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~person:"Alòs, Elisa"
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Malliavin calculus
13
Option pricing theory
8
Optionspreistheorie
8
Volatility
8
Volatilität
8
Stochastic process
7
Stochastischer Prozess
7
Option trading
5
Optionsgeschäft
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5
implied volatility
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stochastic volatility models
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Black-Scholes model
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Asian options
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Continuous-time option pricing model
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Forward starting options
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Skorohod integral
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Swap
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ARCH model
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Arbeitskampf
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Asia
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Asien
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Cox-Ingersoll-Ross process
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Derivat
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Derivative
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Derivative operator in the Malliavin calculus sense
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Estimation
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Floating strike
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Fractional volatility models
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Heston Model
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Hull and White formula
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Industrial action
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Ito’s formula for the Skorohod integral
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Itô calculus
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Itô's Calculus
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Itô's calculus
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Alòs, Elisa
Takahashi, Akihiko
25
Yamada, Toshihiro
23
Platen, Eckhard
17
Küchler, Uwe
13
Wälde, Klaus
13
Attanasio, Orazio P.
12
Chiarella, Carl
11
Kohlmann, Michael
11
Larek, Emil
11
Ledoit, Olivier
10
Imkeller, Peter
9
Linton, Oliver
9
Magnusson, Leandro M.
9
Touzi, Nizar
9
Atkeson, Andrew
8
Haque, Qazi
8
Kehoe, Patrick J.
8
McKay, Alisdair
8
Nakamura, Emi
8
Willis, Jonathan L.
8
Wolf, Michael
8
Barndorff-Nielsen, Ole E.
7
Christiano, Lawrence J.
7
Favero, Carlo A.
7
Heckman, James J.
7
Hess, Markus
7
Kohatsu-Higa, Arturo
7
Meyer-Gohde, Alexander
7
Peng, Xingchun
7
Pinto, Rodrigo
7
Sennewald, Ken
7
Sørensen, Michael
7
Ascari, Guido
6
Buckwar, Evelyn
6
Fabbri, Giorgio
6
Fally, Thibault
6
Fuhrer, Jeffrey C.
6
Hu, Yijun
6
Kohara, Miki
6
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Department of Economics and Business, Universitat Pompeu Fabra
6
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Economics Working Papers / Department of Economics and Business, Universitat Pompeu Fabra
6
Applied mathematical finance
2
Finance and Stochastics
2
Barcelona GSE working paper series : working paper
1
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1
Decisions in economics and finance : DEF ; a journal of applied mathematics
1
Finance and stochastics
1
Mathematical finance : an international journal of mathematics, statistics and financial theory
1
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ECONIS (ZBW)
8
RePEc
8
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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
A note on the implied volatility of floating strike Asian options
Alòs, Elisa
;
León, Jorge A.
- In:
Decisions in economics and finance : DEF ; a journal of …
42
(
2019
)
2
,
pp. 743-758
Persistent link: https://www.econbiz.de/10012127320
Saved in:
5
On the closed-form approximation of short-time random strike options
Alòs, Elisa
;
León, Jorge A.
-
Department of Economics and Business, Universitat …
-
2013
short-time options with random strikes. Our method is based on Malliavin
calculus
techniques and allows us to obtain simple …
Persistent link: https://www.econbiz.de/10010660296
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/10011686975
Saved in:
7
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:
8
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:
9
A closed-form option pricing approximation formula for a fractional Heston model
Alòs, Elisa
;
Yang, Yan
-
Department of Economics and Business, Universitat …
-
2014
increases. Then, by means of classical Itô's
calculus
we decompose option prices as the sum of the classical Black …
Persistent link: https://www.econbiz.de/10010938706
Saved in:
10
Valuation of barrier options via a general self-duality
Alòs, Elisa
;
Chen, Zhanyu
;
Rheinländer, Thorsten
- In:
Mathematical finance : an international journal of …
26
(
2016
)
3
,
pp. 492-515
Persistent link: https://www.econbiz.de/10011583542
Saved in:
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