IDEAS home Printed from https://ideas.repec.org/d/gefubes.html

Publications

by members of

Universitat de Barcelona → Grup de Sistemes Estocástics i Dynámica Financera

University of Barcelona → Group of Stochastic Systems and Financial Dynamics

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

2009

  1. Jaume Masoliver & Josep Perello, 2009, "First-passage and risk evaluation under stochastic volatility," Papers, arXiv.org, number 0902.2735, Feb.

2008

  1. Jaume Masoliver & Josep Perello, 2008, "The escape problem under stochastic volatility: the Heston model," Papers, arXiv.org, number 0807.1014, Jul.
  2. 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, arXiv.org, number 0805.1353, May, revised Jul 2008.
  3. Josep Perello & Ronnie Sircar & Jaume Masoliver, 2008, "Option pricing under stochastic volatility: the exponential Ornstein-Uhlenbeck model," Papers, arXiv.org, number 0804.2589, Apr, revised May 2008.

2007

  1. Carl Chiarella & Giulia Iori & Josep Perello, 2007, "The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows," Papers, arXiv.org, number 0711.3581, Nov.

2006

  1. Josep Perello & Miquel Montero & Luigi Palatella & Ingve Simonsen & Jaume Masoliver, 2006, "Entropy of the Nordic electricity market: anomalous scaling, spikes, and mean-reversion," Papers, arXiv.org, number physics/0609066, Sep.
  2. Josep Perello, 2006, "Market memory and fat tail consequences in option pricing on the expOU stochastic volatility model," Papers, arXiv.org, number physics/0607265, Jul.
  3. Zoltan Eisler & Josep Perello & Jaume Masoliver, 2006, "Volatility: a hidden Markov process in financial time series," Papers, arXiv.org, number physics/0612084, Dec, revised Jul 2007.
  4. Jaume Masoliver & Josep Perello, 2006, "Extreme times for volatility processes," Papers, arXiv.org, number physics/0609136, Sep, revised May 2007.
  5. Josep Perello, 2006, "Downside Risk analysis applied to Hedge Funds universe," Papers, arXiv.org, number physics/0610162, Oct, revised Apr 2007.

2005

  1. Jaume Masoliver & Josep Perello, 2005, "Multiple time scales and the exponential Ornstein-Uhlenbeck stochastic volatility model," Papers, arXiv.org, number cond-mat/0501639, Jan.
  2. 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, arXiv.org, number physics/0507054, Jul.

2004

  1. Jaume Masoliver & Miquel Montero & Josep Perello, 2004, "Extreme times in financial markets," Papers, arXiv.org, number cond-mat/0406556, Jun.
  2. Hans-Peter Bermin & Arturo Kohatsu-Higa & Josep Perello, 2004, "Hints for an extension of the early exercise premium formula for American options," Papers, arXiv.org, number cond-mat/0409319, Sep.

2003

  1. 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, Science & Finance, Capital Fund Management, number 50001, Feb.
  2. Jaume Masoliver & Miquel Montero & Josep Perello & George H. Weiss, 2003, "The CTRW in finance: Direct and inverse problems with some generalizations and extensions," Papers, arXiv.org, number cond-mat/0308017, Aug, revised Nov 2006.
  3. Luigi Palatella & Josep Perello & Miquel Montero & Jaume Masoliver, 2003, "Activity autocorrelation in financial markets. A comparative study between several models," Papers, arXiv.org, number cond-mat/0312489, Dec.
  4. Josep Perello & Jaume Masoliver & Napoleon Anento, 2003, "A comparison between several correlated stochastic volatility models," Papers, arXiv.org, number cond-mat/0312121, Dec.

2002

  1. Josep Perello & Jaume Masoliver, 2002, "Stochastic volatility and leverage effect," Papers, arXiv.org, number cond-mat/0202203, Feb.

2001

  1. Jaume Masoliver & Miquel Montero & Josep Perello, 2001, "Return or stock price differences," Papers, arXiv.org, number cond-mat/0111529, Nov.

2000

  1. J. Perello & J. M. Porra & M. Montero & J. Masoliver, 2000, "Black-Scholes option pricing within Ito and Stratonovich conventions," Papers, arXiv.org, number physics/0001040, Jan, revised Apr 2000.

Undated

  1. Jaume Masoliver & Miquel Montero & Josep Perello, undated, "The continuous time random walk formalism in financial markets," Modeling, Computing, and Mastering Complexity 2003, Society for Computational Economics, number 24.

Journal articles

2006

  1. 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, volume 61, issue 4, pages 577-598, December.

2004

  1. 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, volume 11, issue 1, pages 27-50, DOI: 10.1080/1350486042000196155.

IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.