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~person:"Alòs, Elisa"
~person:"Chiarella, Carl"
~subject:"Estimation"
~subject:"Malliavin calculus"
~subject:"Volatilität"
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Estimation
Malliavin calculus
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75
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75
Option pricing theory
48
Optionspreistheorie
48
Volatility
47
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30
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Alòs, Elisa
Chiarella, Carl
McAleer, Michael
69
Asai, Manabu
37
Koopman, Siem Jan
37
Chan, Joshua
34
Todorov, Viktor
34
Cui, Zhenyu
33
Escobar, Marcos
26
Clark, Todd E.
25
Mumtaz, Haroon
25
Takahashi, Akihiko
25
Tauchen, George Eugene
24
Barndorff-Nielsen, Ole E.
23
Shephard, Neil G.
23
Fouque, Jean-Pierre
21
Andersen, Torben
20
Platen, Eckhard
20
Yu, Jun
20
Carriero, Andrea
19
Nguyen, Duy
19
Gil-Alaña, Luis A.
18
Hafner, Christian M.
18
Marcellino, Massimiliano
18
Rodriguez, Gabriel
18
Bos, Charles S.
17
Martin, Gael M.
17
Renò, Roberto
17
Wong, Hoi Ying
17
Grasselli, Martino
16
Kang, Boda
16
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15
Jacquier, Antoine (Jack)
15
Yamada, Toshihiro
15
Benth, Fred Espen
14
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14
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14
Härdle, Wolfgang
14
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14
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9
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7
International journal of theoretical and applied finance
4
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3
Applied mathematical finance
2
Finance and stochastics
2
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2
The Oxford handbook of computational economics and finance
2
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Contemporary quantitative finance : essays in honour of Eckhard Platen
1
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1
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1
Journal of economic dynamics & control
1
Mathematical finance : an international journal of mathematics, statistics and financial theory
1
Research Paper Number: 299, Quantitative Finance Research Centre, University of Technology, Sydney
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ECONIS (ZBW)
48
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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
On the implied volatility of Asian options under stochastic volatility models
Alòs, Elisa
;
Nualart, Eulalia
;
Pravosud, Makar
- In:
Applied mathematical finance
30
(
2023
)
5
,
pp. 249-274
Persistent link: https://www.econbiz.de/10015051248
Saved in:
4
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:
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/10011686975
Saved in:
6
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:
7
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:
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
On Margrabe options written on stochastic volatility models
Alòs, Elisa
;
Rheinländer, Thorsten
-
2015
Persistent link: https://www.econbiz.de/10011442222
Saved in:
10
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:
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