247 citations · 487 across the 9 of their papers we have counts for
9 papers
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)…
Option pricing under stochastic volatility: the exponential Ornstein-Uhlenbeck model
Josep Perello, Ronnie Sircar, Jaume Masoliver
We study the pricing problem for a European call option when the volatility of the underlying asset is random and follows the exponential Ornstein-Uhlenbeck model. The random diffu…
A model for interevent times with long tails and multifractality in human communications: An application to financial trading
J. Perello, J. Masoliver, A. Kasprzak +1
Social, technological and economic time series are divided by events which are usually assumed to be random albeit with some hierarchical structure. It is well known that the inter…
The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows
Carl Chiarella, Giulia Iori, Josep Perello
In this paper we develop a model of an order-driven market where traders set bids and asks and post market or limit orders according to exogenously fixed rules. Agents are assumed…
Volatility: a hidden Markov process in financial time series
Zoltan Eisler, Josep Perello, Jaume Masoliver
The volatility characterizes the amplitude of price return fluctuations. It is a central magnitude in finance closely related to the risk of holding a certain asset. Despite its po…
The continuous time random walk formalism in financial markets
J. Masoliver, M. Montero, J. Perello +1
We adapt continuous time random walk (CTRW) formalism to describe asset price evolution and discuss some of the problems that can be treated using this approach. We basically focus…