Jaume Masoliver

University of Barcelona - Department of Physics

Barcelona, E-08028

Spain

SCHOLARLY PAPERS

15

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1,988

CITATIONS
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Top 27,152

in Total Papers Citations

15

Scholarly Papers (15)

1.

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 320 (92,806)
Citation 1

Abstract:

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random diffusion, hidden markov process, stochastic volatility

2.

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 282 (106,465)
Citation 3

Abstract:

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

3.

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 (106,829)
Citation 3

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Stochastic volatility model, long memory, volatility autocorrelation

4.

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 - Cowles Foundation, University of Barcelona - Department of Physics, University of Barcelona - Departament de Física de la Matèria Condensada and University of Barcelona - Department of Physics
Downloads 220 (137,081)
Citation 3

Abstract:

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

5.

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 213 (141,397)
Citation 2

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

6.

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 (237,693)
Citation 1

Abstract:

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random walks, financial markets, volatility, trading activity

7.

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 93 (274,679)
Citation 1

Abstract:

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Continuous time random walk, mean exit time, Markov process

8.

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 74 (315,534)
Citation 1

Abstract:

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9.

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 - Cowles Foundation and University of Oxford - Institute for New Economic Thinking at the Oxford Martin School
Downloads 69 (327,891)

Abstract:

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stochastic processes, environmental economics, Ornstein-Uhlenbeck, discount

10.

Mean Exit Time and Survival Probability within the Ctrw Formalism

Number of pages: 11 Posted: 09 Nov 2006
Miquel Montero and Jaume Masoliver
University of Barcelona - Departament de Física de la Matèria Condensada and University of Barcelona - Department of Physics
Downloads 69 (327,891)

Abstract:

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Continuous Time Random Walks, Markov Processes, Mean Exit Time, Risk Measures, Survival Probability

11.

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 (335,791)

Abstract:

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Financial markets, time series analysis, market microsture, activity

12.

Non-Independent Continuous Time Random Walks

Number of pages: 24 Posted: 01 Aug 2007
Miquel Montero and Jaume Masoliver
University of Barcelona - Departament de Física de la Matèria Condensada and University of Barcelona - Department of Physics
Downloads 64 (341,208)

Abstract:

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Stochastic processes, Markov processes, Random walks, CTRW, Approximations

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 51 (380,314)
Citation 1

Abstract:

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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 (427,269)
Citation 1

Abstract:

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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 (447,909)
Citation 2

Abstract:

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