Dr Álvaro Cartea


+44 (0) 1865 253000

Location: Oxford

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Álvaro is a finance expert specialising in high frequency and algorithmic trading, energy markets, derivatives pricing and option valuation, with particular emphasis on applied financial models. He has advised companies on pricing and hedging of energy and financial derivatives, stochastic volatility in energy markets, real options valuation, and diverse financial issues relating to UK regulated utilities. Álvaro is currently Reader in Mathematical Finance at University College London. He was previously Associate Professor at the Business Department of Universidad Carlos III de Madrid and, before that, lecturer in Financial Mathematics and Co-Director and Founder of the Commodities and Finance Centre, Birkbeck University of London, and JP Morgan Lecturer in Financial Mathematics at Exeter College, University of Oxford.

Selected project experience

  • Optimal execution in equity markets (2014)

  • High frequency and algorithmic trading (2012)

  • Systemic events in the banking industry (2011)

  • Valuation of electricity interconnectors (2010)

  • Valuation of gas storage (2009)

  • Cost of equity and implied volatility (2008)

  • Valuing real options in transport (2008

  • Volatility in gas markets (2007)

  • Real options in networks (2006)

  • Interruptible supply contracts in the UK gas market (2005)

  • Valuation and hedging of electricity derivatives (2004)

  • Real options, hurdle rates, regulation (2004)

  • Modelling interconnection charges in the UK water sector (2003)

Selected publications

  • Cartea, Á., Cheeseman, J. and Jaimungal, S.  (2015), ‘How to Value a Gas Storage Facility’, chapter in Roncoroni, A., Fusai, G. and Cummins, M. (eds), Handbook of Multi-Commodity Markets and Products, Wiley.

  • Cartea, Á. and Jaimungal, S.  (2014), ‘Model Uncertainty in Commodities’.

  • Cartea, Á. and Jaimungal, S.  (2014), ‘Market Making in Commodities’.

  • Cartea, Á, Penalva, J. and Schwartz, E. (2014), ‘Forward Premia in Electricity Markets: The Role of Speculators’.

  • Cartea, Á. and Karyampas, D. (2014), ‘The Relationship between the Volatility of Returns and the Number of Jumps in Financial Markets’, Econometric Reviews, October.

  • Cartea, Á. and Villaplana, P. (2014), ‘An Analysis of the Main Determinants of Electricity Forward Prices and Forward Risk Premia’, chapter 8, in Benth, F.E., Kholodnyi, V.A. and Laurence, P. (eds), Quantitative Energy Finance, Springer Verlag.

  • Cartea, Á., Jaimungal, S. and Ricci, J. (2014), ‘Buy Low Sell High: a High Frequency Trading Perspective’, SIAM Journal on Financial Mathematics, 5:1, pp. 415–44.

  • Cartea, Á. and Jaimungal, S. (2013), ‘Modelling Asset Prices for Algorithmic and High Frequency Trading’, Applied Mathematical Finance, 20:6, pp. 512–47.

  • Cartea, Á. and Jaimungal, S. (2013), ‘Risk Metrics and Fine Tuning of High-Frequency Trading Strategies’, Mathematical Finance.

  • Cartea, Á. and Penalva, J. (2012), ‘Where is the Value in High Frequency Trading?’, Quarterly Journal of Finance, 2:3.

  • Cartea, Á. and Karyampas, D. (2012), ‘Assessing the Performance of Different Volatility Estimators: A Monte Carlo Analysis’, Applied Mathematical Finance, 19:6, pp. 535–52.

  • Cartea, Á. (2012), ‘Derivatives Pricing with Marked Point Processes Using Tick-by-Tick Data’, Quantitative Finance, 13:1, pp. 111–23.

  • Cartea, Á. (2011), ‘How Much Should We Pay for Interconnecting Electricity Markets? A Real Options Approach’, Energy Economics.

  • Cartea, Á. (2011), ‘Volatility and Covariation of Financial Assets: A High-Frequency Analysis’, Journal of Banking and Finance.

  • Cartea, Á. and Meyer-Brandis, T. (2010), ‘How Does Duration Between Trades of Underlying Securities Affect Option Prices’, Review of Finance, 14:4,  749–85, October.

  • Cartea, Á. and Howison, S. (2009), ‘Option Pricing with Lévy-Stable Processes Generated by Lévy-Stable Integrated Variance’, Quantitative Finance, 9:4, pp. 397–409, June.

  • Cartea, Á., Figueroa, M.G. and Geman, H. (2009), ‘Modelling Electricity Prices with Forward Looking Capacity Constraints’, Applied Mathematical Finance, 16:2, pp. 103–22.

  • Benth, F.E., Cartea, Á. and Kiesel, R. (2008), ‘Pricing Forward Contracts in Power Markets by the Certainty Equivalence Principle: Explaining the Sign of the Market Risk Premium’, Journal of Banking and Finance, 32:10, pp. 2006–21.

  • Boerger, R., Cartea, Á., Kiesel, R. and Schindlmayer, G. (2008), ‘A Multivariate Commodity Analysis and Applications to Risk Management’, Journal of Futures Markets, 28:12, pp. 1–21.

  • Cartea, Á. and Villaplana, P. (2008), ‘Spot Modeling and the Valuation of Electricity Forward Contracts: The Role of Demand and Capacity’, Journal of Banking and Finance, 32:12, pp. 2502–19.

  • Cartea, Á. and Williams, T. (2008), ‘UK Gas Markets: The Market Price of Risk and Applications to Multiple Interruptible Supply Contracts’, Energy Economics, 30:3, May, 829–46.

  • Cartea, Á. and del-Castillo-Negrete, D. (2007), ‘Fractional Diffusion Models of Option Prices in Markets with Jumps’, Physica A, 304, pp. 749–63.

  • Cartea, Á. and del-Castillo-Negrete, D. (2007), ‘On the Fluid Limit of the Continuous-time Random Walk with General Lévy Jump Distribution Functions’, Physical Review E.

  • Cartea, Á. and Figueroa, M.G. (2005), ‘Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality’, Applied Mathematical Finance, 12:4, December, pp. 313–35.


  • DPhil Mathematics, University of Oxford

  • MA Economics, University of Chicago

  • MSc Financial Mathematics, University of Chicago

  • BSc Pure Mathematics, University of Warwick

  • Lic Economics, Universidad Central de Venezuela