Elisa Alòs

Available identifiers

zbMath Open alos.elisaMaRDI QIDQ591979

List of research outcomes

Publication	Date of Publication	Type
On the Skew and Curvature of the Implied and Local Volatilities	2023-11-23	Paper
The asymptotic expansion of the regular discretization error of Itô integrals	2023-09-27	Paper
CVA in fractional and rough volatility models	2023-04-21	Paper
Introduction to Financial Derivatives with Python	2023-02-13	Paper
The implied volatility of Forward-Start options: ATM short-time level, skew and curvature	2022-07-05	Paper
On Smile Properties of Volatility Derivatives: Understanding the VIX Skew	2022-02-15	Paper
A fractional model for the COVID-19 pandemic: Application to Italian data	2021-11-18	Paper
On the Difference Between the Volatility Swap Strike and the Zero Vanna Implied Volatility	2021-09-08	Paper
On the short-maturity behaviour of the implied volatility skew for random strike options and applications to option pricing approximation	2021-07-16	Paper
CVA AND VULNERABLE OPTIONS IN STOCHASTIC VOLATILITY MODELS	2021-06-18	Paper
Malliavin Calculus in Finance	2021-01-27	Paper
Exponentiation of conditional expectations under stochastic volatility	2020-02-10	Paper
Volatility and volatility-linked derivatives: estimation, modeling, and pricing	2020-01-31	Paper
A note on the implied volatility of floating strike Asian options	2020-01-31	Paper
Target volatility option pricing in the lognormal fractional SABR model	2019-09-26	Paper
Estimating the Hurst parameter from short term volatility swaps: a Malliavin calculus approach	2019-04-24	Paper
On the Curvature of the Smile in Stochastic Volatility Models	2017-07-20	Paper
A fractional Heston model with	2017-04-11	Paper
VALUATION OF BARRIER OPTIONS VIA A GENERAL SELF‐DUALITY	2016-07-15	Paper
https://portal.mardi4nfdi.de/entity/Q2944056	2015-09-07	Paper
A decomposition formula for option prices in the Heston model and applications to option pricing approximation	2012-11-15	Paper
An anticipating It\^o formula for L\'evy processes	2009-04-27	Paper
A hull and white formula for a general stochastic volatility jump-diffusion model with applications to the study of the short-time behavior of the implied volatility	2009-04-01	Paper
Malliavin differentiability of the Heston volatility and applications to option pricing	2008-05-15	Paper
On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility	2007-12-16	Paper
A generalization of the Hull and White formula with applications to option pricing approximation	2006-12-08	Paper
STABILITY FOR STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS WITH DIRICHLET WHITE-NOISE BOUNDARY CONDITIONS	2004-09-24	Paper
Stochastic integration with respect to the fractional Brownian motion	2003-11-23	Paper
Stochastic calculus with respect to fractional Brownian motion with Hurst parameter lesser than 1/2	2003-11-03	Paper
Stochastic calculus with respect to Gaussian processes	2003-05-06	Paper
Stochastic partial differential equations with Dirichlet white-noise boundary conditions	2002-11-16	Paper
Stochastic Stratonovich calculus fBm for fractional Brownian motion with Hurst parameter less than \(1/2\)	2002-07-29	Paper
Stochastic heat equation with white-noise drift	2001-06-27	Paper
Stochastic heat equation with random coefficients	2000-07-05	Paper
Anticipating stochastic Volterra equations	2000-03-01	Paper
An extension of Itô's formula for anticipating processes	1999-06-20	Paper
https://portal.mardi4nfdi.de/entity/Q4357565	1998-03-17	Paper

Research outcomes over time

Doctoral students

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Known relations from the MaRDI Knowledge Graph

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This page was built for person: Elisa Alòs