Elisa Alòs

Publication Activity (10 Years)

Years Active: 2006-2023
Publications (10 Years): 7

Top Topics

Motion Prediction

Electric Load Forecasting

Top Venues

SIAM J. Financial Math.

Finance Stochastics

Appl. Math. Comput.

Publications

Elisa Alòs, Frido Rolloos, Kenichiro Shiraya
A Lower Bound for the Volatility Swap in the Lognormal SABR Model. Axioms 12 (8) (2023)
Elisa Alòs, Fabio Antonelli, Alessandro Ramponi, Sergio Scarlatti
CVA in fractional and rough volatility models. Appl. Math. Comput. 442 (2023)
Elisa Alòs, David García-Lorite, Aitor Muguruza Gonzalez
On Smile Properties of Volatility Derivatives: Understanding the VIX Skew. SIAM J. Financial Math. 13 (1) (2022)
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) (2021)
Tommi Sottinen, Elisa Alòs, Ehsan Azmoodeh, Giulia Di Nunno
Editorial: Long-Memory Models in Mathematical Finance. Frontiers Appl. Math. Stat. 7 (2021)
Elisa Alòs, Kenichiro Shiraya
Estimating the Hurst parameter from short term volatility swaps: a Malliavin calculus approach. Finance Stochastics 23 (2) (2019)
Elisa Alòs, Jorge A. León
On the Curvature of the Smile in Stochastic Volatility Models. SIAM J. Financial Math. 8 (1) (2017)
Elisa Alòs
A decomposition formula for option prices in the Heston model and applications to option pricing approximation. Finance Stochastics 16 (3) (2012)
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) (2007)
Elisa Alòs
A generalization of the Hull and White formula with applications to option pricing approximation. Finance Stochastics 10 (3) (2006)