Elisa Alos

University of Pompeu Fabra - Department of Economics

c/o Ramon Trias Fargas 25-27

08005 Barcelona

Spain

SCHOLARLY PAPERS

9

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3,441

SSRN CITATIONS
Rank 26,978

SSRN RANKINGS

Top 26,978

in Total Papers Citations

23

CROSSREF CITATIONS

21

Scholarly Papers (9)

1.

Exponentiation of Conditional Expectations Under Stochastic Volatility

Quantitative Finance, Vol. 20, No. 1, 13-27, 2020.
Number of pages: 28 Posted: 08 Jun 2017 Last Revised: 09 Jan 2020
Elisa Alos, Jim Gatheral and Rados Radoicic
University of Pompeu Fabra - Department of Economics, CUNY Baruch College and CUNY Baruch College
Downloads 780 (61,200)
Citation 2

Abstract:

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Stochastic volatility, Conditional expectations, Exponentiation, Rough volatility

2.

A Generalization of Hull and White Formula and Applications to Option Pricing Approximation

UPF Economics and Business Working Paper No. 740
Number of pages: 21 Posted: 12 Jul 2004
Elisa Alos
University of Pompeu Fabra - Department of Economics
Downloads 525 (101,200)
Citation 14

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Continuous-time option pricing model, stochastic volatility, Malliavin Calculus

3.

Malliavin Differentiability of the Heston Volatility and Applications to Option Pricing

Number of pages: 27 Posted: 16 May 2007
Elisa Alos and Christian Oliver Ewald
University of Pompeu Fabra - Department of Economics and University of Glasgow
Downloads 497 (108,219)
Citation 16

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Malliavin calculus, stochastic volatility models, Heston model, Cox-Ingersoll-Ross process, Hull and White formula, Option pricing

4.

On the Short-Time Behavior of the Implied Volatility for Jump-Diffusion Models With Stochastic Volatility

Number of pages: 22 Posted: 24 Jul 2007
Elisa Alos, Jorge A. Leon and Josep Vives
University of Pompeu Fabra - Department of Economics, Centro de Investigación y de Estudios Avanzados del IPN (CINVESTAV-IPN) and University of Barcelona
Downloads 431 (128,037)
Citation 6

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Black-Scholes formula, derivative operator, Itô's formula for the Skorohod integral, jump-diffusion stochastic volatility model

5.

A Note on the Malliavin Differentiability of the Heston Volatility

Number of pages: 11 Posted: 15 Nov 2005
Elisa Alos and Christian Oliver Ewald
University of Pompeu Fabra - Department of Economics and University of Glasgow
Downloads 428 (129,052)

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Malliavin calculus, stochastic volatility models, Heston model, Cox-Ingersoll-Ross process

6.

A General Decomposition Formula for Derivative Prices in Stochastic Volatility Models

UPF Economics and Business Working Paper No. 665
Number of pages: 13 Posted: 17 Oct 2003
Elisa Alos
University of Pompeu Fabra - Department of Economics
Downloads 356 (158,823)
Citation 2

Abstract:

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Continuous-time option pricing model, stochastic volatility, Ito's formula, incomplete markets.

7.

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

Number of pages: 15 Posted: 24 Apr 2008
University of Pompeu Fabra - Department of Economics, Centro de Investigación y de Estudios Avanzados del IPN (CINVESTAV-IPN), Institut Mathématiques de Toulouse, Paul Sabatier University and University of Barcelona
Downloads 257 (223,022)
Citation 2

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Hull and White formula, Malliavin calculus, Ito's formula for the Skorohod integral, jumpdiffusion stochastic volatility models

8.

CVA and Vulnerable Options in Stochastic Volatility Models

Number of pages: 33 Posted: 02 Aug 2019
University of Pompeu Fabra - Department of Economics, Sapienza University of Rome, Dept. Economics and Finance, University of Rome Tor Vergata and University of Rome Tor Vergata
Downloads 91 (524,033)
Citation 2

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Credit Value Adjustment, Vulnerable Options, Stochastic volatility model, Intensity approach

9.

The Implied Volatility of Forward-Start Options: ATM Short-Time Level, Skew and Curvature

Number of pages: 18 Posted: 03 Nov 2017
University of Pompeu Fabra - Department of Economics, Imperial College London and Centro de Investigación y de Estudios Avanzados del IPN (CINVESTAV-IPN)
Downloads 76 (584,023)

Abstract:

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Forward-Start Options, Implied Volatility, Malliavin Calculus, Stochastic Volatility Models