Elisa Alòs is Associate Professor in the Department of Economics and Business at Universitat Pompeu Fabra (UPF) and a BSE Affiliated Professor. Prior to joining the UPF in January 2001, she was an assistant professor at Universitat Autònoma de Barcelona (UAB). She completed her PhD 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.
Her 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. Her main published results are related to the construction of closed-form approximation formulas for option prices for vanilla and exotic options, as well as with the analytical study of the properties of models (as for example, the analytical study of the implied volatility skew for stochastic volatility models).
Elisa Alòs is Associate Editor of the SIAM Journal on Financial Mathematics.
- 2018: BSE Seed Grant, "Asymptotic analysis in rough volatility models"
- 2017: BSE Seed Grant, "Robust semiparametric pricing and hedging methods for path-dependent contingent claims"
- 2014: BSE Seed Grant, "Numerical problems in Finance"
Publications
On the Optimal Choice of Strike Conventions in Exchange Option Pricing
Mathematics, Vol.12, No 19, September 2024, 10.3390/math12193028Open Access
On the Implied Volatility of Asian Options Under Stochastic Volatility Models
Applied Mathematical Finance, Vol.30, No 5, 249-274, May 2024, 10.1080/1350486X.2024.2346478Open Access
A Lower Bound for the Volatility Swap in the Lognormal SABR Model
Axioms, Vol.12, No 8, August 2023, 10.3390/axioms12080749Open Access