Alvaro Cartea

Lecturer in Mathematical Finance, University of Oxford

Álvaro Cartea is a Reader in Financial Mathematics at University College London (www.ucl.ac.uk). Before joining UCL he was Associate Professor of Finance at Universidad Carlos III, Madrid-Spain (2009-2012) and from 2002 until 2009 Álvaro was a Lecturer (with tenure) in the School of Economics, Mathematics and Statistics at Birkbeck-University of London. He was previously JP Morgan Lecturer in Financial Mathematics, Exeter College, University of Oxford. At Birkbeck he founded the Commodities Finance Centre and taught graduate courses in Financial Economics and Financial Mathematics. Álvaro obtained his Doctorate from the University of Oxford in 2003.

Related Research: Electronic Trading

Working Paper

Cartea, A., Donnelly, R.F. and Jaimungal, S. (2015). Enhancing trading strategies with order book signals.
Cartea, A., Jaimungal, S. and Ricci, J. (2015). Trading strategies within the edges of no-arbitrage.
Cartea, A., Gan, L. and Jaimungal, S. (2015). Liquidating baskets of co-moving assets.
Cartea, A., Jaimungal, S. and Walton, J. (2016). Foreign exchange markets with last look.
Cartea, A. and Jaimungal, S. (2015). Irreversible investments and ambiguity aversion.

Published Research

Cartea, A. and Howison, S. (2009). Option pricing with Levy-Stable processes generated by Levy-Stable integrated variance. Quantitative Finance. 9 (4). 397-409.
Cartea, A. and Jaimungal, S (2016). A closed-form execution strategy to target volume weighted average price. SIAM Journal on Financial Mathematics. 7(1). 760-785.
Cartea, A. and Jaimungal, S (2016). Algorithmic trading of co-integrated assets. International Journal of Theoretical and Applied Finance. 19(6). 18.
Cartea, A. and Jaimungal, S (2016). Incorporating order-flow into optimal execution. Mathematics and Financial Economics. Forthcoming. Forthcoming.
Cartea, A., Jaimungal, S. and Qin, Z (2016). Model uncertainty in commodity markets. SIAM Journal on Financial Mathematics. 7(1). 1-33.
Cartea, A., Jaimungal, S. and Kinzebulatov, D. (2016). Algorithmic trading with learning. International Journal of Theoretical and Applied Finance. 19(4). 1-30.