# Jaume Masoliver

### Contents:

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## Personal Details

First Name: | Jaume |

Middle Name: | |

Last Name: | Masoliver |

Suffix: | |

RePEc Short-ID: | pma277 |

http://www.ub.edu/ffn/personal/jaume.php | |

Derpartament de Fisica Fonamental Universitat de Barcelona Diagonal, 647 08028 Barcelona Spain | |

- 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 Perell\'o & John Geanakoplos & J. Doyne Farmer, 2013.
"
**Uncertain growth and the value of the future**," Papers 1311.4068, arXiv.org.- Jaume Masoliver & Miquel Montero & Josep Perello & John Geanakoplos, 2013.
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**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 Perello & John Geanakoplos, 2013.
"
- Josep Perell\'o & Mario Guti\'errez-Roig & Jaume Masoliver, 2011.
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**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.
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**First-passage and risk evaluation under stochastic volatility**," Papers 0902.2735, arXiv.org. - Jaume Masoliver & Josep Perello, 2008.
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**The escape problem under stochastic volatility: the Heston model**," Papers 0807.1014, arXiv.org. - 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. - 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. - Jaume Masoliver & Josep Perello, 2006.
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**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. - Josep Perello & Miquel Montero & Luigi Palatella & Ingve Simonsen & Jaume Masoliver, 2006.
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**Entropy of the Nordic electricity market: anomalous scaling, spikes, and mean-reversion**," Papers physics/0609066, arXiv.org. - Miquel Montero & Jaume Masoliver, 2006.
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**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;EDP Sciences, vol. 57(2), pages 181-185, 05.

- M. Montero & J. Masoliver, 2007.
"
- 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 & Josep Perello, 2006.
"
- Miquel Montero & Josep Perello & Jaume Masoliver & Fabrizio Lillo & Salvatore Micciche & Rosario N. Mantegna, 2005.
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**Scaling and data collapse for the mean exit time of asset prices**," Papers physics/0507054, arXiv.org. - Jaume Masoliver & Miquel Montero & Josep Perello, 2004.
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**Extreme times in financial markets**," Papers cond-mat/0406556, arXiv.org. - Josep Perello & Jaume Masoliver & Napoleon Anento, 2003.
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**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.

- Perelló, Josep & Masoliver, Jaume & Anento, Napoleón, 2004.
"
- 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.

- Masoliver, Jaume & Montero, Miquel & Perelló, Josep & Weiss, George H., 2007.
"
- 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.

- Josep Perello & Jaume Masoliver & Jean-Philippe Bouchaud, 2004.
"
- 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. - 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.

- Montero, Miquel & Perelló, Josep & Masoliver, Jaume, 2002.
"
- 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.

- Perelló, J & Porrà, J.M & Montero, M & Masoliver, J, 2000.
"
- 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.

- Masoliver, Jaume & Montero, Miquel & Porrà, Josep M, 2000.
"
- 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.

- Masoliver, Jaume & Montero, Miquel & Perello, Josep & Weiss, George H., 2006.
"

- 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;EDP Sciences, 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.

- Jaume Masoliver & Miquel Montero & Josep Perello & George H. Weiss, 2003.
"
- 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;EDP Sciences, 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.

- Miquel Montero & Jaume Masoliver, 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.- 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.

- J. Masoliver & M. Montero & J. Perello & G. H. Weiss, 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.

- Jaume Masoliver & Josep Perello, 2005.
"
- 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. - M. Boguñá & J. Masoliver, 2004.
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**Conditional dynamics driving financial markets**," The European Physical Journal B - Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 40(3), pages 347-352, August. - 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.

- Josep Perello & Jaume Masoliver & Napoleon Anento, 2003.
"
- 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 correlation: A stochastic volatility model**," Science & Finance (CFM) working paper archive 50001, Science & Finance, Capital Fund Management. - 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.
"
- 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. - Perelló, Josep & Masoliver, Jaume, 2002.
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**The effect of non-ideal market conditions on option pricing**," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 308(1), pages 420-442. - 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.

- Jaume Masoliver & Miquel Montero & Josep Perello, 2001.
"
- 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.

- J. Perello & J. M. Porra & M. Montero & J. Masoliver, 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.

- Jaume Masoliver & Miquel Montero & Josep M. Porra, 2000.
"
- Wang, Ke-Gang & Masoliver, Jaume, 1996.
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**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.
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**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.
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**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.
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**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.
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**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.

8 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-HIS: Business, Economic & Financial History (1) 2014-07-21
- 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

#### Most cited item

- Jaume Masoliver & Miquel Montero & George H. Weiss, 2002.
"
**A continuous time random walk model for financial distributions**," Papers cond-mat/0210513, arXiv.org.

#### Most downloaded item (past 12 months)

- 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.

#### Access and download statistics for all items

#### Co-authorship network on CollEc

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