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~subject:"Stochastic process"
~person:"Alòs, Elisa"
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Alòs, Elisa
McAleer, Michael
66
Asai, Manabu
37
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35
Todorov, Viktor
34
Cui, Zhenyu
33
Chan, Joshua
31
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ECONIS (ZBW)
17
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1
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:
2
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:
3
A closed-form option pricing approximation formula for a fractional Heston model
Alòs, Elisa
;
Yang, Yan
-
2014
Persistent link: https://www.econbiz.de/10010425642
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
Calibration of stochastic
volatility
models via second-order approximation : the Heston case
Alòs, Elisa
;
Santiago Hernando, Rafael de
;
Vives, Josep
- In:
International journal of theoretical and applied finance
18
(
2015
)
6
,
pp. 1-31
Persistent link: https://www.econbiz.de/10011403898
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
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
Alòs, Elisa
;
León, Jorge A.
;
Pontier, Monique
;
Vives, …
-
2008
Persistent link: https://www.econbiz.de/10008663229
Saved in:
9
Calibration of stochastic
volatility
models via second order approximation : the Heston model case
Alòs, Elisa
;
Santiago, Rafael de
;
Vives, Josep
-
2012
Persistent link: https://www.econbiz.de/10009724303
Saved in:
10
On the short-time behavior of the implied
volatility
for jump-diffusion models with stochastic
volatility
Alòs, Elisa
(
contributor
);
León, Jorge A.
(
contributor
); …
-
2006
Persistent link: https://www.econbiz.de/10003379784
Saved in:
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