170 citations · 1.2k across the 37 of their papers we have counts for
4 papers · 1 filter
Uncertain growth and the value of the future
Jaume Masoliver, Miquel Montero, Josep Perelló +2
For environmental problems such as global warming future costs must be balanced against present costs. This is traditionally done using an exponential function with a constant disc…
Scaling properties and universality of first-passage time probabilities in financial markets
Josep Perelló, Mario Gutiérrez-Roig, Jaume Masoliver
Financial markets provide an ideal frame for the study of crossing or first-passage time events of non-Gaussian correlated dynamics mainly because large data sets are available. Ti…
First-passage and risk evaluation under stochastic volatility
Jaume Masoliver, Josep Perello
We solve the first-passage problem for the Heston random diffusion model. We obtain exact analytical expressions for the survival and hitting probabilities to a given level of retu…
The escape problem under stochastic volatility: the Heston model
Jaume Masoliver, Josep Perello
We solve the escape problem for the Heston random diffusion model. We obtain exact expressions for the survival probability (which ammounts to solving the complete escape problem)…