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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).


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!!

Keep the dates! Intensive Research Program in Quantitative Finance Keep the dates! Intensive Research Program in Quantitative Finance

Intensive Research Program in Quantitative Finance
Centre de Recerca Matemàtica, Barcelona, June-July 202
This intensive program focuses in hot topics in Quantitative Finance. It has been designed to create a bridge between the academia and the industry and it is thought to be a forum to gather professionals working in this area. The program will last for two months and it will take place at the Centre de Recerca Matemàtica during the period June-July 2020. The program is composed of:
Weekly Seminars for Researchers. June 22nd to July 24th, 2020
Weekly Seminars for Students. June 22nd to July 24th, 2020

More information at:

Banff (September 2019) Banff (September 2019)

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