Access Statistics for Josep Perelló

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A comparison between several correlated stochastic volatility models 2 6 8 8 2 7 11 11
A model for interevent times with long tails and multifractality in human communications: An application to financial trading 1 2 2 2 1 3 5 5
Activity autocorrelation in financial markets. A comparative study between several models 3 6 7 7 4 8 11 11
Black-Scholes option pricing within Ito and Stratonovich conventions 1 8 13 13 2 18 34 34
Downside Risk analysis applied to Hedge Funds universe 2 5 8 8 4 9 14 14
Entropy of the Nordic electricity market: anomalous scaling, spikes, and mean-reversion 1 4 5 5 4 11 15 15
Extreme times for volatility processes 1 1 2 2 1 2 3 3
Extreme times in financial markets 1 2 2 2 1 4 6 6
First-passage and risk evaluation under stochastic volatility 1 2 9 9 1 6 18 18
Hints for an extension of the early exercise premium formula for American options 2 3 3 3 3 5 6 6
Market memory and fat tail consequences in option pricing on the expOU stochastic volatility model 2 5 7 7 3 8 19 19
Multiple time scales and the exponential Ornstein-Uhlenbeck stochastic volatility model 3 10 19 19 5 15 34 34
Multiple time scales in volatility and leverage correlation: A stochastic volatility model 3 7 28 201 7 17 80 424
Multiple time scales in volatility and leverage correlations: An stochastic volatility model 1 2 2 2 1 2 2 2
Option pricing under stochastic volatility: the exponential Ornstein-Uhlenbeck model 4 8 15 15 11 18 36 36
Return or stock price differences 1 2 4 4 2 4 11 11
Scaling and data collapse for the mean exit time of asset prices 2 4 5 5 4 12 17 17
Stochastic volatility and leverage effect 3 4 6 6 4 6 9 9
The CTRW in finance: Direct and inverse problems with some generalizations and extensions 3 4 5 5 7 9 11 11
The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows 2 2 4 4 3 8 16 16
The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows 2 3 15 36 6 11 39 86
The continuous time random walk formalism in financial markets 1 5 8 8 2 8 13 13
The continuous time random walk formalism in financial markets 0 0 0 401 11 31 138 1,347
The escape problem under stochastic volatility: the Heston model 1 2 4 4 2 3 7 7
Volatility: a hidden Markov process in financial time series 2 3 6 6 5 7 17 17
Total Working Papers 45 100 187 782 96 232 572 2,172

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Multiple time scales in volatility and leverage correlations: a stochastic volatility model 1 1 6 46 1 2 15 164
The continuous time random walk formalism in financial markets 2 3 16 70 2 5 23 150
Total Journal Articles 3 4 22 116 3 7 38 314

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Statistics updated 2010-03-03