Josep Perelló

University of Barcelona - Department of Physics

Dr.

Diagonal, 647

Barcelona, E-08028

Spain

  • University of Barcelona - Department of Physics

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    • Tel: +34 9 34021150
    • Fax: +34 34021149
SCHOLARLY PAPERS

15

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8

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7

Scholarly Papers (15)

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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 355 (116,145)
Citation 3

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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 340 (121,855)
Citation 1

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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
Josep Perelló, Jaume Masoliver and Jean-Philippe Bouchaud
University of Barcelona - Department of Physics, University of Barcelona - Department of Physics and Capital Fund Management
Downloads 298 (140,045)
Citation 4

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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 287 (145,655)
Citation 2

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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
J. Doyne Farmer, John Geanakoplos, Jaume Masoliver, Miquel Montero and Josep Perelló
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 248 (168,581)
Citation 3

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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 223 (186,541)

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

7.

The Ctrw in Finance: Direct and Inverse Problems

Number of pages: 17 Posted: 10 Oct 2003
Jaume Masoliver, Miquel Montero, Josep Perelló and George H. Weiss
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 125 (303,599)
Citation 3

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random walks, financial markets, volatility, trading activity

8.

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

Downloads 123 (307,132)

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

Number of pages: 7 Posted: 13 Dec 2004
Hans-Peter Bermin, Arturo Kohatsu-Higa and Josep Perelló
Lund University, Department of Economics, Universitat Pompeu Fabra - Faculty of Economic and Business Sciences and University of Barcelona - Department of Physics
Downloads 123 (308,557)
Citation 1

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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
Hans-Peter Bermin, Arturo Kohatsu-Higa and Josep Perelló
Lund University, Department of Economics, Universitat Pompeu Fabra - Faculty of Economic and Business Sciences and University of Barcelona - Department of Physics

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American put, Black-Scholes pricing, computational methods

9.

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

Number of pages: 11 Posted: 18 Jul 2005
Miquel Montero, Josep Perelló, Jaume Masoliver, Fabrizio Lillo, Salvatore Miccichè and Rosario N. Mantegna
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 95 (365,903)

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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 76 (418,149)
Citation 1

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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
Jaume Masoliver, Miquel Montero, Josep Perelló, John Geanakoplos and J. Doyne Farmer
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 73 (427,475)

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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
Luigi Palatella, Josep Perelló, Miquel Montero and Jaume Masoliver
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 (450,870)

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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
Josep Perelló, Jaume Masoliver, Andrzej Kasprzak and Ryszard Kutner
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 55 (492,090)

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intertransaction, high-frequency, model

14.

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 41 (554,922)

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15.

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 40 (559,943)

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