5
H index
4
i10 index
109
Citations
Miquel Montero : Citation Profile
| RESEARCH PRODUCTION: 14 Articles 28 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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20 years (2000 - 2020). Relations with other researchers
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Miquel Montero. | Is cited by:
| Cites to:
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Main data
Where Miquel Montero has published?
| Journals with more than one article published | # docs |
|---|---|
| Physica A: Statistical Mechanics and its Applications | 7 |
| The European Physical Journal B: Condensed Matter and Complex Systems | 5 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Papers / arXiv.org | 23 |
| Cowles Foundation Discussion Papers / Cowles Foundation for Research in Economics, Yale University | 2 |
Recent works citing Miquel Montero (2025 and 2024)
Year  | Title of citing document |
|---|---|
| 2024 | Processes with catastrophes: Large deviation point of view. (2024). Logachova, O ; Yambartsev, A. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:176:y:2024:i:c:s0304414924001534. Full description at Econpapers || Download paper |
| 2024 | . Full description at Econpapers || Download paper |
Works by Miquel Montero:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2007 | Perpetual American options within CTRWs In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2008 | Perpetual American options within CTRWs.(2008) In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2008 | Renewal equations for option pricing In: Papers. [Full Text][Citation analysis] | paper | 3 |
| 2008 | Renewal equations for option pricing.(2008) In: The European Physical Journal B: Condensed Matter and Complex Systems. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | article | |
| 2009 | Predator-Prey Model for Stock Market Fluctuations In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2009 | Perpetual American vanilla option pricing under single regime change risk. An exhaustive study In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2008 | On properties of Continuous-Time Random Walks with Non-Poissonian jump-times In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2010 | Exit times in non-Markovian drifting continuous-time random walk processes In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2011 | Parrondo-like behavior in continuous-time random walks with memory In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2013 | Uncertain growth and the value of the future In: Papers. [Full Text][Citation analysis] | paper | 2 |
| 2013 | Uncertain Growth and the Value of the Future.(2013) In: Cowles Foundation Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 2020 | Statistical analysis and stochastic interest rate modelling for valuing the future with implications in climate change mitigation In: Papers. [Full Text][Citation analysis] | paper | 2 |
| 2000 | A dynamical model describing stock market price distributions In: Papers. [Full Text][Citation analysis] | paper | 4 |
| 2000 | A dynamical model describing stock market price distributions.(2000) In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | article | |
| 2001 | Return or stock price differences In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2002 | Return or stock price differences.(2002) In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2001 | An application of Malliavin Calculus to Finance In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2002 | A continuous time random walk model for financial distributions In: Papers. [Full Text][Citation analysis] | paper | 23 |
| 2003 | Partial Derivative Approach for Option Pricing in a Simple Stochastic Volatility Model In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2004 | Partial derivative approach for option pricing in a simple stochastic volatility model.(2004) In: The European Physical Journal B: Condensed Matter and Complex Systems. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2006 | The CTRW in finance: Direct and inverse problems with some generalizations and extensions In: Papers. [Full Text][Citation analysis] | paper | 4 |
| 2007 | The CTRW in finance: Direct and inverse problems with some generalizations and extensions.(2007) In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | article | |
| 2003 | Activity autocorrelation in financial markets. A comparative study between several models In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2004 | Extreme times in financial markets In: Papers. [Full Text][Citation analysis] | paper | 4 |
| 2000 | Black-Scholes option pricing within Ito and Stratonovich conventions In: Papers. [Full Text][Citation analysis] | paper | 3 |
| 2000 | Black–Scholes option pricing within Itô and Stratonovich conventions.(2000) In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | article | |
| 2005 | Scaling and data collapse for the mean exit time of asset prices In: Papers. [Full Text][Citation analysis] | paper | 4 |
| 2006 | Mean Exit Time and Survival Probability within the CTRW Formalism In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2007 | Mean exit time and survival probability within the CTRW formalism.(2007) In: The European Physical Journal B: Condensed Matter and Complex Systems. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
| 2006 | Entropy of the Nordic electricity market: anomalous scaling, spikes, and mean-reversion In: Papers. [Full Text][Citation analysis] | paper | 9 |
| 2007 | Volatility and dividend risk in perpetual American options In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2006 | The continuous time random walk formalism in financial markets In: Papers. [Full Text][Citation analysis] | paper | 11 |
| 2006 | The continuous time random walk formalism in financial markets.(2006) In: Journal of Economic Behavior & Organization. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 11 | article | |
| The continuous time random walk formalism in financial markets.() In: Modeling, Computing, and Mastering Complexity 2003. [Citation analysis] This paper has nother version. Agregated cites: 11 | paper | ||
| 2003 | Local Vega Index and Variance Reduction Methods In: Mathematical Finance. [Full Text][Citation analysis] | article | 2 |
| 2017 | Discounting the distant future: What do historical bond prices imply about the long term discount rate? In: LABORatorio R. Revelli Working Papers Series. [Full Text][Citation analysis] | paper | 2 |
| 2014 | Discounting the Distant Future In: Cowles Foundation Discussion Papers. [Full Text][Citation analysis] | paper | 5 |
| 2003 | Malliavin Calculus applied to finance In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] | article | 10 |
| 2005 | Diffusion Entropy technique applied to the study of the market activity In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] | article | 2 |
| 2017 | Continuous Time Random Walks with memory and financial distributions In: The European Physical Journal B: Condensed Matter and Complex Systems. [Full Text][Citation analysis] | article | 1 |
| 2017 | Continuous-time random walks with reset events In: The European Physical Journal B: Condensed Matter and Complex Systems. [Full Text][Citation analysis] | article | 3 |
| 2003 | Malliavin calculus in finance In: Economics Working Papers. [Full Text][Citation analysis] | paper | 10 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated February, 4 2025. Contact: CitEc Team