J. Masoliver, J. Perelló, First-passage and risk evaluation under stochastic volatility, Physical Review E 80 (2009) 016108  (15 pages) Preprint: arXiv:0902.2735v1.

Chiarella, C., G. Iori, J. Perelló, 2007, The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows, Journal of Economic Dynamics and Control 33, 525 (2009). Preprint: arXiv:0711.3581.

J. Masoliver, J. Perelló, Escape problem under stochastic volatility: the Heston model, Physical Review E 78, 056104 (2008). Preprint: arXiv:0807.1014v1.

J. Perelló, J. Masoliver, A. Kasprzak, R. Kutner, A model for interevent times with long tails and multifractality in human communications: An application to financial trading, Physical Review E 78, 036108 (2008). Preprint: arXiv:0805.1353v2.

J. Perelló, R. Sircar, J. Masoliver, Option pricing under stochastic volatility: the exponential Ornstein-Uhlenbeck model, Journal of Statistical Mechanics (2008) P06010. Preprint: arXiv:0804.2589v2.

Eisler, Z., J. Perelló, J. Masoliver, 2007, Volatility: a hidden Markov process in financial time series, Physical Review E 76 056105 (11 pages).

Perelló, J., 2007, Downside Risk analysis applied to Hedge Funds universe, Physica A 383 480-496.

Masoliver, J., J. Perelló, 2007, Extreme times for volatility process, Physical Review E 75 046110 (11 pages).

Perelló, J., 2007, Market memory and fat tail consequences in option pricing on the expOU stochastic volatility model, Physica A 382 213-218.

Masoliver, J., M. Montero, J. Perelló and G. H. Weiss, 2007, The CTRW in finance: Direct and inverse problemswith some generalizations, Physica A 379, 151-167.

Perelló, J., M. Montero, L. Palatella, I. Simonsen and J. Masoliver, 2006, Entropy of the Nordic electricity market: anomalous scaling, spikes, and mean-reversion, Journal of Statistical Mechanics: Theory and Experiment P11011 (16 pages).

Masoliver, J., M. Montero, J. Perelló and G. H. Weiss, 2006, The continuos time random walk formalism in financial markets, Journal of Economic Behaviour and Organization 61, 577-598.

Masoliver, J.,J. Perelló, 2006, Multiple time scales and the exponential Ornstein-Uhlenbeck stochastic volatility model, Quantitative Finance 6, 423-433.

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, Physical Review E 72, 056101 (10 pages).

Masoliver, J., M. MonteroandJ. Perelló, 2005, The CTRWs in finance: the mean exit time, in: Practical Fruits of Econophysics, H. Takayasu ed(Springer, Tokyo).

Palatella, L., J. Perelló, M. MonteroandJ. Masoliver, 2005, Diffusion entropy technique applied to the study of the market activity, Physica A355, 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.

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.

Perelló, J., J. Masoliver, and N. Anento, 2004, A comparison between correlated stochastic volatility models, Physica A 344, 134-137.

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.

Masoliver, J. and J. Perelló, 2003, Option pricing and perfect hedging on correlated stocks, Physica A 330, 622-652.

Masoliver, J. and J. Perelló, 2003, Random diffusion and leverage effect in financial markets, Physical Review E 67, 037102.

Masoliver, J., M. Montero, J. Perelló, 2002, Return or stock price differences, Physica A 316, 539-560.

Perelló, J. and J. Masoliver, 2002, Fat tails and colored noise in financial derivatives, Physica A 314, 736-742.

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.

Perelló, J., J.M. Porrà, M. Montero, J. Masoliver, 2000, Black-Scholes option pricing within Itô and Stratonovich conventions, Physica A 278, 260-274.

Perelló, J., 2001, Correlated stochastic dynamics in Financial Markets, Ph.D. Thesis.