Seuraa
Elisa Alòs
Elisa Alòs
Universitat Pompeu Fabra
Vahvistettu sähköpostiosoite verkkotunnuksessa upf.edu
Nimike
Viittaukset
Viittaukset
Vuosi
Stochastic calculus with respect to Gaussian processes
E Alòs, O Mazet, D Nualart
The Annals of Probability 29 (2), 766-801, 2001
6692001
On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility
E Alos, JA León, J Vives
Finance and stochastics 11 (4), 571-589, 2007
3072007
Stochastic integration with respect to the fractional Brownian motion
E Alos, D Nualart
Stochastics and Stochastic Reports 75 (3), 129-152, 2003
2962003
Stochastic calculus with respect to fractional Brownian motion with Hurst parameter lesser than 12
E Alòs, O Mazet, D Nualart
Stochastic processes and their applications 86 (1), 121-139, 2000
2382000
Malliavin differentiability of the Heston volatility and applications to option pricing
E Alos, CO Ewald
Advances in Applied Probability 40 (1), 144-162, 2008
1242008
A generalization of the Hull and White formula with applications to option pricing approximation
E Alòs
Finance and Stochastics 10 (3), 353-365, 2006
992006
Stochastic Stratonovich calculus fBm for fractional Brownian motion with Hurst parameter less than 1/2
E Alos, JA León, D Nualart
Taiwanese Journal of Mathematics 5 (3), 609-632, 2001
832001
Stochastic partial differential equations with Dirichlet white-noise boundary conditions
E Alòs, S Bonaccorsi
Annales de l'IHP Probabilités et statistiques 38 (2), 125-154, 2002
732002
A decomposition formula for option prices in the Heston model and applications to option pricing approximation
E Alòs
Finance and Stochastics 16, 403-422, 2012
712012
An extension of Itô's formula for anticipating processes
E Alòs, D Nualart
Journal of Theoretical Probability 11 (2), 493-514, 1998
541998
Exponentiation of conditional expectations under stochastic volatility
E Alos, J Gatheral, R Radoičić
Quantitative Finance 20 (1), 13-27, 2020
432020
Malliavin calculus in finance: Theory and practice
E Alòs, DG Lorite
Chapman and Hall/CRC, 2021
422021
Stochastic heat equation with random coefficients
E Alòs, JA León, D Nualart
Probability theory and related fields 115, 41-94, 1999
411999
On Smile Properties of Volatility Derivatives: Understanding the VIX Skew
E Alòs, D García-Lorite, AM Gonzalez
SIAM Journal on Financial Mathematics 13 (1), 32-69, 2022
30*2022
A fractional Heston model with
E Alòs, Y Yang
Stochastics 89 (1), 384-399, 2017
30*2017
Anticipating stochastic Volterra equations
E Alòs, D Nualart
Stochastic processes and their applications 72 (1), 73-95, 1997
301997
Calibration of stochastic volatility models via second-order approximation: The Heston case
E Alòs, R De Santiago, J Vives
International Journal of Theoretical and Applied Finance 18 (06), 1550036, 2015
29*2015
A Hull and White formula for a general stochastic volatility jump‐diffusion model with applications to the study of the short‐time behavior of the implied volatility
E Alos, JA León, M Pontier, J Vives
International Journal of Stochastic Analysis 2008 (1), 359142, 2008
292008
An anticipating Itô formula for Lévy processes
E Alós, JA León, J Vives
ALEA Lat. Am. J. Probab. Math. Stat 4, 2008
282008
Estimating the Hurst parameter from short term volatility swaps: a Malliavin calculus approach
E Alòs, K Shiraya
Finance and Stochastics 23 (2), 423-447, 2019
272019
Järjestelmä ei voi suorittaa toimenpidettä nyt. Yritä myöhemmin uudelleen.
Artikkelit 1–20