Dr Álvaro Cartea

Associate

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+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, option valuation and LIBOR, 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 Lecturer in Mathematical Finance at the University of Oxford. He was previously Reader in Mathematical Finance at University College London.

Selected project experience

  • Expert testimony in the High Court, LIBOR manipulation (2016)

  • 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., Jaimungal, S. and Penalva, J. (2015), Algorithmic and High-Frequency Trading, Cambridge University Press.

  • Cartea, Á. and Jaimungal, S. (2016), ‘A Closed-Form Execution Strategy to Target Volume Weighted Average Price’, SIAM Journal on Financial Mathematics, 7:1, pp. 760–85.

  • Cartea, Á. and Jaimungal, S. (2016), ‘Algorithmic Trading of Co-Integrated Assets’, International Journal of Theoretical and Applied Finance, 19:6.

  • Cartea, Á. and Jaimungal, S. (2016), ‘Incorporating order-flow into optimal execution’, Mathematics and Financial Economics, 10:3, pp. 339–64.

  • Cartea, Á. and Karyampas, D. (2016), ‘The Relationship between the Volatility of Returns and the Number of Jumps in Financial Markets’, Econometric Reviews, 35:6.

  • Cartea, Á., Jaimungal, S. and Kinzebulatov, D. (2016), ‘Algorithmic trading with learning’, International Journal of Theoretical and Applied Finance, 19:4.

  • Cartea, Á., Jaimungal, S. and Qin, Z. (2016), ‘Model Uncertainty in Commodity markets’, SIAM Journal of Financial Mathematics, 7:1, pp. 1–33.

  • Cartea, Á. and Jaimungal, S. (2015), ‘Optimal execution with limit and market orders’, Quantitative Finance, 15:8, pp. 1279–91.

  • Cartea, Á. and Jaimungal, S. (2015), ‘Risk Metrics and Fine Tuning of High-Frequency Trading Strategies’, Mathematical Finance, 25:3, pp. 576–611.

  • 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 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. (2013), ‘Derivatives Pricing with Marked Point Processes Using Tick-by-Tick Data’, Quantitative Finance, 13:1, pp. 111–23.

  • 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. (2012), ‘How Much Should We Pay for Interconnecting Electricity Markets? A Real Options Approach’, Energy Economics, 34:1, pp. 14–30.

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

  • Cartea, Á. (2011), ‘Volatility and Covariation of Financial Assets: A High-Frequency Analysis’, Journal of Banking and Finance, 35:12, pp. 3319–34.

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

  • 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.

  • 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 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.

Qualifications                                            

  • DPhil Mathematics, University of Oxford

  • MA Economics and MSc Financial Mathematics, University of Chicago

  • BSc Pure Mathematics, University of Warwick

  • Lic Economics, Universidad Central de Venezuela