# Jaume Masoliver

### Contents:

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 |

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.
"
**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.
"
**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. - Jaume Masoliver & Josep Perello, 2008.
"
**The escape problem under stochastic volatility: the Heston model**," Papers 0807.1014, 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. - 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. - Jaume Masoliver & Josep Perello, 2006.
"
**Extreme times for volatility processes**," Papers physics/0609136, arXiv.org, revised May 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;EDP Sciences, vol. 57(2), pages 181-185, 05.

- M. Montero & J. Masoliver, 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 & 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 & Josep Perello, 2006.
"
- Jaume Masoliver & Miquel Montero & Josep Perello, 2004.
"
**Extreme times in financial markets**," Papers cond-mat/0406556, arXiv.org. - 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.

- 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.
"
- 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.

- Josep Perello & Jaume Masoliver & Jean-Philippe Bouchaud, 2004.
"
- 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, "undated".
"
**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.
"
- 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.
"
- 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, "undated".
"
**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.
"
- 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.
"
**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. - 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 & 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.
"
- 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.
"
**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. - 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.
"
- 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 & 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. - 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. - 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 is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 8 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.

- NEP-RMG:
**Risk Management**(3) 2004-01-25 2009-09-26 2011-07-13. Author is listed - 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-UPT: Utility Models & Prospect Theory (1) 2009-09-26

#### 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)

- 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.

#### Access and download statistics for all items

#### Co-authorship network on CollEc

For general information on how to correct material on RePEc, see these instructions.

To update listings or check citations waiting for approval, Jaume Masoliver should log into the RePEc Author Service

To make corrections to the bibliographic information of a particular item, find the technical contact on the abstract page of that item. There, details are also given on how to add or correct references and citations.

To link different versions of the same work, where versions have a different title, use this form. Note that if the versions have a very similar title and are in the author's profile, the links will usually be created automatically.

Please note that most corrections can take a couple of weeks to filter through the various RePEc services.