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Perelló, Josep's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
1,822 |
Total
Citations
10 |
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1.
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Perelló, Josep
University of Barcelona - Department of Physics
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321
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3
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Hedge Funds, Downside Risk, CAPM
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2.
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Eisler, Zoltan
Capital Fund Management Perelló, Josep
University of Barcelona - Department of Physics Masoliver, Jaume
University of Barcelona - Department of Physics
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271
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random diffusion, hidden markov process, stochastic volatility
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3.
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Masoliver, Jaume
University of Barcelona - Department of Physics Perelló, Josep
University of Barcelona - Department of Physics
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259
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1
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Stochastic volatility model, long memory, volatility autocorrelation
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4.
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Perelló, Josep
University of Barcelona - Department of Physics Masoliver, Jaume
University of Barcelona - Department of Physics Bouchaud , Jean-Philippe
Centre d'Etudes de Saclay (CEA) - Service de Physique de l'Etat Condense (SPEC)
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253
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5
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financial markets, stochastic volatility model, leverage correlation, volatility autocorrelation
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5.
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Perelló, Josep
University of Barcelona - Department of Physics Masoliver, Jaume
University of Barcelona - Department of Physics
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203
(73,685)
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1
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Option pricing, Ornstein-Uhlenbeck, Market model, inefficient market, Black-Scholes
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6.
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Hints for an Extension of the Early Exercise Premium Formula for American Options
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Bermin, Hans-Peter
Lund University, Department of Economics Kohatsu-Higa, Arturo
Universitat Pompeu Fabra - Faculty of Economic and Business Sciences Perelló, Josep
University of Barcelona - Department of Physics
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Posted:
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13 Dec 04
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Last Revised:
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27 Jul 07
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108
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Bermin, Hans-Peter
Lund University, Department of Economics Kohatsu-Higa, Arturo
Universitat Pompeu Fabra - Faculty of Economic and Business Sciences Perelló, Josep
University of Barcelona - Department of Physics
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0
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American put, Black-Scholes pricing, computational methods
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Bermin, Hans-Peter
Lund University, Department of Economics Kohatsu-Higa, Arturo
Universitat Pompeu Fabra - Faculty of Economic and Business Sciences Perelló, Josep
University of Barcelona - Department of Physics
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108
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American put, Black-Scholes pricing, computational methods
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7.
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Masoliver, Jaume
University of Barcelona - Department of Physics Montero, Miquel
University of Barcelona - Department de Física Fonamental Perelló, Josep
University of Barcelona - Department of Physics Weiss, George H.
Government of the United States of America - Center for Information Technology
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97
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random walks, financial markets, volatility, trading activity
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8.
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Montero, Miquel
University of Barcelona - Department de Física Fonamental Perelló, Josep
University of Barcelona - Department of Physics Masoliver, Jaume
University of Barcelona - Department of Physics Lillo, Fabrizio
University of Palermo Miccichè, Salvatore
University of Palermo - Department of Physics Mantegna, Rosario N.
Central European University
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88
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Continuous time random walk, mean exit time, Markov process
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9.
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Masoliver, Jaume
University of Barcelona - Department of Physics Perelló, Josep
University of Barcelona - Department of Physics
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67
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10.
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Palatella, Luigi
Universita di Pisa Perelló, Josep
University of Barcelona - Department of Physics Montero, Miquel
University of Barcelona - Department de Física Fonamental Masoliver, Jaume
University of Barcelona - Department of Physics
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61
(182,228)
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Financial markets, time series analysis, market microsture, activity
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11.
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Perelló, Josep
University of Barcelona - Department of Physics Masoliver, Jaume
University of Barcelona - Department of Physics Kasprzak, Andrzej
University of Warsaw - Faculty of Physics Kutner, Ryszard
University of Warsaw - Faculty of Physics
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37
(226,243)
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intertransaction, high-frequency, model
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12.
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Perelló, Josep
University of Barcelona - Department of Physics Masoliver, Jaume
University of Barcelona - Department of Physics
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34
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stochastic volatility, mean first-passage time, Exponential Ornstein Uhlenbeck
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13.
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Perelló, Josep
University of Barcelona - Department of Physics Sircar, Ronnie
Princeton University - Department of Operations Research and Financial Engineering Masoliver, Jaume
University of Barcelona - Department of Physics
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23
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