BIROn - Birkbeck Institutional Research Online
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    Group by: Item Type | Date | Journal or Publication Title | No Grouping
    Number of items: 9.

    Applied Mathematical Finance

    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.

    Econometric Reviews

    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.

    Energy Economics

    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.

    Journal of Banking & Finance

    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.

    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.

    Journal of Futures Markets

    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.

    Physica A

    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.

    Quantitative Finance

    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.

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