You can contact me at You can contact me at

Some links related to my research Some links related to my research

Research interests Research interests

Malliavin Calculus, Fractional Brownian motion, Mathematical Finance, Rough volatility

Biography Biography

I am an associate professor in the department of Economics and Business at the Universitat Pompeu Fabra (Barcelona). I completed my Ph.D. in Mathematics in 1998 at the University of Barcelona, with a dissertation based on Malliavin Calculus techniques applied to the study of stochastic integral equations.

My research relies on the applications of stochastic analysis in mathematical finance. In particular, it is focused on the application of Malliavin calculus techniques and the use of fractional noises in market modeling.

I currently serve as an Associate Editor at SIAM Journal on Financial Mathematics.

Publications (2019) Publications (2019)

Elisa Alòs, Jim Gatheral & Radoš Radoičić (2019) Exponentiation of conditional expectations under stochastic volatility, Quantitative Finance, DOI: 10.1080/14697688.2019.1642506

E Alos, R Chatterjee, SF Tudor, TH Wang. Target volatility option pricing in the lognormal fractional SABR model. Quantitative Finance 19 (8), (2019).

E Alòs, A Jacquier, JA León. The implied volatility of forward start options: ATM short-time level. Skew and cuvature.  Stochastics 91 (1), 37-51 (2019)

E. Alòs and K. Shiraya: Estimating the Hurst parameter from short term volatility swaps: a Malliavin calculus approach. Finance and Stochastics 23:423-447 (2019)

E. Alòs and J. León: A note on the implied volatility of floating strike Asian options. Decisions in Economics and Finance, 1-16 (2019).

News

INTENSIVE RESEARCH PROGRAM IN QUANTITATIVE FINANCE INTENSIVE RESEARCH PROGRAM IN QUANTITATIVE FINANCE

INTENSIVE RESEARCH PROGRAM IN QUANTITATIVE FINANCE

 

Online registration is now open!

http://www.crm.cat/en/Activities/Curs_2019-2020/Pages/IRP_Quantitative_Finance.aspx

New paper on volatility swaps New paper on volatility swaps

In a recent paper https://lnkd.in/dQ_FMPB we studied the difference between the volatility swap and the ATMI. Now, in a joint paper with Frido Rolloos and Kenichiro Shiraya, we go one step further and we compare the volatility swap and the zero vanna implied volatility:

https://arxiv.org/abs/1912.05383

Comments are more than welcome!

New Issue on Financial Volatility! New Issue on Financial Volatility!

Decisions in Economics and FinanceVolume 42 Number 2 is now available online: Quantitative Developments in Financial Volatility - Theory & Practice

Award TFG Jordi Mora Award TFG Jordi Mora

Last week awarded with distinction the final degree project of Jordi Mora. Congrats!!

Banff (September 2019) Banff (September 2019)

New Challenges in Energy Markets - Data Analytics, Modelling and Numerics