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Pricing in electricity markets : a mean reverting jump diffusion model with seasonality

Cartea, Álvaro (contributor); … - 2005

Persistent link: https://www.econbiz.de/10002811016

Derivatives pricing with marked point processes using tick-by-tick data

Cartea, Álvaro - 2010

Persistent link: https://www.econbiz.de/10003972644

Trading co-integrated assets with price impact

Cartea, Álvaro; Gan, Luhui; Jaimungal, Sebastian - In: Mathematical Finance 29 (2018) 2, pp. 542-567

Persistent link: https://www.econbiz.de/10012095153

Hedging nontradable risks with transaction costs and price impact

Cartea, Álvaro; Donnelly, Ryan; Jaimungal, Sebastian - In: Mathematical Finance 30 (2020) 3, pp. 833-868

Persistent link: https://www.econbiz.de/10012283196

Where is the value in high frequency trading?

Cartea, Álvaro; Penalva Zuasti, José S. - 2011

Analizamos el impacto de las operaciones que se realizan en mercados financieros a gran velocidad utilizando un modelo con tres tipos de operadores: consumidores de liquidez, creadores de mercado y operadores de alta frecuencia. Nuestros cuatro resultados principales son: i) el impacto de las...

Persistent link: https://www.econbiz.de/10012530335

UK gas markets : the market price of risk and applications to multiple interruptible supply contracts

Cartea, Álvaro; Williams, Thomas - In: Energy economics 30 (2008) 3, pp. 829-846

Persistent link: https://www.econbiz.de/10003744724

Pricing forward contracts in power markets by the certainty equivalence principle : explaining the sign of the market risk premium

Benth, Fred Espen; Cartea, Álvaro; Kiesel, Rüdiger - In: Journal of banking & finance 32 (2008) 10, pp. 2006-2021

Persistent link: https://www.econbiz.de/10003778569

UK gas markets : the market price of risk and applications to multiple interruptible supply contracts

Cartea, Álvaro (contributor); Williams, Thomas (contributor) - 2006

Persistent link: https://www.econbiz.de/10003356022

Spot price modeling and the valuation of electricity forward contracts : the role of demand and capacity

Cartea, Álvaro; Villaplana, Pablo - In: Journal of banking & finance 32 (2008) 12, pp. 2502-2519

Persistent link: https://www.econbiz.de/10003795764

Modelling electricity prices with forward looking capacity constraints

Cartea, Álvaro; Figueroa, Marcelo G.; Geman, Hélyette - In: Applied mathematical finance 16 (2009) 1/2, pp. 103-122

Persistent link: https://www.econbiz.de/10003847150

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