Elisa Alòs



PhD, Universitat de Barcelona

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.

Awards, Grants, and Honors
  • 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"


Open Access       Elisa Alòs, Frido Rolloos and Kenichiro Shiraya

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

Axioms, Vol.12, No 8, August 2023, 10.3390/axioms12080749
Open Access
Elisa Alòs, David García-Lorite and Aitor Muguruza

On Smile Properties of Volatility Derivatives: Understanding the VIX Skew

SIAM Journal on Financial Mathematics, Vol.13, No 1, 32 - 69 , March 2022, 10.1137/19M1269981
Elisa Alòs, Maria Elvira Mancini, Raúl Merino and Simona Sanfelici

A fractional model for the COVID-19 pandemic: Application to Italian data

Stochastic Analysis and Applications, Vol.39, September 2021, 10.1080/07362994.2020.1846563