Details about Josep Perelló

Access statistics for papers by Josep Perelló.

Last updated 2009-12-07. Update your information in the RePEc Author Service.

Short-id: ppe74

Working Papers

2009

1. First-passage and risk evaluation under stochastic volatility
   Papers, arXiv.org View citations (8)

2008

2. A model for interevent times with long tails and multifractality in human communications: An application to financial trading
   Papers, arXiv.org View citations (7)
3. Option pricing under stochastic volatility: the exponential Ornstein-Uhlenbeck model
   Papers, arXiv.org View citations (14)
4. The escape problem under stochastic volatility: the Heston model
   Papers, arXiv.org View citations (9)

2007

5. Downside Risk analysis applied to Hedge Funds universe
   Papers, arXiv.org View citations (3)
6. Extreme times for volatility processes
   Papers, arXiv.org View citations (1)
7. The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows
   Papers, arXiv.org View citations (32)
8. Volatility: a hidden Markov process in financial time series
   Papers, arXiv.org View citations (2)

2006

9. Entropy of the Nordic electricity market: anomalous scaling, spikes, and mean-reversion
   Papers, arXiv.org View citations (9)
10. Market memory and fat tail consequences in option pricing on the expOU stochastic volatility model
    Papers, arXiv.org
11. The CTRW in finance: Direct and inverse problems with some generalizations and extensions
    Papers, arXiv.org View citations (2)
12. The continuous time random walk formalism in financial markets
    Papers, arXiv.org View citations (11)
    Also in Modeling, Computing, and Mastering Complexity 2003, Society for Computational Economics View citations (11)
    See also Journal Article The continuous time random walk formalism in financial markets, Journal of Economic Behavior & Organization, Elsevier (2006) View citations (10) (2006)

2005

13. Multiple time scales and the exponential Ornstein-Uhlenbeck stochastic volatility model
    Papers, arXiv.org View citations (6)
14. Scaling and data collapse for the mean exit time of asset prices
    Papers, arXiv.org View citations (4)

2004

15. Extreme times in financial markets
    Papers, arXiv.org View citations (4)
16. Hints for an extension of the early exercise premium formula for American options
    Papers, arXiv.org

2003

17. A comparison between several correlated stochastic volatility models
    Papers, arXiv.org View citations (1)
18. Activity autocorrelation in financial markets. A comparative study between several models
    Papers, arXiv.org
19. Multiple time scales in volatility and leverage correlation: A stochastic volatility model
    Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management View citations (1)
    Also in Papers, arXiv.org (2003) View citations (2)
    See also Journal Article Multiple time scales in volatility and leverage correlations: a stochastic volatility model, Applied Mathematical Finance, Taylor & Francis Journals (2004) View citations (23) (2004)

2002

20. Stochastic volatility and leverage effect
    Papers, arXiv.org View citations (2)

2001

21. Return or stock price differences
    Papers, arXiv.org

2000

22. Black-Scholes option pricing within Ito and Stratonovich conventions
    Papers, arXiv.org View citations (1)

Journal Articles

2006

1. The continuous time random walk formalism in financial markets
   Journal of Economic Behavior & Organization, 2006, 61, (4), 577-598 View citations (10)
   See also Working Paper The continuous time random walk formalism in financial markets, Papers (2006) View citations (11) (2006)

2004

2. Multiple time scales in volatility and leverage correlations: a stochastic volatility model
   Applied Mathematical Finance, 2004, 11, (1), 27-50 View citations (23)
   See also Working Paper Multiple time scales in volatility and leverage correlation: A stochastic volatility model, Science & Finance (CFM) working paper archive (2003) View citations (1) (2003)