Elisa Alos

University of Pompeu Fabra - Department of Economics

c/o Ramon Trias Fargas 25-27

08005 Barcelona

Spain

SCHOLARLY PAPERS

10

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SSRN CITATIONS
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Top 25,422

in Total Papers Citations

4

CROSSREF CITATIONS

25

Scholarly Papers (10)

1.

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 436 (68,379)
Citation 16

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

2.

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 413 (73,124)
Citation 1

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Stochastic volatility, Conditional expectations, Exponentiation, Rough volatility

3.

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 394 (77,193)

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

4.

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 367 (84,137)
Citation 12

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

5.

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 248 (128,366)
Citation 2

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

6.

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 246 (129,441)
Citation 3

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

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), University of Toulouse III and University of Barcelona
Downloads 222 (143,124)
Citation 2

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

8.

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 35 (461,878)

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

9.

CVA and Vulnerable Options in Stochastic Volatility Models

Number of pages: 33 Posted: 02 Aug 2019
University of Pompeu Fabra - Department of Economics, University of Rome I, University of Rome Tor Vergata and University of Rome Tor Vergata
Downloads 19 (548,041)

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

10.

Valuation of Barrier Options via a General Self‐Duality

Mathematical Finance, Vol. 26, Issue 3, pp. 492-515, 2016
Number of pages: 24 Posted: 10 Jun 2016
University of Pompeu Fabra - Department of Economics, London School of Economics & Political Science (LSE) and Vienna University of Technology
Downloads 0 (692,682)
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put–call symmetry, self‐duality, barrier options, stochastic volatility models, Malliavin calculus