68 citations · 101 across the 5 of their papers we have counts for
5 papers
On properties of Continuous-Time Random Walks with Non-Poissonian jump-times
Javier Villarroel, Miquel Montero
The usual development of the continuous-time random walk (CTRW) proceeds by assuming that the present is one of the jumping times. Under this restrictive assumption integral equati…
Perpetual American options within CTRW's
Miquel Montero
Continuous-time random walks are a well suited tool for the description of market behaviour at the smallest scale: the tick-to-tick evolution. We will apply this kind of market mod…
The continuous time random walk formalism in financial markets
J. Masoliver, M. Montero, J. Perello +1
We adapt continuous time random walk (CTRW) formalism to describe asset price evolution and discuss some of the problems that can be treated using this approach. We basically focus…
Volatility and dividend risk in perpetual American options
Miquel Montero
American options are financial instruments that can be exercised at any time before expiration. In this paper we study the problem of pricing this kind of derivatives within a fram…
Entropy of the Nordic electricity market: anomalous scaling, spikes, and mean-reversion
Josep Perello, Miquel Montero, Luigi Palatella +2
The electricity market is a very peculiar market due to the large variety of phenomena that can affect the spot price. However, this market still shows many typical features of oth…