions have a different title, use this form. Note that if the versions have a very similar title and are in the author's profile, the links will usually be created automatically.

Please note that most corrections can take a couple of weeks to filter through the various RePEc services.