Publications

All Publications authored by Elisa Alòs

Open Access Elisa Alòs and Michael Coulon
On the Optimal Choice of Strike Conventions in Exchange Option Pricing
Mathematics, Vol.12, No 19, September 2024, 10.3390/math12193028
Open Access
Open Access Elisa Alòs, Eulàlia Nualart and Makar Pravosud
On the Implied Volatility of Asian Options Under Stochastic Volatility Models
Applied Mathematical Finance, Vol.30, No 5, 249-274, May 2024, 10.1080/1350486X.2024.2346478
Open Access
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
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

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All Publications authored by Elisa Alòs

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