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~subject:"Stochastischer Prozess"
~person:"Alòs, Elisa"
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Stochastischer Prozess
Option pricing theory
24
Optionspreistheorie
24
Volatility
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Volatilität
19
Stochastic process
18
Malliavin calculus
7
Option trading
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Optionsgeschäft
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implied volatility
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stochastic volatility models
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Alòs, Elisa
Cui, Zhenyu
35
Chiarella, Carl
29
Takahashi, Akihiko
27
Carr, Peter
23
Madan, Dilip B.
22
Nguyen, Duy
22
Elliott, Robert J.
19
Fabozzi, Frank J.
18
Hainaut, Donatien
18
Oosterlee, Cornelis W.
18
Escobar, Marcos
16
Kim, Young Shin
15
Wang, Xingchun
15
Grasselli, Martino
14
Jacquier, Antoine (Jack)
14
Lorig, Matthew
14
Forde, Martin
13
Fouque, Jean-Pierre
13
Hess, Markus
13
Levendorskij, Sergej Z.
13
Schoutens, Wim
13
Siu, Tak Kuen
13
Wong, Hoi Ying
13
Yamada, Toshihiro
13
Yamazaki, Akira
13
Ziveyi, Jonathan
13
Benth, Fred Espen
12
Eberlein, Ernst
12
Grzelak, Lech A.
12
Kang, Boda
12
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12
Kirkby, Justin
12
Shiraya, Kenichiro
12
Ewald, Christian-Oliver
11
Filipović, Damir
11
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11
He, Xin-Jiang
11
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11
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Working papers / Universitat Pompeu Fabra, Department of Economics and Business
7
Finance and stochastics
3
International journal of theoretical and applied finance
2
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2
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1
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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ECONIS (ZBW)
18
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1
Forward start volatility swaps in rough volatility models
Alòs, Elisa
;
Rolloos, Frido
;
Shiraya, Kenichiro
-
2022
Persistent link: https://www.econbiz.de/10014266236
Saved in:
2
On the skew and curvature of the implied and local volatilities
Alòs, Elisa
;
García Lorite, David
;
Pravosud, Makar
- In:
Applied mathematical finance
30
(
2023
)
1
,
pp. 47-67
Persistent link: https://www.econbiz.de/10014390289
Saved in:
3
CVA and vulnerable options in Stochastic volatility models
Alòs, Elisa
;
Antonelli, Fabio
;
Ramponi, A.
;
Scarlatti, S.
- In:
International journal of theoretical and applied finance
24
(
2021
)
2
,
pp. 1-34
Persistent link: https://www.econbiz.de/10012650293
Saved in:
4
The implied volatility of forward starting options : ATM short-time level, skew and curvature
Alòs, Elisa
;
Jacquier, Antoine
;
León, Jorge A.
-
2017
Persistent link: https://www.econbiz.de/10011686975
Saved in:
5
The implied volatility of forward starting options : ATM short-time level, skew and curvature
Alòs, Elisa
;
Jacquier, Antoine
;
León, Jorge A.
-
2017
Persistent link: https://www.econbiz.de/10011778056
Saved in:
6
Exponentiation of conditional expectations under stochastic volatility
Alòs, Elisa
;
Gatheral, Jim
;
Radoičić, Radoš
- In:
Quantitative finance
20
(
2020
)
1
,
pp. 13-27
Persistent link: https://www.econbiz.de/10012194851
Saved in:
7
On Margrabe options written on stochastic volatility models
Alòs, Elisa
;
Rheinländer, Thorsten
-
2015
Persistent link: https://www.econbiz.de/10011442222
Saved in:
8
On the second derivative of the at-the-money implied volatility in stochastic volatility models
Alòs, Elisa
;
León, Jorge A.
-
2015
-
Revised: October 2015
Persistent link: https://www.econbiz.de/10011427674
Saved in:
9
Estimating the Hurst parameter from short term volatility swaps : a Malliavin calculus approach
Alòs, Elisa
;
Shiraya, Kenichiro
- In:
Finance and stochastics
23
(
2019
)
2
,
pp. 423-447
Persistent link: https://www.econbiz.de/10012023744
Saved in:
10
Target volatility option pricing in the lognormal fractional SABR model
Alòs, Elisa
;
Chatterjee, Rupak
;
Tudor, Sebastian F.
; …
- In:
Quantitative finance
19
(
2019
)
8
,
pp. 1339-1356
Persistent link: https://www.econbiz.de/10012194791
Saved in:
1
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