Jaume Masoliver
Personal Details
First Name: Jaume
Middle Name:
Last Name: Masoliver
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RePEc Short-ID: pma277
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Homepage:
http://www.ub.edu/ffn/personal/jaume.php
Postal Address: Derpartament de Fisica Fonamental Universitat de Barcelona Diagonal, 647 08028 Barcelona Spain
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Affiliation
- Grup de Sistemes Estocástics i Dynámica Financera
Universitat de Barcelona - Location: Barcelona, Spain
Homepage: http://web.ffn.ub.es/node/6&id=1059
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Postal:
Handle: RePEc:edi:gefubes (more details at EDIRC)
Works
Working papers
- 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.
- 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.
- 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.
- 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.
- Jaume Masoliver & Josep Perello, 2009. "First-passage and risk evaluation under stochastic volatility," Papers 0902.2735, 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.
- Jaume Masoliver & Josep Perello, 2008. "The escape problem under stochastic volatility: the Heston model," Papers 0807.1014, arXiv.org.
- Jaume Masoliver & Josep Perello, 2006. "Extreme times for volatility processes," Papers physics/0609136, arXiv.org, revised May 2007.
- Zoltan Eisler & Josep Perello & Jaume Masoliver, 2006. "Volatility: a hidden Markov process in financial time series," Papers physics/0612084, arXiv.org, revised Jul 2007.
- Miquel Montero & Jaume Masoliver, 2006.
"Mean Exit Time and Survival Probability within the CTRW Formalism,"
Papers
physics/0607268, arXiv.org, revised Oct 2006.
- 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.
- 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.
- 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.
- 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.
- Jaume Masoliver & Miquel Montero & Josep Perello, 2004. "Extreme times in financial markets," Papers cond-mat/0406556, 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.
- 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.
- 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 & 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 & George H. Weiss, 2002. "A continuous time random walk model for financial distributions," Papers cond-mat/0210513, arXiv.org.
- Josep Perello & Jaume Masoliver, 2002. "Stochastic volatility and leverage effect," Papers cond-mat/0202203, arXiv.org.
- 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.
- Jaume Masoliver & Miquel Montero & Josep M. Porra, 2000.
"A dynamical model describing stock market price distributions,"
Papers
cond-mat/0003357, arXiv.org.
- 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.
- 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.
- 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.
- 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.
Articles
- 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.
- 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.
- 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.
- 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.
- Miquel Montero & Jaume Masoliver, 2006. "Mean Exit Time and Survival Probability within the CTRW Formalism," Papers physics/0607268, arXiv.org, revised Oct 2006.
- 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.
- Jaume Masoliver & Josep Perello, 2005. "Multiple time scales and the exponential Ornstein-Uhlenbeck stochastic volatility model," Papers cond-mat/0501639, arXiv.org.
- 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.
- 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.
- 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.
- 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.
- 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.
- Josep Perello & Jaume Masoliver & Napoleon Anento, 2003. "A comparison between several correlated stochastic volatility models," Papers cond-mat/0312121, arXiv.org.
- 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.
- 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.
- 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.
- 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.
- Jaume Masoliver & Miquel Montero & Josep Perello, 2001. "Return or stock price differences," Papers cond-mat/0111529, arXiv.org.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- Jaume Masoliver & Miquel Montero & Josep M. Porra, 2000. "A dynamical model describing stock market price distributions," Papers cond-mat/0003357, arXiv.org.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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):- NEP-ETS: Econometric Time Series (2) 2004-01-25 2005-02-13. Author is listed
- NEP-FIN: Finance (2) 2004-01-25 2005-02-13. Author is listed
- NEP-FMK: Financial Markets (1) 2005-02-13
- NEP-RMG: Risk Management (3) 2004-01-25 2009-09-26 2011-07-13. Author is listed
- NEP-UPT: Utility Models & Prospect Theory (1) 2009-09-26
Statistics
Most cited item
- 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.
Most downloaded item (past 12 months)
- 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.
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