Follow
Álvaro Cartea
Álvaro Cartea
University of Oxford and Oxford-Man Institute
Verified email at maths.ox.ac.uk - Homepage
Title
Cited by
Cited by
Year
Pricing in electricity markets: a mean reverting jump diffusion model with seasonality
A Cartea, MG Figueroa
Applied Mathematical Finance 12 (4), 313-335, 2005
6822005
Algorithmic and high-frequency trading
Á Cartea, S Jaimungal, J Penalva
Cambridge University Press, 2015
4502015
Fractional diffusion models of option prices in markets with jumps
Á Cartea, D del-Castillo-Negrete
Physica A: Statistical Mechanics and its Applications 374 (2), 749-763, 2007
3372007
Fractional diffusion models of option prices in markets with jumps
A Cartea, D del-Castillo-Negrete
Physica A: Statistical Mechanics and its Applications 374 (2), 749-763, 2007
3342007
Fluid limit of the continuous-time random walk with general Lévy jump distribution functions
Á Cartea, D del-Castillo-Negrete
Physical Review E 76 (4), 041105, 2007
2522007
Pricing forward contracts in power markets by the certainty equivalence principle: Explaining the sign of the market risk premium
FE Benth, Á Cartea, R Kiesel
Journal of banking & finance 32 (10), 2006-2021, 2008
2312008
Buy low, sell high: A high frequency trading perspective
Á Cartea, S Jaimungal, J Ricci
SIAM Journal on Financial Mathematics 5 (1), 415-444, 2014
2292014
Spot price modeling and the valuation of electricity forward contracts: The role of demand and capacity
Á Cartea, P Villaplana
Journal of Banking & Finance 32 (12), 2502-2519, 2008
2052008
Where is the value in high frequency trading?
Á Cartea, J Penalva
Quarterly Journal of Finance 13 (1), 1-46, 2012
1872012
Incorporating order-flow into optimal execution
Á Cartea, S Jaimungal
Mathematics and Financial Economics 10, 339-364, 2016
1552016
Optimal execution with limit and market orders
Á Cartea, S Jaimungal
Quantitative Finance 15 (8), 1279-1291, 2015
1262015
Algorithmic trading with model uncertainty
Á Cartea, R Donnelly, S Jaimungal
SIAM Journal on Financial Mathematics 8 (1), 635-671, 2017
125*2017
Risk metrics and fine tuning of high‐frequency trading strategies
Á Cartea, S Jaimungal
Mathematical Finance 25 (3), 576-611, 2015
1192015
Enhancing trading strategies with order book signals
A Cartea, R Donnelly, S Jaimungal
Applied Mathematical Finance 25 (1), 1-35, 2018
1172018
UK gas markets: The market price of risk and applications to multiple interruptible supply contracts
A Cartea, T Williams
Energy Economics 30 (3), 829-846, 2008
1152008
Modeling asset prices for algorithmic and high frequency trading
Á Cartea, S Jaimungal
Applied Mathematical Finance, 2010
1142010
A closed-form execution strategy to target volume weighted average price
Á Cartea, S Jaimungal
SIAM Journal on Financial Mathematics 7 (1), 760-785, 2016
74*2016
Modelling electricity prices with forward looking capacity constraints
Á Cartea, MG Figueroa, H Geman
Applied Mathematical Finance 16 (2), 103-122, 2009
692009
How much should we pay for interconnecting electricity markets? A real options approach
Á Cartea, C González-Pedraz
Energy Economics 34 (1), 14–30, 2011
552011
Algorithmic trading with learning
Á Cartea, S Jaimungal, D Kinzebulatov
International Journal of Theoretical and Applied Finance 19 (04), 1650028, 2016
452016
The system can't perform the operation now. Try again later.
Articles 1–20