247 citations · 1.2k across the 33 of their papers we have counts for
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math-ph2012★ 36 cited
First-passage and escape problems in the Feller process
Jaume Masoliver, Josep Perelló
The Feller process is an one-dimensional diffusion process with linear drift and state-dependent diffusion coefficient vanishing at the origin. The process is positive definite and…
q-fin.CP2012★ 2 cited
Maximum likelihood approach for several stochastic volatility models
Jordi Camprodon, Josep Perelló
Volatility measures the amplitude of price fluctuations. Despite it is one of the most important quantities in finance, volatility is not directly observable. Here we apply a maxim…