J. Masoliver

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List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Valuing the distant future under stochastic resettings: the effect on discounting Journal of Physics A: Mathematical and Theoretical	2023-02-20	Paper
Option pricing under stochastic volatility: the exponential Ornstein-Uhlenbeck model Journal of Statistical Mechanics: Theory and Experiment	2021-03-11	Paper
Statistical analysis and stochastic interest rate modeling for valuing the future with implications in climate change mitigation Journal of Statistical Mechanics: Theory and Experiment	2020-11-19	Paper
Random Processes	2018-07-13	Paper
First-passage and escape problems in the Feller process	2012-09-13	Paper
Scaling properties and universality of first-passage time probabilities in financial markets	2011-07-06	Paper
Integrability and chaos: the classical uncertainty European Journal of Physics	2011-06-22	Paper
Higher-order phase transitions on financial markets The European Physical Journal B. Condensed Matter and Complex Systems	2011-01-04	Paper
Mean exit time and survival probability within the CTRW formalism The European Physical Journal B. Condensed Matter and Complex Systems	2010-06-25	Paper
From classical to quantum mechanics through optics European Journal of Physics	2010-04-08	Paper
Multiple time scales and the exponential Ornstein–Uhlenbeck stochastic volatility model Quantitative Finance	2007-05-09	Paper
A CORRELATED STOCHASTIC VOLATILITY MODEL MEASURING LEVERAGE AND OTHER STYLIZED FACTS International Journal of Theoretical and Applied Finance	2005-06-22	Paper
Multiple time scales in volatility and leverage correlations: a stochastic volatility model Applied Mathematical Finance	2005-02-18	Paper
Option pricing and perfect hedging on correlated stocks Physica A	2003-11-23	Paper
Fat tails and colored noise in financial derivatives Physica A	2002-12-03	Paper
Return or stock price differences Physica A	2002-11-26	Paper
The effect of non-ideal market conditions on option pricing Physica A	2002-05-23	Paper
Statistics of dwell times in a reaction with randomly fluctuating rates Physica A	2001-07-09	Paper
Some first passage time problems for shot noise processes. Journal of Statistical Physics	2000-02-02	Paper
On the asymmetry of a random walk in the presence of a field. Journal of Statistical Physics	2000-02-02	Paper
On the maximum displacement of a one-dimensional diffusion process described by the telegrapher's equation Physica A	1994-07-18	Paper
Properties of resonant activation phenomena (available as arXiv preprint)	N/A	Paper

Research outcomes over time

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