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Jaume Masoliver

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This is information that was supplied by Jaume Masoliver in registering through RePEc. If you are Jaume Masoliver , you may change this information at the RePEc Author Service. Or if you are not registered and would like to be listed as well, register at the RePEc Author Service. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Personal Details

First Name: Jaume
Middle Name:
Last Name: Masoliver
Suffix:

RePEc Short-ID: pma277

Email:
Homepage: http://www.ub.edu/ffn/personal/jaume.php
Postal Address: Derpartament de Fisica Fonamental Universitat de Barcelona Diagonal, 647 08028 Barcelona Spain
Phone:

Affiliation

Grup de Sistemes Estocástics i Dynámica Financera
Universitat de Barcelona
Location: Barcelona, Spain
Homepage: http://web.ffn.ub.es/node/6&id=1059
Email:
Phone:
Fax:
Postal:
Handle: RePEc:edi:gefubes (more details at EDIRC)

Works

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Working papers

  1. J. Doyne Farmer & John Geanakoplos & Jaume Masoliver & Miquel Montero & Josep Perello, 2014. "Discounting the Distant Future," Cowles Foundation Discussion Papers 1951, Cowles Foundation for Research in Economics, Yale University.
  2. Jaume Masoliver & Miquel Montero & Josep Perello & John Geanakoplos, 2013. "Uncertain Growth and the Value of the Future," Cowles Foundation Discussion Papers 1930, Cowles Foundation for Research in Economics, Yale University.
  3. Jaume Masoliver & Miquel Montero & Josep Perell\'o & John Geanakoplos & J. Doyne Farmer, 2013. "Uncertain growth and the value of the future," Papers 1311.4068, arXiv.org.
  4. Josep Perell\'o & Mario Guti\'errez-Roig & Jaume Masoliver, 2011. "Scaling properties and universality of first-passage time probabilities in financial markets," Papers 1107.1174, arXiv.org, revised Sep 2011.
  5. Jaume Masoliver & Josep Perello, 2009. "First-passage and risk evaluation under stochastic volatility," Papers 0902.2735, arXiv.org.
  6. 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.
  7. 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.
  8. Jaume Masoliver & Josep Perello, 2008. "The escape problem under stochastic volatility: the Heston model," Papers 0807.1014, arXiv.org.
  9. Jaume Masoliver & Josep Perello, 2006. "Extreme times for volatility processes," Papers physics/0609136, arXiv.org, revised May 2007.
  10. Zoltan Eisler & Josep Perello & Jaume Masoliver, 2006. "Volatility: a hidden Markov process in financial time series," Papers physics/0612084, arXiv.org, revised Jul 2007.
  11. Miquel Montero & Jaume Masoliver, 2006. "Mean Exit Time and Survival Probability within the CTRW Formalism," Papers physics/0607268, arXiv.org, revised Oct 2006.
  12. 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.
  13. 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.
  14. Jaume Masoliver & Josep Perello, 2005. "Multiple time scales and the exponential Ornstein-Uhlenbeck stochastic volatility model," Papers cond-mat/0501639, arXiv.org.
  15. Jaume Masoliver & Miquel Montero & Josep Perello, 2004. "Extreme times in financial markets," Papers cond-mat/0406556, arXiv.org.
  16. 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.
  17. Josep Perello & Jaume Masoliver & Napoleon Anento, 2003. "A comparison between several correlated stochastic volatility models," Papers cond-mat/0312121, arXiv.org.
  18. 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.
  19. 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.
  20. Jaume Masoliver & Miquel Montero & George H. Weiss, 2002. "A continuous time random walk model for financial distributions," Papers cond-mat/0210513, arXiv.org.
  21. Josep Perello & Jaume Masoliver, 2002. "Stochastic volatility and leverage effect," Papers cond-mat/0202203, arXiv.org.
  22. Jaume Masoliver & Miquel Montero & Josep Perello, 2001. "Return or stock price differences," Papers cond-mat/0111529, arXiv.org.
  23. Jaume Masoliver & Miquel Montero & Josep M. Porra, 2000. "A dynamical model describing stock market price distributions," Papers cond-mat/0003357, arXiv.org.
  24. 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.
  25. Jaume Masoliver & Miquel Montero & Josep Perello, . "The continuous time random walk formalism in financial markets," Modeling, Computing, and Mastering Complexity 2003 24, Society for Computational Economics.

Articles

  1. A. Kasprzak & R. Kutner & J. Perelló & J. Masoliver, 2010. "Higher-order phase transitions on financial markets," The European Physical Journal B - Condensed Matter and Complex Systems, Springer, vol. 76(4), pages 513-527, August.
  2. 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.
  3. M. Montero & J. Masoliver, 2007. "Mean exit time and survival probability within the CTRW formalism," The European Physical Journal B - Condensed Matter and Complex Systems, Springer, vol. 57(2), pages 181-185, 05.
  4. 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.
  5. 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.
  6. Palatella, Luigi & Perelló, Josep & Montero, Miquel & Masoliver, Jaume, 2005. "Diffusion Entropy technique applied to the study of the market activity," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 355(1), pages 131-137.
  7. 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.
  8. 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.
  9. M. Boguñá & J. Masoliver, 2004. "Conditional dynamics driving financial markets," The European Physical Journal B - Condensed Matter and Complex Systems, Springer, vol. 40(3), pages 347-352, August.
  10. Perelló, Josep & Masoliver, Jaume, 2003. "Option pricing and perfect hedging on correlated stocks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 330(3), pages 622-652.
  11. Perelló, Josep & Masoliver, Jaume, 2002. "Fat tails and colored noise in financial derivatives," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 314(1), pages 736-742.
  12. 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.
  13. Perelló, Josep & Masoliver, Jaume, 2002. "The effect of non-ideal market conditions on option pricing," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 308(1), pages 420-442.
  14. Boguñá, Marian & Masoliver, Jaume & Weiss, George H., 2001. "A discrete formulation of the theory of sojourn times in a two-state system," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 289(3), pages 307-320.
  15. Weiss, George H. & Masoliver, Jaume, 2001. "Statistics of dwell times in a reaction with randomly fluctuating rates," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 296(1), pages 75-82.
  16. 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.
  17. Boguñá, Marián & Masoliver, Jaume & Weiss, George H., 2000. "The asymptotic form of the probability density of sojourn times in randomly changing multistate systems," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 284(1), pages 13-22.
  18. Masoliver, Jaume & Montero, Miquel & Porrà, Josep M, 2000. "A dynamical model describing stock market price distributions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 283(3), pages 559-567.
  19. Wang, Ke-Gang & Masoliver, Jaume, 1996. "Linear oscillators driven by Gaussian colored noise: crossovers and probability distributions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 231(4), pages 615-630.
  20. Boguñá, Marián & Porrà, Josep M. & Masoliver, Jaume & Weiss, George H., 1996. "Isotropization time for non-Markovian CTRWs," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 230(1), pages 149-155.
  21. Porrà, Josep M. & Weiss, George H. & Masoliver, Jaume, 1995. "A diffusion model incorporating anisotropic properties," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 218(1), pages 229-236.
  22. Masoliver, Jaume & Weiss, George H., 1993. "On the maximum displacement of a one-dimensional diffusion process described by the telegrapher's equation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 195(1), pages 93-100.
  23. Masoliver, Jaume & Weiss, George H., 1992. "First passage times for a generalized telegrapher's equation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 183(4), pages 537-548.
  24. Weiss, George H. & Masoliver, Jaume, 1991. "Nearest trap-particle distances in a one-dimensional CTRW model with a mobile trap," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 174(2), pages 209-213.
  25. Masoliver, Jaume & Lindenberg, Katja & Weiss, George H., 1989. "A continuous-time generalization of the persistent random walk," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 157(2), pages 891-898.
  26. Masoliver, Jaume & Weiss, George H., 1988. "First passage time statistics for some stochastic processes with superimposed shot noise," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 149(3), pages 395-405.

NEP Fields

7 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-ETS: Econometric Time Series (2) 2004-01-25 2005-02-13. Author is listed
  2. NEP-FIN: Finance (2) 2004-01-25 2005-02-13. Author is listed
  3. NEP-FMK: Financial Markets (1) 2005-02-13
  4. NEP-RMG: Risk Management (3) 2004-01-25 2009-09-26 2011-07-13. Author is listed
  5. NEP-UPT: Utility Models & Prospect Theory (1) 2009-09-26

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