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Álvaro Cartea
Researcher at University of Oxford
Publications - 131
Citations - 4307
Álvaro Cartea is an academic researcher from University of Oxford. The author has contributed to research in topics: High-frequency trading & Algorithmic trading. The author has an hindex of 33, co-authored 120 publications receiving 3842 citations. Previous affiliations of Álvaro Cartea include University College London & Birkbeck, University of London.
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Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality
TL;DR: In this paper, a mean-reverting jump diffusion model for the electricity spot price is presented and a closed-form solution for forward contracts and calibrated it to market data from England and Wales.
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Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality
TL;DR: In this article, a mean-reverting jump diffusion model for the electricity spot price and the corresponding forward price in closed-form was presented. But the model was not calibrated and months, quarters, and seasons-ahead forward surfaces were presented.
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Fractional diffusion models of option prices in markets with jumps
TL;DR: In this article, the authors show that the prices of European-style options satisfy a fractional partial differential equation (FPDE) and use numerical techniques to price exotic options by solving the corresponding FPDEs derived.
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Fluid limit of the continuous-time random walk with general Lévy jump distribution functions.
TL;DR: The continuous time random walk (CTRW) is a natural generalization of the Brownian random walk that allows the incorporation of waiting time distributions psi(t) and general jump distribution functions eta(x) and an integrodifferential equation describing the dynamics in the fluid limit is considered.
Book
Algorithmic and High-Frequency Trading
TL;DR: In this article, the authors present a primer on the microstructure of financial markets and empirical and statistical evidence - prices and returns of electronic markets and the limit order book.