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2004 | 2005 |
(last update: Julyl 2005)
Montero, M., J. Perelló, J. Masoliver, F. Lillo, S. Miccichè and R.N. Mantegna, 2005,
Scaling and data collapse for the mean exit time of asset prices, physics/0507054Masoliver, J. and J. Perelló, 2005, Multiple time scales and the exponential Ornstein-Uhlenbeck stochastic volatility model, cond-mat/0501639.
Masoliver, J., M. Montero and J. Perelló, 2005, The CTRWs in finance: the mean exit time, Proceedings Nikkei Conferences 2004 (Springer, in press).
Palatella, L., J. Perelló, M. Montero and J. Masoliver, 2005, Diffusion entropy technique applied to the study of the market activity, Physica A 355, 131-137.
Bermin, H.-P., A. Kohatsu-Higa, J. Perelló, 2005, Hints for an extension of the early exercise premium formula for American options, Physica A 355, 152-157.
Masoliver, J., M. Montero and J. Perelló, 2005, Extreme times in financial markets, Physical Review E 71, 056130 (6 pages).
Montero, M., 2004, Partial derivative for option pricing in a simple stochastic volatility model, European Physical Journal B 42, 141–153. Preliminar version available in cond-mat/0307759.
Palatella, L., J. Perelló, M. Montero and J. Masoliver, 2004, Activity autocorrelation in financial markets. A comparative study between several models, European Physical Journal B 38, 671-677. Preliminar version available in cond-mat/0312489.
Perelló, J., J. Masoliver and N. Anento, 2004, A comparison between correlated stochastic volatility models, Physica A 344, 134-137. Preliminar version available in cond-mat/031212.
Masoliver, J., M. Montero, J. Perelló and G. H. Weiss, 2004, The continuos time random walk formalism in financial markets, Journal of Economic Behaviour and Organization in press. Preliminar version available in RePEc:sce:cplx03:24.
Perelló, J., J. Masoliver, and J.-P. Bouchaud, 2004, Multiple time scales in volatility and leverage correlations: An stochastic volatility model, Applied Mathematical Finance 11, 27-50. Preliminar version available in cond-mat/0302095.
Masoliver, J., M. Montero, J. Perelló and G. H. Weiss, 2003, The CTRW in finance: Direct and inverse problems, cond-mat/0308017.
Masoliver, J., and J. Perelló, 2003, Option pricing and perfect hedging on correlated stocks, Physica A 330, 622-652.
Perelló, J., and J. Masoliver, 2003, Random diffusion and leverage effect in financial markets, Physical Review E 67, 037102 (4 pages).
Montero, M., and A. Kohatsu, 2003, Malliavin calculus applied to finance, Physica A 320, 548-570.
Bermin, H. P., A. Kohatsu-Higa, and M. Montero, 2003, Local Vega index and variance reduction methods, Mathematical Finance 13, 85-97.
Perelló, J., and J. Masoliver, 2002, The effect of non-ideal market conditions on option pricing, Physica A 308, 420-442.
Masoliver, J., and J. Perelló, 2002, A correlated stochastic volatility model measuring leverage and other stylized facts, International Journal of Theoretical and Applied Finance 5, 541-562.
Masoliver, J., M. Montero, and J. Perelló, 2002, Return or stock price differences, Physica A 316, 539-560.
Masoliver J., M. Montero, G. H. Weiss, 2002, A continuous time random walk model for financial distributions, Physical Review E 67, 021112 (10 pages).
Perelló, J., and J. Masoliver, 2002, Fat tails and colored noise in financial derivatives, Physica A 314, 736-742.
Boguñá, M., J. Masoliver, and G. H. Weiss, 2001, A discrete formulation of the theory of sojourn times in a two-state system, Physica A 289, 307-320.
Masoliver, J., Montero, M., McKane, A., 2001, Integrated random processes exhibiting long tails, finite moments, and power-law spectra, Physical Review E 64, 011110 (11 pages).
Weiss, G. H., and J. Masoliver, 2001, Statistics of dwell times in a reaction with randomly fluctuating rates, Physica A 296, 75-82.
Berezhkovskii, A. M., M. Boguñá and G. H. Weiss, 2001, Evaluation of Rate Constants for Conformational Transitions Using Single-Molecule Fluorescence Spectroscopy, Chemical Physics Letters 336, 321.
Boguñá, M., A. M. Berezhkovskii and G. H. Weiss, 2001, Rate Constants for Slow Conformational Transitions and their Sampling Errors using Single-Molecule Fluorescence Spectroscopy, J. Phys. Chem. A 105, 4898.
Boguñá, M., L. Kullman, S. M. Bezrukov, A. M. Berezhkovskii and G. H. Weiss, 2001, Rate Constants from Uncorrelated Single-Molecule Data, J. Phys. Chem. B 105, 6246.
Perelló, J., and J. Masoliver, 2001, Correlated stochastic volatility models and the leverage effect. Poster session: 3rd ``Applications of Physics to Financial Analysis (APFA)" conferences, London, 5-7 December 2001.
Boguñá, M., J. M. Porrà, and J. Masoliver, 2000, Continued fraction solution for the radiative transfer equation in three dimensions, Physical Review E 61, 6248-6254.
Perelló, J., J. M. Porrà, M. Montero, and J. Masoliver, 2000, Black-Scholes option pricing within Itô and Stratonovich conventions, Physica A 278, 260-274.
Masoliver, J., M. Montero and J. M. Porrà, 2000, A dynamical model describing stock market price distributions, Physica A 283, 559-567.
Boguñá, M., J. Masoliver, and G. H. Weiss, 2000, The asymptotic form of the probability density of sojourn times in randomly changing multistate systems, Physica A 284, 13-22.
Boguñá M., A. M. Berezhkovskii and G. H. Weiss, 2000, Residence Time Densities for Non-Markovian Systems 1. The Two-State System, Physica A 282, 475.
Boguñá, M., and G. H. Weiss, 2000, Residence Time Densities for Non-Markovian Systems 2. The N-State System, Physica A 282, 486.
Boguñá, M., A. M. Berezhkovskii and G. H. Weiss, 2000, Occupancy of a Single Site by Many Random Walkers, Physical Review E 62, 3250.
Boguñá, M., J. M. Porrà, and J. Masoliver, 1999, Persistent random walk model for transport through thin slabs, Physical Review E 59, 6517-6526.