Elisa Alòs

According to our database, Elisa Alòs authored at least 10 papers between 2006 and 2023.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of five.

2023

A Lower Bound for the Volatility Swap in the Lognormal SABR Model.

Elisa Alòs, Frido Rolloos, Kenichiro Shiraya

Axioms, August, 2023

CVA in fractional and rough volatility models.

Elisa Alòs, Fabio Antonelli, Alessandro Ramponi, Sergio Scarlatti

Appl. Math. Comput., 2023

2022

On Smile Properties of Volatility Derivatives: Understanding the VIX Skew.

Elisa Alòs, David García-Lorite, Aitor Muguruza Gonzalez

SIAM J. Financial Math., 2022

2021

On the Difference Between the Volatility Swap Strike and the Zero Vanna Implied Volatility.

Elisa Alòs, Frido Rolloos, Kenichiro Shiraya

SIAM J. Financial Math., 2021

Editorial: Long-Memory Models in Mathematical Finance.

Tommi Sottinen, Elisa Alòs, Ehsan Azmoodeh, Giulia Di Nunno

Frontiers Appl. Math. Stat., 2021

2019

Estimating the Hurst parameter from short term volatility swaps: a Malliavin calculus approach.

Elisa Alòs, Kenichiro Shiraya

Finance Stochastics, 2019

2017

On the Curvature of the Smile in Stochastic Volatility Models.

Elisa Alòs, Jorge A. León

SIAM J. Financial Math., 2017

2012

A decomposition formula for option prices in the Heston model and applications to option pricing approximation.

Elisa Alòs

Finance Stochastics, 2012

2007

On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility.

Elisa Alòs, Jorge A. León, Josep Vives

Finance Stochastics, 2007

2006

A generalization of the Hull and White formula with applications to option pricing approximation.

Elisa Alòs

Finance Stochastics, 2006