170 citations · 811 across the 36 of their papers we have counts for
4 papers · 2 filters
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…
Mean Exit Time and Survival Probability within the CTRW Formalism
Miquel Montero, Jaume Masoliver
An intense research on financial market microstructure is presently in progress. Continuous time random walks (CTRWs) are general models capable to capture the small-scale properti…