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. 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.

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, Epidemiological models

Department of Economics and Business

Edifici Jaume I (campus de la Ciutadella)
Ramon Trias Fargas, 25-27
08005 Barcelona

[email protected]

Publications (2019) Publications (2019)

  • Alòs, EFukasawa, MThe asymptotic expansion of the regular discretization error of Itô integralsMathematical Finance202131323– 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). Quantitative Finance 20 (1), 13-27

Intensive research program in quantitative finance Intensive research program in quantitative finance

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 Finance. Volume 42 Number 2 is now available online: Quantitative Developments in Financial Volatility - Theory & Practice

Award TFG Jordi Mora Award TFG Jordi Mora

Last week Col·legi d'Economistes de Catalunya 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