Publications
by members of
Grup de Sistemes Estocástics i Dynámica Financera
Universitat de Barcelona
Barcelona, Spain
(Group of Stochastic Systems and Financial Dynamics, University of Barcelona)
These are publications listed in RePEc written by members of the above institution who are registered with the RePEc Author Service. Thus this compiles the works all those currently affiliated with this institution, not those affilated at the time of publication. List of registered members. Register yourself. Citation analysis. This page is updated in the first days of each month.| Working papers | Journal articles |
Working papers
Undated material is listed at the end2009
- Jaume Masoliver & Josep Perello, 2009. "First-passage and risk evaluation under stochastic volatility," Papers 0902.2735, arXiv.org.
2008
- Jaume Masoliver & Josep Perello, 2008. "The escape problem under stochastic volatility: the Heston model," Papers 0807.1014, arXiv.org.
- J. Perello & J. Masoliver & A. Kasprzak & R. Kutner, 2008. "A model for interevent times with long tails and multifractality in human communications: An application to financial trading," Papers 0805.1353, arXiv.org, revised Jul 2008.
- Josep Perello & Ronnie Sircar & Jaume Masoliver, 2008. "Option pricing under stochastic volatility: the exponential Ornstein-Uhlenbeck model," Papers 0804.2589, arXiv.org, revised May 2008.
2007
- Carl Chiarella & Giulia Iori & Josep Perello, 2007.
"The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows,"
Papers
0711.3581, arXiv.org.
- Chiarella, Carl & Iori, Giulia, 2009. "The impact of heterogeneous trading rules on the limit order book and order flows," Journal of Economic Dynamics and Control, Elsevier, vol. 33(3), pages 525-537.
- Chiarella, C. & Iori, G. & Perello, J., 2008. "The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows," Working Papers 08/04, Department of Economics, City University London.
- Carl Chiarella & Giulia Iori, 2005. "The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows," Research Paper Series 152, Quantitative Finance Research Centre, University of Technology, Sydney.
2006
- Josep Perello & Miquel Montero & Luigi Palatella & Ingve Simonsen & Jaume Masoliver, 2006. "Entropy of the Nordic electricity market: anomalous scaling, spikes, and mean-reversion," Papers physics/0609066, arXiv.org.
- Josep Perello, 2006. "Market memory and fat tail consequences in option pricing on the expOU stochastic volatility model," Papers physics/0607265, arXiv.org.
- Zoltan Eisler & Josep Perello & Jaume Masoliver, 2006. "Volatility: a hidden Markov process in financial time series," Papers physics/0612084, arXiv.org, revised Jul 2007.
- Jaume Masoliver & Josep Perello, 2006. "Extreme times for volatility processes," Papers physics/0609136, arXiv.org, revised May 2007.
- Josep Perello, 2006. "Downside Risk analysis applied to Hedge Funds universe," Papers physics/0610162, arXiv.org, revised Apr 2007.
2005
- Jaume Masoliver & Josep Perello, 2005.
"Multiple time scales and the exponential Ornstein-Uhlenbeck stochastic volatility model,"
Papers
cond-mat/0501639, arXiv.org.
- Jaume Masoliver & Josep Perello, 2006. "Multiple time scales and the exponential Ornstein-Uhlenbeck stochastic volatility model," Quantitative Finance, Taylor & Francis Journals, vol. 6(5), pages 423-433.
- Miquel Montero & Josep Perello & Jaume Masoliver & Fabrizio Lillo & Salvatore Micciche & Rosario N. Mantegna, 2005. "Scaling and data collapse for the mean exit time of asset prices," Papers physics/0507054, arXiv.org.
2004
- Jaume Masoliver & Miquel Montero & Josep Perello, 2004. "Extreme times in financial markets," Papers cond-mat/0406556, arXiv.org.
- Hans-Peter Bermin & Arturo Kohatsu-Higa & Josep Perello, 2004. "Hints for an extension of the early exercise premium formula for American options," Papers cond-mat/0409319, arXiv.org.
2003
- Josep Perello & Jaume Masoliver & Jean-Philippe Bouchaud, 2003.
"Multiple time scales in volatility and leverage correlation: A stochastic volatility model,"
Science & Finance (CFM) working paper archive
50001, Science & Finance, Capital Fund Management.
- Josep Perello & Jaume Masoliver & Jean-Philippe Bouchaud, 2004. "Multiple time scales in volatility and leverage correlations: a stochastic volatility model," Applied Mathematical Finance, Taylor & Francis Journals, vol. 11(1), pages 27-50.
- Josep Perello & Jaume Masoliver & Jean-Philippe Bouchaud, 2003. "Multiple time scales in volatility and leverage correlations: An stochastic volatility model," Papers cond-mat/0302095, arXiv.org.
- Jaume Masoliver & Miquel Montero & Josep Perello & George H. Weiss, 2003.
"The CTRW in finance: Direct and inverse problems with some generalizations and extensions,"
Papers
cond-mat/0308017, arXiv.org, revised Nov 2006.
- Masoliver, Jaume & Montero, Miquel & Perelló, Josep & Weiss, George H., 2007. "The CTRW in finance: Direct and inverse problems with some generalizations and extensions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 379(1), pages 151-167.
- Luigi Palatella & Josep Perello & Miquel Montero & Jaume Masoliver, 2003. "Activity autocorrelation in financial markets. A comparative study between several models," Papers cond-mat/0312489, arXiv.org.
- Josep Perello & Jaume Masoliver & Napoleon Anento, 2003.
"A comparison between several correlated stochastic volatility models,"
Papers
cond-mat/0312121, arXiv.org.
- Perelló, Josep & Masoliver, Jaume & Anento, Napoleón, 2004. "A comparison between several correlated stochastic volatility models," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 344(1), pages 134-137.
2002
- Josep Perello & Jaume Masoliver, 2002. "Stochastic volatility and leverage effect," Papers cond-mat/0202203, arXiv.org.
2001
- Jaume Masoliver & Miquel Montero & Josep Perello, 2001.
"Return or stock price differences,"
Papers
cond-mat/0111529, arXiv.org.
- Montero, Miquel & Perelló, Josep & Masoliver, Jaume, 2002. "Return or stock price differences," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 316(1), pages 539-560.
2000
- J. Perello & J. M. Porra & M. Montero & J. Masoliver, 2000.
"Black-Scholes option pricing within Ito and Stratonovich conventions,"
Papers
physics/0001040, arXiv.org, revised Apr 2000.
- Perelló, J & Porrà, J.M & Montero, M & Masoliver, J, 2000. "Black–Scholes option pricing within Itô and Stratonovich conventions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 278(1), pages 260-274.
Undated
- Jaume Masoliver & Miquel Montero & Josep Perello, "undated".
"The continuous time random walk formalism in financial markets,"
Modeling, Computing, and Mastering Complexity 2003
24, Society for Computational Economics.
- Masoliver, Jaume & Montero, Miquel & Perello, Josep & Weiss, George H., 2006. "The continuous time random walk formalism in financial markets," Journal of Economic Behavior & Organization, Elsevier, vol. 61(4), pages 577-598, December.
- J. Masoliver & M. Montero & J. Perello & G. H. Weiss, 2006. "The continuous time random walk formalism in financial markets," Papers physics/0611138, arXiv.org.
Journal articles
2006
- Masoliver, Jaume & Montero, Miquel & Perello, Josep & Weiss, George H., 2006.
"The continuous time random walk formalism in financial markets,"
Journal of Economic Behavior & Organization, Elsevier, vol. 61(4), pages 577-598, December.
- Jaume Masoliver & Miquel Montero & Josep Perello, "undated". "The continuous time random walk formalism in financial markets," Modeling, Computing, and Mastering Complexity 2003 24, Society for Computational Economics.
- J. Masoliver & M. Montero & J. Perello & G. H. Weiss, 2006. "The continuous time random walk formalism in financial markets," Papers physics/0611138, arXiv.org.
2004
- Josep Perello & Jaume Masoliver & Jean-Philippe Bouchaud, 2004.
"Multiple time scales in volatility and leverage correlations: a stochastic volatility model,"
Applied Mathematical Finance, Taylor & Francis Journals, vol. 11(1), pages 27-50.
- Josep Perello & Jaume Masoliver & Jean-Philippe Bouchaud, 2003. "Multiple time scales in volatility and leverage correlations: An stochastic volatility model," Papers cond-mat/0302095, arXiv.org.
- Josep Perello & Jaume Masoliver & Jean-Philippe Bouchaud, 2003. "Multiple time scales in volatility and leverage correlation: A stochastic volatility model," Science & Finance (CFM) working paper archive 50001, Science & Finance, Capital Fund Management.