The Rough Volatility Network: https://sites.google.com/site/roughvol/home
My Google Scholar profile: https://scholar.google.co.uk/citations?hl=en&user=UMg_uO0AAAAJ
My Linkedin profile: https://www.linkedin.com/in/elisa-al%C3%B2s-a144632b/
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.
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).
More information at: http://www.crm.cat/en/Activities/Curs_2019-2020/Pages/IRP_Quantitative_Finance.aspx
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