1. J.A. Lobo, M. Montero, “All-sky search algorithms for monochromatic signals in resonant bar gravitational wave detector data”, Mon. Not. R. Astron. Soc. 301, 729-744 (1998).
Electronic document: doi:10.1046/j.1365-8711.1998.02016.x
Preprint version: arXiv:gr-qc/9804026

2. J. Perelló, J. M. Porrà, M. Montero, J. Masoliver, “Black-Scholes option pricing within Itô and Stratonovich conventions”, Physica A 278, 260-274 (2000).
Electronic document: doi:10.1016/S0378-4371(99)00612-3
Preprint version: arXiv:physics/0001040

3. J. Masoliver, M. Montero, J. M. Porrà, “A dynamical model describing stock market price distributions”, Physica A 283, 559-567 (2000).
Electronic document: doi:10.1016/S0378-4371(00)00117-5
Preprint version: arXiv:cond-mat/0003357

4. J. Masoliver, M. Montero, McKane, A.; “Integrated random processes exhibiting long tails, finite moments and power-law spectra”, Phys. Rev. E 64, 011110 (2001).
Electronic document: doi:10.1103/PhysRevE.64.011110
Preprint version: arXiv:cond-mat/0007468

5. M. Montero, J. Perelló, J. Masoliver, “Return or stock price differences”, Physica A 316, 539-560 (2002).
Electronic document: doi:10.1016/S0378-4371(02)01198-6
Preprint version: arXiv:cond-mat/0111529

6. H. P. Bermin, A. Kohatsu-Higa, M. Montero, “Local Vega index and variance reduction methods”, Math. Finance 13, 85-97 (2003).
Electronic document: doi:10.1111/1467-9965.00007

7. M. Montero, A. Kohatsu-Higa, “Malliavin Calculus applied to Finance”, Physica A 320, 548-570 (2003).
Electronic document: doi:10.1016/S0378-4371(02)01531-5
Preprint version: arXiv:cond-mat/0111563

8. J. Masoliver, M. Montero, G. H. Weiss, “A continuous time random walk model for financial distributions”, Phys. Rev. E 67, 021112 (2003).
Electronic document: doi:10.1103/PhysRevE.67.021112
Preprint version: arXiv:cond-mat/0210513

9. L. Palatella, J. Perelló, M. Montero, J. Masoliver, “Activity autocorrelation in financial markets. A comparative study between several models”, Eur. Phys. J. B 38, 671-677 (2004).
Electronic document: doi:10.1140/epjb/e2004-00161-6
Preprint version: arXiv:cond-mat/0312489

10. M. Montero, “Partial Derivative Approach for Option Pricing in a Simple Stochastic Volatility Model”, Eur. Phys. J. B 42, 141-153 (2004).
Electronic document: doi:10.1140/epjb/e2004-00366-7
Preprint version: arXiv:cond-mat/0307759

11. L. Palatella, J. Perelló, M. Montero, J. Masoliver, “Diffusion entropy technique applied to the study of the market activity”, Physica A 355, 131-137 (2005).
Electronic document: doi:10.1016/j.physa.2005.02.076

12. J. Masoliver, M. Montero, J. Perelló, “Extreme times in financial markets”, Phys. Rev. E 71, 056130 (2005).
Electronic document: doi:10.1103/PhysRevE.71.056130
Preprint version: arXiv:cond-mat/0406556

13. M. Montero, J. Perelló, J. Masoliver, F. Lillo, S. Miccichè, R. N. Mantenga, “Scaling and data collapse for the mean exit time of asset prices”, Phys. Rev. E 72, 056101 (2005).
Electronic document: doi:10.1103/PhysRevE.72.056101
Preprint version: arXiv:physics/0507054

14. J. Masoliver, M. Montero, J. Perelló, G. H. Weiss, “The continuous time random walk formalism in financial markets”, J. Econ. Behav. Organ. 61, 577-598 (2006).
Electronic document: doi:10.1016/j.jebo.2004.07.015

15. J. Perelló, M. Montero, L. Palatella, I. Simonsen, J. Masoliver, “Entropy of the Nordic electricity market: anomalous scaling, spikes, and mean-reversion”, J. Stat. Mech., P11011 (2006).
Electronic document: doi:10.1088/1742-5468/2006/11/P11011
Preprint version: arXiv:physics/0609066

16. J. Masoliver, M. Montero, J. Perelló, G. H. Weiss, “The CTRW in finance: Direct and inverse problems with some generalizations and extensions”, Physica A 379, 151-167 (2007).
Electronic document: doi:10.1016/j.physa.2007.01.001
Preprint version: arXiv:cond-mat/0308017

17. M. Montero, J. Masoliver, “Mean Exit Time and Survival Probability within the CTRW Formalism”, Eur. Phys. J. B 57, 181-185 (2007).
Electronic document: doi: 10.1140/epjb/e2007-00128-1
Preprint version: arXiv:physics/0607268

18. M. Montero, “Volatility and dividend risk in perpetual American options”, J. Stat. Mech., P04002 (2007).
Electronic document: doi:10.1088/1742-5468/2007/04/P04002
Preprint version: arXiv:physics/0610047

19. M. Montero, J. Masoliver, “Nonindependent Continuous-Time Random Walks”, Phys. Rev. E 76, 061115 (2007).
Electronic document: doi:10.1103/PhysRevE.76.061115
Preprint version: arXiv:0707.4087

20. M. Montero, “Perpetual American options within CTRWs”, Physica A 387, 3936-3941 (2008).
Electronic document: doi:10.1016/j.physa.2008.01.054
Preprint version: arXiv:0708.0544

21. M. Montero, “Renewal equations for option pricing”, Eur. Phys. J. B 65, 295-306 (2008).
Electronic document: doi:10.1140/epjb/e2008-00349-8
Preprint version: arXiv:0711.2624

22. M. Montero, “Perpetual American vanilla option pricing under single regime change risk: an exhaustive study”, J. Stat. Mech., P07016 (2009).
Electronic document: doi:10.1088/1742-5468/2009/07/P07016
Preprint version: arXiv:0812.0556

23. J. Villarroel, M. Montero, “On properties of Continuous-Time Random Walks with Non-Poissonian jump-times”, Chaos Solitons Fractals 42, 128-137 (2009).
Electronic document: doi:10.1016/j.chaos.2008.11.015
Preprint version: arXiv:0812.2148

24. J. Villarroel, M. Montero, “On the effect of random inhomogeneities in Kerr media modelled by a nonlinear Schrödinger equation”, J. Phys. B 43, 135404 (2010).
Electronic document: doi:10.1088/0953-4075/43/13/135404
Preprint version: arXiv:1003.4408

25. M. Montero, J. Villarroel, “Exit times in non-Markovian drifting continuous-time random-walk processes”, Phys. Rev. E 82, 021102 (2010).
Electronic document: doi:10.1103/PhysRevE.82.021102
Preprint version: arXiv:1002.0571

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Last update: Monday, August 30, 2010