Publications

All Publications authored by Elisa Alòs

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
Elisa Alòs, Frido Rolloos and Kenichiro Shiraya
On the difference between the volatility swap strike and the zero vanna implied volatility
SIAM Journal on Financial Mathematics, Vol.12, No 2, 690 - 723, June 2021, 10.1137/20M134722X
Elisa Alòs and Jorge A. León
An intuitive introduction to fractional and rough volatilities
Mathematics, Vol.9, No 9, May 2021, 10.3390/math9090994
Elisa Alòs, Fabio Antonelli, Alessandro Ramponi and Sergio Scarlatti
CVA and Vulnerable Options in Stochastic Volatility Models
International Journal of Theoretical and Applied Finance, Vol.24, No 2, April 2021, 10.1142/S0219024921500102
Elisa Alòs and Masaaki Fukasawa
The Asymptotic Expansion of the Regular Discretization Error of Itô Integrals
Mathematical Finance, Vol.31, No 1, 323-365, January 2021, 10.1111/mafi.12292
Elisa Alòs, and
Exponentiation of conditional expectations under stochastic volatility
Quantitative Finance, Vol.20, No 1, 13-27, January 2020, 10.1080/14697688.2019.1642506
Elisa Alòs, and
Volatility and volatility-linked derivatives: estimation, modeling, and pricing
Decisions in Economics and Finance, Vol.42, No 2, 321-349, December 2019, 10.1007/s10203-019-00271-w
Elisa Alòs and Jorge A. León
A note on the implied volatility of floating strike Asian options
Decisions in Economics and Finance, Vol.42, No 2, 743-758, December 2019, 10.1007/s10203-019-00239-w
Elisa Alòs, and
Quantitative developments in financial volatility—theory and practice
Decisions in Economics and Finance, Vol.42, No 2, 319-320, December 2019, 10.1007/s10203-019-00270-x
Elisa Alòs and
Estimating the Hurst parameter from short term volatility swaps: a Malliavin calculus approach
Finance and Stochastics, Vol.23, No 2, 423–447, April 2019, 10.1007/s00780-019-00384-5

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All Publications authored by Elisa Alòs

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