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ORCIDElisa Alòs
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2020 – today
- 2023
[j10]Elisa Alòs, Fabio Antonelli
, Alessandro Ramponi, Sergio Scarlatti:
CVA in fractional and rough volatility models. Appl. Math. Comput. 442: 127715 (2023)- [j9]Elisa Alòs, Frido Rolloos, Kenichiro Shiraya:
A Lower Bound for the Volatility Swap in the Lognormal SABR Model. Axioms 12(8): 749 (2023) - 2022
- [j8]Elisa Alòs, David García-Lorite, Aitor Muguruza Gonzalez:
On Smile Properties of Volatility Derivatives: Understanding the VIX Skew. SIAM J. Financial Math. 13(1): 32-69 (2022) - 2021
- [j7]Tommi Sottinen, Elisa Alòs, Ehsan Azmoodeh, Giulia Di Nunno:
Editorial: Long-Memory Models in Mathematical Finance. Frontiers Appl. Math. Stat. 7: 705429 (2021) - [j6]Elisa Alòs, Frido Rolloos, Kenichiro Shiraya:
On the Difference Between the Volatility Swap Strike and the Zero Vanna Implied Volatility. SIAM J. Financial Math. 12(2): 690-723 (2021)
2010 – 2019
- 2019
- [j5]Elisa Alòs, Kenichiro Shiraya:
Estimating the Hurst parameter from short term volatility swaps: a Malliavin calculus approach. Finance Stochastics 23(2): 423-447 (2019) - 2017
- [j4]Elisa Alòs, Jorge A. León:
On the Curvature of the Smile in Stochastic Volatility Models. SIAM J. Financial Math. 8(1): 373-399 (2017) - 2012
- [j3]Elisa Alòs:
A decomposition formula for option prices in the Heston model and applications to option pricing approximation. Finance Stochastics 16(3): 403-422 (2012)
2000 – 2009
- 2007
- [j2]Elisa Alòs, Jorge A. León, Josep Vives:
On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility. Finance Stochastics 11(4): 571-589 (2007) - 2006
- [j1]Elisa Alòs:
A generalization of the Hull and White formula with applications to option pricing approximation. Finance Stochastics 10(3): 353-365 (2006)
Coauthor Index
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