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Elisa Alòs
Elisa Alòs
Correu electrònic verificat a upf.edu
Títol
Citada per
Citada per
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Stochastic calculus with respect to Gaussian processes
E Alòs, O Mazet, D Nualart
The Annals of Probability 29 (2), 766-801, 2001
5992001
Stochastic integration with respect to the fractional Brownian motion
E Alòs, D Nualart
Stochastics and Stochastic Reports 75 (3), 129-152, 2003
2622003
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
2382007
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
2192000
Malliavin differentiability of the Heston volatility and applications to option pricing
E Alos, CO Ewald
Advances in Applied Probability 40 (1), 144-162, 2008
1162008
A generalization of the Hull and White formula with applications to option pricing approximation
E Alòs
Finance and Stochastics 10 (3), 353-365, 2006
842006
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
70*2001
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
622002
A decomposition formula for option prices in the Heston model and applications to option pricing approximation
E Alòs
Finance and Stochastics 16 (3), 403-422, 2012
612012
An extension of Itô's formula for anticipating processes
E Alòs, D Nualart
Journal of Theoretical Probability 11 (2), 493-514, 1998
501998
Stochastic heat equation with random coefficients
E Alòs, JA León, D Nualart
Probability theory and related fields 115 (1), 41-94, 1999
351999
Exponentiation of conditional expectations under stochastic volatility
E Alos, J Gatheral, R Radoičić
Quantitative Finance 20 (1), 13-27, 2020
322020
An anticipating Itô formula for Lévy processes
E Alós, JA León, J Vives
ALEA Lat. Am. J. Probab. Math. Stat 4, 2008
262008
Anticipating stochastic Volterra equations
E Alòs, D Nualart
Stochastic processes and their applications 72 (1), 73-95, 1997
261997
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
23*2015
A Kirk’s and a Bachelier’s formula for three-asset spread options
E Alos, A Eydeland, P Laurence
Energy risk 9 (2011), 52-57, 2011
222011
A fractional Heston model with
E Alòs, Y Yang
Stochastics 89 (1), 384-399, 2017
21*2017
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 Alòs, JA León, M Pontier, J Vives
Journal of Applied Mathematics and Stochastic Analysis 2008, 2008
212008
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
202019
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
18*2022
En aquests moments el sistema no pot dur a terme l'operació. Torneu-ho a provar més tard.
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