Publications
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Alòs E, Rolloos F, Shiraya K. A Lower Bound for the Volatility Swap in the Lognormal SABR Model. Axioms 2023; 12( ). |
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Alòs E, García-Lorite D, Muguruza A. On Smile Properties of Volatility Derivatives: Understanding the VIX Skew. SIAM Journal on Financial Mathematics 2022; ( ). |
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Alòs E, León JA. An intuitive introduction to fractional and rough volatilities. Mathematics 2021; 9(9). |
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Alos E, Antonelli F, Ramponi A, Scarlatti S. CVA and vulnerable options in stochastic volatility models. International Journal of Theoretical and Applied Finance 2021; 24(2): 1-31. |
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Sottinen T, Alòs E, Azmoodeh E, Di Nunno G. Editorial: Long-Memory Models in Mathematical Finance. Frontiers in Applied Mathematics and Statistics 2021; 7( ). |
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Alos E, Rolloos F, Shiraya K.. On the difference between the volatility swap strike and the zero vanna implied volatility. SIAM Journal on Financial Mathematics 2021; 12(2): 690-723. |
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Alòs E, Mancino ME, Merino R, Sanfelici S. A fractional model for the COVID-19 pandemic: Application to Italian data. Stochastic Analysis and Its Applications 2020; ( ). |
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Alòs E, Gatheral J, Radoicic R. Exponentiation of conditional expectations under stochastic volatility. Quantitative Finance 2020; 20(1): 13-27. |
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Alòs E, Fukasawa M. The asymptotic expansion of the regular discretization error of Itô integrals. Mathematical Finance 2020; ( ). |
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Alòs, E.; León, J.A.. A note on the implied volatility of floating strike Asian options. Decisions in Economics and Finance 2019; 42(2): 743-758. |
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Alòs, E.; Shiraya, K.. Estimating the Hurst parameter from short term volatility swaps: a Malliavin calculus approach. Finance and Stochastics 2019; 23(2): 423-447. |
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Alòs, E.; Mancino, M. E.; Wang, T.-H.. Quantitative developments in financial volatility-theory and practice. Decisions in Economics and Finance 2019; 42(2): 319-320. |
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Alòs, E.; Chatterjee, R.; Tudor, S.F.; Wang, T.-H.. Target volatility option pricing in the lognormal fractional SABR model. Quantitative Finance 2019; 19(8): 1339-1356. |
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Alòs, E.; Jacquier, A.; León, J.A.. The implied volatility of Forward-Start options: ATM short-time level, skew and curvature. Stochastics 2019; 91(1): 37-51. |
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Alòs, E.; Mancino, M. E.; Wang, T.-H.. Volatility and volatility-linked derivatives: estimation, modeling, and pricing. Decisions in Economics and Finance 2019; 42(2): 321-349. |
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Alòs, E.; Yang, Y. A fractional heston model with h> 1/2. Stochastics: an international journal of probability and stochastic processes 2017; 89(1): 384-399. |
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Alòs, E.; Léon, J.A.. On the curvature of the smile in stochastic volatility models. SIAM Journal on Financial Mathematics 2017; 8(1): 373-399. |
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Alòs, E.; León, J. A. On the short-time behaviour of the implied volatility skew for spread options and applications. Trends in Mathematics 2017; 6( ): 97-99. |
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Alòs, E.; León, J.A.. On the short-maturity behaviour of the implied volatility skew for random strike options and applications to option pricing approximation. Quantitative Finance 2016; 16(1): 31-42. |
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Alòs, E.; De Santiago, R.; Vives, J.. Calibration of stochastic volatility models via second order approximation: the Heston model case. International Journal of Theoretical and Applied Finance 2015; 18(6). |
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Brú, A.; Alós, E.; Nuño, J.C.; Fernández de Dios, M. Scaling in complex systems: a link between the dynamics of networks and growing interfaces. Scientific Reports 2014; 4(7550). |
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Alòs, E.; Chen, Z.; Rheinländer, T. Valuation of barrier options via a general self-duality Mathematical Finance 2014; 26(3): 492-515. |
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Alòs, Elisa. A decomposition formula for option prices in the Heston model and applications to option pricing approximation. Finance and Stochastics 2012; 16(3): 403-442. |
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Alòs, E. Geometría fractal y crecimiento tumoral. Aportaciones Matemáticas 2012; 44( ). |
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Alòs, E.; Eydeland, A.; Laurence, P. A Kirk's and a Bachelier's formula for three-asset spread options. Energy Risk 2011; ( ). |
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Alòs, E.; León, J.A.; Pontier, M.; Vives, J.. A Hull and White Formula for a General Stochastic Volatility Jump-Diffusion Model with Applications to the Study of the Short-Time Behavior of the Implied Volatility. Journal of Applied Mathematics and Stochastic Analysis 2008; ( ): 17-17. |
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Alòs, Elisa; León, J.A.; Vives, J.. An anticipating Itô formula for Lévy processes. Latin American Journal of Probability and Mathematical Statistics 2008; (4): 285-305. |
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Alòs, E.; Ewald, C.O.. Malliavin Differentiability of the Heston Volatility and Applications to Option Pricing. Advances in Applied Probability 2008; 40(1): 144-162. |
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Alòs, E;León, JA;Vives, J. On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility. Finance and Stochastics 2007; 11(4): 571-589. |
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Alòs, E.; León, J. A.; Vives, J.. On the short-time behaviour of the implied volatility for jump-diffusion models with stochastic volatility. Finance and Stochastics 2007; 11(4): 571-589. |
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Alòs, E.. A generalization of Hull and White formula with applications to option pricing approximation. Finance and Stochastics 2006; (10): 353-365. |
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Alòs, E.; Nualart, D.. Stochastic integration with respect to the fractional Brownian motion. Stochastics and Stochastic Reports 2003; 75(3): 129-152. |
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Alòs E, Bonaccorsi S. Stability for stochastic partial differential equations with Dirichlet white-noise boundary conditions. Infinite Dimensional Analysis, Quantum Probability and Related Topics 2002; 5(4): 465-481. |
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Alòs, E.; Bonaccorsi, S.. Statibility for SPDEs with Dirichlet Wite-noise Boundary Conditions. Infinite Dimensional Analysis, Quantum Probability and Related Topics 2002; 5(4): 465-481. |
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Alòs E, Bonaccorsi S. Stochastic partial differential equations with Dirichlet white-noise boundary conditions. Annales de l'institut Henri Poincare (B) Probability and Statistics 2002; 38(2): 125-154. |
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Alòs Alcalde, Elisa; Bonaccorsi, S.. Stochastic partial differential equations with Dirichlet white-noise boundary conditions. Annales de l'Institut Henri Poincaré. Section B, Probabilités et statistiques 2002; 38(2): 125-154. |
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Alòs E, Mazet O, Nualart D. Stochastic calculus with respect to Gaussian processes. The Annals of Probability 2001; 29(2): 766-801. |
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Alòs, E.; Mazet, O.; Nualart, D.. Stochastic calculus with respecto to the Gaussian processes. The Annals of Probability 2001; 29(2): 766-801. |
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Alòs E, León JA, Nualart D. Stochastic Stratonovich calculus fBm for fractional Brownian motion with Hurst parameter less than 1/2. Taiwanese Journal of Mathematics 2001; 5(3): 609-632. |
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Alòs, E.; León, J. A.; Nualart, D.. Stochastic Stratonovich calculus for fractional Brownian motion with Hurst parameter less than 1/2. Taiwanese Journal of Mathematics 2001; 5(3): 609-632. |
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Alòs, E.; Mazet, O.; Nualart, D.. Stochastic calculus with respect to fractional Brownian motion with Hurst index lesser that 1/2. Stochastic Processes and their Applications 2000; 86(1): 121-139. |
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Alòs E, Mazet O, Nualart D. Stochastic calculus with respect to fractional Brownian motion with Hurst parameter lesser than 1/2. Stochastic Processes and their Applications 2000; 86(1): 121-139. |
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Alòs, E.; Nualart, D.; Viens; F.. Stochastic heat equation with white-noise drift. Annales de l'Institut Henri Poincaré. Section B, Probabilités et statistiques 2000; 36(2): 181-218. |
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Alòs, E.; León, J. A.; Nualart, D.. Stochastic heat equation with random coefficients. Probability Theory and Related Fields 1999; 115(1): 41-94. |
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Alòs, E.; Nualart, D.. An extension of Itô's formula for anticipating processes. Journal of Theoretical Probability 1998; 11(2): 493-514. |
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Alòs, E.; Nualart, D.. A maximal inequality for the Skorohod integral. Progress in Systems and Control Theory 1997; (23): 241-251. |
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Alòs, E; Nualart, D. Anticipating stochastic Volterra equations. Stochastic Processes and their Applications 1997; (72): 73-95. |
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Alòs, Elisa; León, Jorge A.. On the second derivative of the at-the-money implied volatility in stochastic volatility models. Economics and Business Working Papers Series; 1458; 2014. |