BIROn - Birkbeck Institutional Research Online
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    Number of items: 20.

    January 2005

    Cartea, Alvaro and Figueroa, M.G. (2005) Pricing in electricity markets: a mean reverting jump diffusion model with seasonality. Working Paper. Birkbeck, University of London, London, UK.

    May 2005

    Cartea, Alvaro (2005) Dynamic hedging of financial instruments when the underlying follows a Non-Gaussian Process. Working Paper. Birkbeck, University of London, London, UK.

    February 2006

    Cartea, Alvaro and Howison, S. (2006) Option pricing with Lévy-Stable processes generated by Lévy-Stable Integrated Variance. Working Paper. Birkbeck, University of London, London, UK.

    August 2006

    Cartea, Alvaro and del-Castillo-Negrete, D. (2006) Fractional diffusion models of option prices in markets with jumps. Working Paper. Birkbeck, University of London, London, UK.

    1 February 2007

    Cartea, Alvaro and del Castillo Negrete, D. (2007) Fractional diffusion models of option prices in markets with jumps. Physica A 374 (2), 749 - 763. ISSN 0378-4371.

    5 March 2007

    Cartea, Alvaro and Williams, T. (2007) UK gas markets: the market price of risk and applications to multiple interruptible supply contracts. Working Paper. Birkbeck, University of London, London, UK.

    April 2007

    Cartea, Alvaro and del-Castillo-Negrete, D. (2007) On the fluid limit of the Continuous-Time Random Walk with General Lévy Jump Distribution Functions. Working Paper. Birkbeck, University of London, London, UK.

    16 May 2007

    Borger, R.H. and Cartea, Alvaro and Schindlmayr, G. (2007) A multivariate commodity analysis and applications to risk management. Working Paper. Birkbeck, University of London, London, UK.

    November 2007

    Cartea, Alvaro and Meyer-Brandis, T. (2007) How does duration between trades of underlying securities affect option prices? Working Paper. Birkbeck, University of London, London, UK.

    16 December 2007

    Cartea, Alvaro and Villaplana Conde, P. (2007) Spot Price Modeling and the valuation of Electricity Forward Contracts: the role of demand and capacity. Working Paper. Birkbeck, University of London, London, UK.

    January 2008

    Cartea, Alvaro and Figueroa, M.G. and Geman, Hélyette (2008) Modelling electricity prices with forward looking capacity constraints. Working Paper. Birkbeck College, University of London, London, UK.

    May 2008

    Cartea, Alvaro and Williams, T. (2008) UK gas markets: the market price of risk and applications to multiple interruptible supply contracts. Energy Economics 30 (3), pp. 829-846. ISSN 0140-9883.

    October 2008

    Benth, F.E. and Cartea, Alvaro and Kiesel, R. (2008) Pricing forward contracts in power markets by the certainty equivalence principle: explaining the sign of the market risk premium. Journal of Banking & Finance 32 (10), pp. 2006-2021. ISSN 0378-4266.

    Cartea, Alvaro and Villaplana, P. (2008) Spot price modeling and the valuation of electricity forward contracts: the role of demand and capacity. Journal of Banking & Finance 32 (12), pp. 2502-2519. ISSN 0378-4266.

    2009

    Cartea, Alvaro and Figueroa, M.G. and Geman, Hélyette (2009) Modelling electricity prices with forward looking capacity constraints. Applied Mathematical Finance 16 (2), pp. 103-122. ISSN 1466-4313.

    March 2009

    Borger, R. and Cartea, Alvaro and Kiesel, R. and Schindlmayr, G. (2009) Cross-commodity analysis and applications to risk management. Journal of Futures Markets 29 (3), pp. 197-217. ISSN 0270-7314.

    June 2009

    Cartea, Alvaro and Howison, S. (2009) Option pricing with Levy-Stable processes generated by Leacutevy-Stable integrated variance. Quantitative Finance 9 (4), pp. 397-409. ISSN 1469-7688.

    October 2009

    Cartea, Alvaro and Karyampas, Dimitrios (2009) Volatility and covariation of financial assets: a high-frequency analysis. Working Paper. Birkbeck College, University of London, London, UK.

    December 2011

    Cartea, Alvaro and Karyampas, Dimitrios (2011) Volatility and covariation of financial assets: a high-frequency analysis. Journal of Banking & Finance 35 (12), pp. 3319-3334. ISSN 0378-4266.

    2016

    Cartea, Alvaro and Karyampas, Dimitrios (2016) The relationship between the volatility of returns and the number of jumps in financial markets. Econometric Reviews 35 (6), pp. 929-950. ISSN 0747-4938.

    This list was generated on Wed Jan 19 06:12:39 2022 GMT.