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Álvaro Cartea
(Alvaro Cartea)

Personal Details

First Name:Alvaro
Middle Name:
Last Name:Cartea
Suffix:
RePEc Short-ID:pca161
http://www.cartea.net/

Affiliation

Mathematical and Computational Finance Group
Oxford University

Oxford, United Kingdom
http://www.maths.ox.ac.uk/mcfg/
RePEc:edi:ccfoxuk (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Chapters

Working papers

  1. Álvaro Cartea & José Penalva, 2011. "Where is the value in high frequency trading?," Working Papers 1111, Banco de España.
  2. 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.
  3. Cartea, Álvaro & González-Pedraz, Carlos, 2010. "How much should we pay for interconnecting electricity markets? A real options approach," DEE - Working Papers. Business Economics. WB wb103206, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
  4. Cartea, Álvaro & Karyampas, Dimitrios, 2009. "The relationship between the volatility of returns and the number of jumps in financial markets," DEE - Working Papers. Business Economics. WB wb097508, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
  5. Cartea, Álvaro & Meyer-Brandis, Thilo, 2009. "How Duration Between Trades of Underlying Securities Affects Option Prices," MPRA Paper 16179, University Library of Munich, Germany.
  6. Álvaro Cartea & Dimitrios Karyampas, 2009. "Volatility and Covariation of Financial Assets: A High-Frequency Analysis," Birkbeck Working Papers in Economics and Finance 0913, Birkbeck, Department of Economics, Mathematics & Statistics.
  7. Alvaro Cartea & Marcelo G. Figueroa & Helyette Geman, 2008. "Modelling Electricity Prices with Forward Looking Capacity Constraints," Birkbeck Working Papers in Economics and Finance 0802, Birkbeck, Department of Economics, Mathematics & Statistics.
  8. Alvaro Cartea & Pablo Villaplana Conde, 2007. "Spot Price Modeling and the Valuation of Electricity Forward Contracts: the Role of Demand and Capacity," Birkbeck Working Papers in Economics and Finance 0718, Birkbeck, Department of Economics, Mathematics & Statistics.
  9. Alvaro Cartea & Thilo Meyer-Brandis, 2007. "How Does Duration Between Trades of Underlying Securities Affect Option Prices," Birkbeck Working Papers in Economics and Finance 0721, Birkbeck, Department of Economics, Mathematics & Statistics.
  10. Alvaro Cartea & Diego del-Castillo-Negrete, 2007. "On the Fluid Limit of the Continuous-Time Random Walk with General Lévy Jump Distribution Functions," Birkbeck Working Papers in Economics and Finance 0708, Birkbeck, Department of Economics, Mathematics & Statistics.
  11. Reik H. Börger & Alvaro Cartea & Ruediger Kiesel & Gero Schindlmayr, 2007. "A Multivariate Commodity Analysis and Applications to Risk Management," Birkbeck Working Papers in Economics and Finance 0709, Birkbeck, Department of Economics, Mathematics & Statistics.
  12. Alvaro Cartea & Diego del-Castillo-Negrete, 2006. "Fractional Diffusion Models of Option Prices in Markets with Jumps," Birkbeck Working Papers in Economics and Finance 0604, Birkbeck, Department of Economics, Mathematics & Statistics.
  13. Alvaro Cartea & Thomas Williams, 2006. "UK Gas Markets: the Market Price of Risk and Applications to Multiple Interruptible Supply Contracts," Birkbeck Working Papers in Economics and Finance 0608, Birkbeck, Department of Economics, Mathematics & Statistics.
  14. Fred Espen Benth & Alvaro Cartea & Ruediger Kiesel, 2006. "Pricing Forward Contracts in Power Markets by the Certainty Equivalence Principle: Explaining the Sign of the Market Risk Premium," Birkbeck Working Papers in Economics and Finance 0611, Birkbeck, Department of Economics, Mathematics & Statistics.
  15. Alvaro Cartea & Sam Howison, 2006. "Option Pricing with Lévy-Stable Processes Generated by Lévy-Stable Integrated Variance," Birkbeck Working Papers in Economics and Finance 0602, Birkbeck, Department of Economics, Mathematics & Statistics.
  16. Alvaro Cartea & Marcelo_Gustavo Figueroa, 2005. "Pricing in Electricity Markets: a Mean Reverting Jump Diffusion Model with Seasonality," Finance 0501011, University Library of Munich, Germany, revised 12 Sep 2005.
  17. Alvaro Cartea, 2005. "Dynamic Hedging of Financial Instruments When the Underlying Follows a Non-Gaussian Process," Birkbeck Working Papers in Economics and Finance 0508, Birkbeck, Department of Economics, Mathematics & Statistics.
  18. Alvaro Cartea & Sam Howison, 2004. "Option Pricing with Levy-Stable Processes," OFRC Working Papers Series 2004mf01, Oxford Financial Research Centre.
  19. Alvaro Cartea & Sam Howison, 2002. "Distinguished Limits of Levy-Stable Processes, and Applications to Option Pricing," OFRC Working Papers Series 2002mf04, Oxford Financial Research Centre.

Articles

  1. Álvaro Cartea & Dimitrios Karyampas, 2016. "The Relationship between the Volatility of Returns and the Number of Jumps in Financial Markets," Econometric Reviews, Taylor & Francis Journals, vol. 35(6), pages 929-950, June.
  2. Álvaro Cartea & Sebastian Jaimungal & Damir Kinzebulatov, 2016. "Algorithmic Trading With Learning," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(04), pages 1-30, June.
  3. Álvaro Cartea & Sebastian Jaimungal, 2016. "Algorithmic Trading Of Co-Integrated Assets," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(06), pages 1-18, September.
  4. Álvaro Cartea & Sebastian Jaimungal, 2015. "Risk Metrics And Fine Tuning Of High-Frequency Trading Strategies," Mathematical Finance, Wiley Blackwell, vol. 25(3), pages 576-611, July.
  5. �lvaro Cartea & Sebastian Jaimungal, 2015. "Optimal execution with limit and market orders," Quantitative Finance, Taylor & Francis Journals, vol. 15(8), pages 1279-1291, August.
  6. �lvaro Cartea & Sebastian Jaimungal, 2013. "Modelling Asset Prices for Algorithmic and High-Frequency Trading," Applied Mathematical Finance, Taylor & Francis Journals, vol. 20(6), pages 512-547, December.
  7. 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.
  8. Cartea, Álvaro & Saúl, Jonatan & Toro, Juan, 2012. "Optimal portfolio choice in real terms: Measuring the benefits of TIPS," Journal of Empirical Finance, Elsevier, vol. 19(5), pages 721-740.
  9. Cartea, Álvaro & González-Pedraz, Carlos, 2012. "How much should we pay for interconnecting electricity markets? A real options approach," Energy Economics, Elsevier, vol. 34(1), pages 14-30.
  10. Álvaro Cartea & Dimitrios Karyampas, 2012. "Assessing the Performance of Different Volatility Estimators: A Monte Carlo Analysis," Applied Mathematical Finance, Taylor & Francis Journals, vol. 19(6), pages 535-552, December.
  11. Álvaro Cartea & José Penalva, 2012. "Where is the Value in High Frequency Trading?," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 2(03), pages 1-46.
  12. Cartea, Álvaro & Karyampas, Dimitrios, 2011. "Volatility and covariation of financial assets: A high-frequency analysis," Journal of Banking & Finance, Elsevier, vol. 35(12), pages 3319-3334.
  13. Álvaro Cartea & Thilo Meyer-Brandis, 2010. "How Duration Between Trades of Underlying Securities Affects Option Prices," Review of Finance, European Finance Association, vol. 14(4), pages 749-785.
  14. Alvaro Cartea & Marcelo Figueroa & Helyette Geman, 2009. "Modelling Electricity Prices with Forward Looking Capacity Constraints," Applied Mathematical Finance, Taylor & Francis Journals, vol. 16(2), pages 103-122.
  15. Alvaro Cartea & Sam Howison, 2009. "Option pricing with Levy-Stable processes generated by Levy-Stable integrated variance," Quantitative Finance, Taylor & Francis Journals, vol. 9(4), pages 397-409.
  16. Reik Börger & Álvaro Cartea & Rüdiger Kiesel & Gero Schindlmayr, 2009. "Cross‐commodity analysis and applications to risk management," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 29(3), pages 197-217, March.
  17. Benth, Fred Espen & Cartea, Álvaro & Kiesel, Rüdiger, 2008. "Pricing forward contracts in power markets by the certainty equivalence principle: Explaining the sign of the market risk premium," Journal of Banking & Finance, Elsevier, vol. 32(10), pages 2006-2021, October.
  18. Cartea, Álvaro & Williams, Thomas, 2008. "UK gas markets: The market price of risk and applications to multiple interruptible supply contracts," Energy Economics, Elsevier, vol. 30(3), pages 829-846, May.
  19. Cartea, Álvaro & Villaplana, Pablo, 2008. "Spot price modeling and the valuation of electricity forward contracts: The role of demand and capacity," Journal of Banking & Finance, Elsevier, vol. 32(12), pages 2502-2519, December.
  20. Cartea, Álvaro & del-Castillo-Negrete, Diego, 2007. "Fractional diffusion models of option prices in markets with jumps," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 374(2), pages 749-763.
  21. Alvaro Cartea & Marcelo Figueroa, 2005. "Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality," Applied Mathematical Finance, Taylor & Francis Journals, vol. 12(4), pages 313-335.

Chapters

  1. Álvaro Cartea & Ryan Donnelly & Sebastian Jaimungal, 2016. "Volume Imbalance and Market Making," World Scientific Book Chapters, in: Masaaki Kijima & Yukio Muromachi & Takashi Shibata (ed.), RECENT ADVANCES IN FINANCIAL ENGINEERING 2014 Proceedings of the TMU Finance Workshop 2014, chapter 3, pages 57-73, World Scientific Publishing Co. Pte. Ltd..

More information

Research fields, statistics, top rankings, if available.

Statistics

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NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 19 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.
  1. NEP-ENE: Energy Economics (8) 2005-03-06 2005-04-16 2006-09-16 2006-11-18 2007-05-04 2007-11-03 2008-02-02 2010-07-31. Author is listed
  2. NEP-MST: Market Microstructure (7) 2007-12-15 2009-07-17 2009-11-21 2009-12-05 2009-12-11 2010-04-17 2011-06-04. Author is listed
  3. NEP-FIN: Finance (4) 2005-03-06 2005-05-29 2006-03-05 2006-09-16
  4. NEP-RMG: Risk Management (4) 2003-08-31 2005-05-29 2007-05-04 2007-12-15
  5. NEP-FMK: Financial Markets (3) 2003-08-31 2006-03-18 2006-09-16
  6. NEP-MIC: Microeconomics (3) 2006-11-18 2007-11-03 2008-02-02
  7. NEP-ECM: Econometrics (2) 2009-11-21 2010-04-17
  8. NEP-CFN: Corporate Finance (1) 2011-06-04
  9. NEP-ETS: Econometric Time Series (1) 2003-08-31
  10. NEP-UPT: Utility Models and Prospect Theory (1) 2006-11-18

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