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Josep Perelló

This is information that was supplied by Josep Perelló in registering through RePEc. If you are Josep Perelló, 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:Josep
Middle Name:
Last Name:Perelló
RePEc Short-ID:ppe74
Departament de Física Fonamental Universitat de Barcelona Diagonal, 647 Barcelona E-08028 (Spain)
0034 (9)3 402 11 50
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  1. Jaume Masoliver & Josep Perello, 2009. "First-passage and risk evaluation under stochastic volatility," Papers 0902.2735,
  2. Jaume Masoliver & Josep Perello, 2008. "The escape problem under stochastic volatility: the Heston model," Papers 0807.1014,
  3. 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,, revised Jul 2008.
  4. Josep Perello & Ronnie Sircar & Jaume Masoliver, 2008. "Option pricing under stochastic volatility: the exponential Ornstein-Uhlenbeck model," Papers 0804.2589,, revised May 2008.
  5. Carl Chiarella & Giulia Iori & Josep Perello, 2007. "The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows," Papers 0711.3581,
  6. Josep Perello, 2006. "Downside Risk analysis applied to Hedge Funds universe," Papers physics/0610162,, revised Apr 2007.
  7. Josep Perello, 2006. "Market memory and fat tail consequences in option pricing on the expOU stochastic volatility model," Papers physics/0607265,
  8. 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,
  9. Jaume Masoliver & Josep Perello, 2006. "Extreme times for volatility processes," Papers physics/0609136,, revised May 2007.
  10. Zoltan Eisler & Josep Perello & Jaume Masoliver, 2006. "Volatility: a hidden Markov process in financial time series," Papers physics/0612084,, revised Jul 2007.
  11. 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,
  12. Jaume Masoliver & Josep Perello, 2005. "Multiple time scales and the exponential Ornstein-Uhlenbeck stochastic volatility model," Papers cond-mat/0501639,
  13. 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,
  14. Jaume Masoliver & Miquel Montero & Josep Perello, 2004. "Extreme times in financial markets," Papers cond-mat/0406556,
  15. Josep Perello & Jaume Masoliver & Napoleon Anento, 2003. "A comparison between several correlated stochastic volatility models," Papers cond-mat/0312121,
  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,, revised Nov 2006.
  17. Luigi Palatella & Josep Perello & Miquel Montero & Jaume Masoliver, 2003. "Activity autocorrelation in financial markets. A comparative study between several models," Papers cond-mat/0312489,
  18. 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.
  19. Josep Perello & Jaume Masoliver, 2002. "Stochastic volatility and leverage effect," Papers cond-mat/0202203,
  20. Jaume Masoliver & Miquel Montero & Josep Perello, 2001. "Return or stock price differences," Papers cond-mat/0111529,
  21. J. Perello & J. M. Porra & M. Montero & J. Masoliver, 2000. "Black-Scholes option pricing within Ito and Stratonovich conventions," Papers physics/0001040,, revised Apr 2000.
  22. 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.
  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, vol. 61(4), pages 577-598, December.
  2. 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.
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 4 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  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-RMG: Risk Management (2) 2004-01-25 2009-09-26. Author is listed
  4. NEP-FMK: Financial Markets (1) 2005-02-13. Author is listed
  5. NEP-UPT: Utility Models & Prospect Theory (1) 2009-09-26. Author is listed

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