# Miquel Montero

### Contents:

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## Personal Details

First Name: | Miquel |

Middle Name: | |

Last Name: | Montero |

Suffix: | |

RePEc Short-ID: | pmo125 |

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

- 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.
"
**Perpetual American vanilla option pricing under single regime change risk. An exhaustive study**," Papers 0812.0556, arXiv.org, revised Feb 2009. - 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, 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;EDP Sciences, 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;EDP Sciences, vol. 57(2), pages 181-185, 05.

- M. Montero & J. Masoliver, 2007.
"
- Miquel Montero, 2006.
"
**Volatility and dividend risk in perpetual American options**," Papers physics/0610047, arXiv.org, revised Mar 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 & 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;EDP Sciences, vol. 42(1), pages 141-153, November.

- M. Montero, 2004.
"
- 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 & 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.
"
- 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.
"
- 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.
"
- 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 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;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.
"
- 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, 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.- 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.
"
**The continuous time random walk formalism in financial markets**," Papers physics/0611138, arXiv.org.

- Jaume Masoliver & Miquel Montero & Josep Perello, .
"
- 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.
"

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. Author is listed - NEP-FIN:
**Finance**(2) 2004-01-25 2004-05-26. Author is listed - 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

#### 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)

- Arturo Kohatsu & Montero Miquel, 2003.
"
**Malliavin calculus in finance**," Economics Working Papers 672, Department of Economics and Business, Universitat Pompeu Fabra.

#### Access and download statistics for all items

#### Co-authorship network on CollEc

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