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. Recently, I've started to study stochastic epidemiological models, and I'm also interested in the fractal properties of biological systems.
I currently serve as an Associate Editor at SIAM Journal on Financial Mathematics, Stochastic Analysis and Applications and Mathematics.
I'm pleased to share with all of you the book Malliavin Calculus in Finance: Theory and Practice, written jointly with David García-Lorite.
The objective of this book is to offer a bridge between theory and practice. It shows that Malliavin calculus is an easy-to-apply tool that allows us to recover, unify, and generalize several previous results in the literature on stochastic volatility modeling related to the vanilla, the forward, and the VIX implied volatility surfaces. It can be applied to local, stochastic, and also to rough volatilities (driven by a fractional Brownian motion) leading to simple and explicit results.
The book is available at Routledge
- Alòs, E., Antonelli, F., Ramponi, A,. and Scarlatti, S. CVA and vulnerable options in stochastic volatility models. International Journal of Theoretical and Applied FinanceVol. 24, No. 02, 2150010 (2021)
- Alòs E, León JA. An Intuitive Introduction to Fractional and Rough Volatilities. Mathematics. 2021; 9(9):994.
- Alòs, E, Fukasawa, M. The asymptotic expansion of the regular discretization error of Itô integrals. Mathematical Finance (2021) 31: 323– 365.
- Elisa Alòs, Maria Elvira Mancino, Raúl Merino & Simona Sanfelici (2020) A fractional model for the COVID-19 pandemic: Application to Italian data, Stochastic Analysis and Applications.
- Elisa Alòs, Jim Gatheral & Radoš Radoičić (2020) Exponentiation of conditional expectations under stochastic volatility, Quantitative Finance, 20 (1), 13-27
- 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).