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Masoliver, Jaume; Perelló, Josep - In: International journal of theoretical and applied finance 5 (2002) 5, pp. 541-562

Persistent link: https://www.econbiz.de/10001687146

Multiple time scales in volatility and leverage correlations : a stochastic volatility model

Perelló, Josep; Masoliver, Jaume; Bouchaud, Jean-Philippe - In: Applied mathematical finance 11 (2004) 1, pp. 27-50

Persistent link: https://www.econbiz.de/10002001537

Discounting the distant future

Farmer, J. Doyne; Geanakoplos, John; Masoliver, Jaume; … - 2014

Persistent link: https://www.econbiz.de/10010380629

The impact of heterogeneous trading rules on the limit order book and order flows

Chiarella, Carl; Iori, Giulia; Perelló, Josep - In: Journal of economic dynamics & control 33 (2009) 3, pp. 525-537

Persistent link: https://www.econbiz.de/10003817925

Discounting the Distant Future

Farmer, J. Doyne - 2014

If the historical average annual real interest rate is m 0, and if the world is stationary, should consumption in the distant future be discounted at the rate of m per year? Suppose the annual real interest rate r(t) reverts to m according to the Ornstein Uhlenbeck (OU) continuous time process...

Persistent link: https://www.econbiz.de/10013050893