Josep Perelló

University of Barcelona - Department of Physics

Dr.

Diagonal, 647

Barcelona, E-08028

Spain

SCHOLARLY PAPERS

15

DOWNLOADS
Rank 21,448

SSRN RANKINGS

Top 21,448

in Total Papers Downloads

2,339

SSRN CITATIONS
Rank 41,078

SSRN RANKINGS

Top 41,078

in Total Papers Citations

7

CROSSREF CITATIONS

7

Scholarly Papers (15)

1.

Downside Risk Analysis Applied to the Hedge Funds Universe

Number of pages: 25 Posted: 27 Jul 2007
Josep Perelló
University of Barcelona - Department of Physics
Downloads 345 (90,929)
Citation 2

Abstract:

Loading...

Hedge Funds, Downside Risk, CAPM

2.

Volatility: A Hidden Markov Process in Financial Time Series

Number of pages: 17 Posted: 27 Jul 2007
Zoltan Eisler, Josep Perelló and Jaume Masoliver
Capital Fund Management, University of Barcelona - Department of Physics and University of Barcelona - Department of Physics
Downloads 326 (96,822)
Citation 1

Abstract:

Loading...

random diffusion, hidden markov process, stochastic volatility

3.

Multiple Time Scales in Volatility and Leverage Correlations: An Stochastic Volatility Model

Applied Mathematical Finance, Vol. 11, 2004
Number of pages: 19 Posted: 14 Oct 2003 Last Revised: 16 Nov 2013
University of Barcelona - Department of Physics, University of Barcelona - Department of Physics and Capital Fund Management
Downloads 282 (113,342)
Citation 4

Abstract:

Loading...

financial markets, stochastic volatility model, leverage correlation, volatility autocorrelation

4.

Multiple Time Scales and the Exponential Ornstein-Uhlenbeck Stochastic Volatility Model

Number of pages: 24 Posted: 26 Jan 2005
Jaume Masoliver and Josep Perelló
University of Barcelona - Department of Physics and University of Barcelona - Department of Physics
Downloads 281 (113,778)
Citation 2

Abstract:

Loading...

Stochastic volatility model, long memory, volatility autocorrelation

5.

Discounting the Distant Future

Cowles Foundation Discussion Paper No. 1951
Number of pages: 32 Posted: 16 Jul 2014
University of Oxford - Institute for New Economic Thinking at the Oxford Martin School, Yale University, University of Barcelona - Department of Physics, University of Barcelona - Departament de Física de la Matèria Condensada and University of Barcelona - Department of Physics
Downloads 231 (139,070)
Citation 3

Abstract:

Loading...

Discounting, Environment, Interest rates, Inflation, Ornstein-Uhlenbeck process

6.

Option Pricing and Hedging on Correlated Stocks

Number of pages: 40 Posted: 19 Dec 2003
Josep Perelló and Jaume Masoliver
University of Barcelona - Department of Physics and University of Barcelona - Department of Physics
Downloads 214 (149,595)

Abstract:

Loading...

Option pricing, Ornstein-Uhlenbeck, Market model, inefficient market, Black-Scholes

Hints for an Extension of the Early Exercise Premium Formula for American Options

Number of pages: 7 Posted: 13 Dec 2004
Lund University, Department of Economics, Universitat Pompeu Fabra - Faculty of Economic and Business Sciences and University of Barcelona - Department of Physics
Downloads 115 (253,298)
Citation 1

Abstract:

Loading...

American put, Black-Scholes pricing, computational methods

Hints for an Extension of the Early Exercise Premium Formula for American Options

Physica A, Vol. 355, pp. 152-157, 2005
Posted: 12 Dec 2006
Lund University, Department of Economics, Universitat Pompeu Fabra - Faculty of Economic and Business Sciences and University of Barcelona - Department of Physics

Abstract:

Loading...

American put, Black-Scholes pricing, computational methods

8.

The Ctrw in Finance: Direct and Inverse Problems

Number of pages: 17 Posted: 10 Oct 2003
University of Barcelona - Department of Physics, University of Barcelona - Departament de Física de la Matèria Condensada, University of Barcelona - Department of Physics and Government of the United States of America - Center for Information Technology
Downloads 115 (252,090)
Citation 1

Abstract:

Loading...

random walks, financial markets, volatility, trading activity

9.

Scaling and Data Collapse for the Mean Exit Time of Asset Prices

Number of pages: 11 Posted: 18 Jul 2005
University of Barcelona - Departament de Física de la Matèria Condensada, University of Barcelona - Department of Physics, University of Barcelona - Department of Physics, Università di Bologna, University of Palermo - Department of Physics and Chemistry and University of Palermo
Downloads 94 (289,290)

Abstract:

Loading...

Continuous time random walk, mean exit time, Markov process

10.

The Escape Problem Under Stochastic Volatility: The Heston Model

Number of pages: 29 Posted: 22 Jul 2008
Jaume Masoliver and Josep Perelló
University of Barcelona - Department of Physics and University of Barcelona - Department of Physics
Downloads 75 (331,869)
Citation 1

Abstract:

Loading...

11.

Uncertain Growth and the Value of the Future

Cowles Foundation Discussion Paper No. 1930
Number of pages: 9 Posted: 18 Nov 2013 Last Revised: 18 Dec 2013
University of Barcelona - Department of Physics, University of Barcelona - Departament de Física de la Matèria Condensada, University of Barcelona - Department of Physics, Yale University and University of Oxford - Institute for New Economic Thinking at the Oxford Martin School
Downloads 72 (339,504)

Abstract:

Loading...

stochastic processes, environmental economics, Ornstein-Uhlenbeck, discount

12.

Activity Autocorrelation in Financial Markets' a Comparative Study between Several Models

European Physical Journal, Vol. 38, pp. 671-677
Number of pages: 15 Posted: 20 Jul 2005
Universita di Pisa, University of Barcelona - Department of Physics, University of Barcelona - Departament de Física de la Matèria Condensada and University of Barcelona - Department of Physics
Downloads 66 (355,852)

Abstract:

Loading...

Financial markets, time series analysis, market microsture, activity

13.

A Model for Interevent Times with Long Tails and Multifractality in Human Communications: An Application to Financial Trading

Number of pages: 25 Posted: 22 Jul 2008
University of Barcelona - Department of Physics, University of Barcelona - Department of Physics, University of Warsaw - Faculty of Physics and University of Warsaw - Faculty of Physics
Downloads 52 (399,555)

Abstract:

Loading...

intertransaction, high-frequency, model

14.

Extreme Times for Volatility Processes

Number of pages: 29 Posted: 09 May 2007
Josep Perelló and Jaume Masoliver
University of Barcelona - Department of Physics and University of Barcelona - Department of Physics
Downloads 38 (452,815)

Abstract:

Loading...

stochastic volatility, mean first-passage time, Exponential Ornstein Uhlenbeck

15.

Option Pricing Under Stochastic Volatility: The Exponential Ornstein-Uhlenbeck Model

Journal of Statistical Mechanics, 2008
Number of pages: 27 Posted: 22 Jul 2008
Josep Perelló, Ronnie Sircar and Jaume Masoliver
University of Barcelona - Department of Physics, Princeton University - Department of Operations Research and Financial Engineering and University of Barcelona - Department of Physics
Downloads 33 (474,794)

Abstract:

Loading...