Miquel Montero
Miquel Montero
Professor de física, Univeristat de Barcelona
Verified email at ub.edu
Title
Cited by
Cited by
Year
Continuous-time random-walk model for financial distributions
J Masoliver, M Montero, GH Weiss
Physical Review E 67 (2), 021112, 2003
2002003
Monotonic continuous-time random walks with drift and stochastic reset events
M Montero, J Villarroel
Physical Review E 87 (1), 012116, 2013
842013
The continuous time random walk formalism in financial markets
J Masoliver, M Montero, J Perelló, GH Weiss
Journal of Economic Behavior & Organization 61 (4), 577-598, 2006
722006
Malliavin calculus in finance
A Kohatsu-Higa, M Montero
Handbook of computational and numerical methods in finance, 111-174, 2004
542004
Scaling and data collapse for the mean exit time of asset prices
M Montero, J Perelló, J Masoliver, F Lillo, S Miccichè, RN Mantegna
Physical Review E 72 (5), 056101, 2005
402005
Continuous-time random walks with reset events: Historical background and new perspectives
M Montero, A Masó-Puigdellosas, J Villarroel
arXiv preprint arXiv:1706.04812, 2017
39*2017
A dynamical model describing stock market price distributions
J Masoliver, M Montero, JM Porrà
Physica A: Statistical Mechanics and its Applications 283 (3-4), 559-567, 2000
392000
Nonindependent continuous-time random walks
M Montero, J Masoliver
Physical Review E 76 (6), 061115, 2007
352007
Extreme times in financial markets
J Masoliver, M Montero, J Perelló
Physical Review E 71 (5), 056130, 2005
312005
Malliavin calculus applied to finance
M Montero, A Kohatsu-Higa
Physica A: Statistical Mechanics and its Applications 320, 548-570, 2003
302003
Black–Scholes option pricing within Itô and Stratonovich conventions
J Perelló, JM Porra, M Montero, J Masoliver
Physica A: Statistical Mechanics and its Applications 278 (1-2), 260-274, 2000
302000
The CTRW in finance: Direct and inverse problems with some generalizations and extensions
J Masoliver, M Montero, J Perelló, GH Weiss
Physica A: Statistical Mechanics and its Applications 379 (1), 151-167, 2007
242007
Activity autocorrelation in financial markets
L Palatella, J Perelló, M Montero, J Masoliver
The European Physical Journal B-Condensed Matter and Complex Systems 38 (4 …, 2004
202004
Entropy of the Nordic electricity market: anomalous scaling, spikes, and mean-reversion
J Perelló, M Montero, L Palatella, I Simonsen, J Masoliver
Journal of Statistical Mechanics: Theory and Experiment 2006 (11), P11011, 2006
192006
Directed random walk with random restarts: The Sisyphus random walk
M Montero, J Villarroel
Physical Review E 94 (3), 032132, 2016
182016
On the effect of random inhomogeneities in Kerr media modelled by a nonlinear Schrödinger equation
J Villarroel, M Montero
Journal of Physics B: Atomic, Molecular and Optical Physics 43 (13), 135404, 2010
152010
Local Vega index and variance reduction methods
HP Bermin, A Kohatsu‐Higa, M Montero
Mathematical Finance: An International Journal of Mathematics, Statistics …, 2003
142003
Quantum and random walks as universal generators of probability distributions
M Montero
Physical Review A 95 (6), 062326, 2017
122017
Unidirectional quantum walks: Evolution and exit times
M Montero
Physical Review A 88 (1), 012333, 2013
122013
Mean exit time and survival probability within the CTRW formalism
M Montero, J Masoliver
The European Physical Journal B 57 (2), 181-185, 2007
122007
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