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.
- 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).
I'm pleased to share with all of you the book Malliavin Calculus in Finance: Theory and Practice , written jointly with David García-Lorite. We have used Malliavin calculus for studying the different properties of stochastic volatility under diffusion (SABR, Heston,...) or anomalous diffusion (rough volatility). We have included as well a Git repository where the reader can find the numerical examples of the book and tools to build your own examples.
The book is available for pre-order at Routledge