Alòs, Elisa; García-Lorite, David; Pravosud, Makar On the skew and curvature of the implied and local volatilities. (English) Zbl 07769891 Appl. Math. Finance 30, No. 1, 47-67 (2023). MSC: 91G15 60H07 PDFBibTeX XMLCite \textit{E. Alòs} et al., Appl. Math. Finance 30, No. 1, 47--67 (2023; Zbl 07769891) Full Text: DOI arXiv
Alòs, Elisa; Antonelli, Fabio; Ramponi, Alessandro; Scarlatti, Sergio CVA in fractional and rough volatility models. (English) Zbl 1511.91147 Appl. Math. Comput. 442, Article ID 127715, 27 p. (2023). MSC: 91G20 91G40 60H30 PDFBibTeX XMLCite \textit{E. Alòs} et al., Appl. Math. Comput. 442, Article ID 127715, 27 p. (2023; Zbl 1511.91147) Full Text: DOI arXiv
Alòs, Elisa; García-Lorite, David; Gonzalez, Aitor Muguruza On smile properties of volatility derivatives: understanding the VIX skew. (English) Zbl 1483.91227 SIAM J. Financ. Math. 13, No. 1, 32-69 (2022). MSC: 91G20 91G80 60H07 60G22 PDFBibTeX XMLCite \textit{E. Alòs} et al., SIAM J. Financ. Math. 13, No. 1, 32--69 (2022; Zbl 1483.91227) Full Text: DOI arXiv
Alòs, Elisa; Fukasawa, Masaaki The asymptotic expansion of the regular discretization error of Itô integrals. (English) Zbl 1522.91257 Math. Finance 31, No. 1, 323-365 (2021). MSC: 91G20 60F05 35C20 60H07 60H05 PDFBibTeX XMLCite \textit{E. Alòs} and \textit{M. Fukasawa}, Math. Finance 31, No. 1, 323--365 (2021; Zbl 1522.91257) Full Text: DOI arXiv
Alòs, Elisa; Jacquier, Antoine; León, Jorge A. The implied volatility of forward-start options: ATM short-time level, skew and curvature. (English) Zbl 1494.91149 Stochastics 91, No. 1, 37-51 (2019). MSC: 91G20 60H07 PDFBibTeX XMLCite \textit{E. Alòs} et al., Stochastics 91, No. 1, 37--51 (2019; Zbl 1494.91149) Full Text: DOI arXiv
Alòs, Elisa; León, Jorge A. A note on the implied volatility of floating strike Asian options. (English) Zbl 1432.91118 Decis. Econ. Finance 42, No. 2, 743-758 (2019). MSC: 91G20 60H07 91G60 PDFBibTeX XMLCite \textit{E. Alòs} and \textit{J. A. León}, Decis. Econ. Finance 42, No. 2, 743--758 (2019; Zbl 1432.91118) Full Text: DOI
Alòs, Elisa; Chatterjee, Rupak; Tudor, Sebastian F.; Wang, Tai-Ho Target volatility option pricing in the lognormal fractional SABR model. (English) Zbl 1420.91441 Quant. Finance 19, No. 8, 1339-1356 (2019). MSC: 91G20 60H07 PDFBibTeX XMLCite \textit{E. Alòs} et al., Quant. Finance 19, No. 8, 1339--1356 (2019; Zbl 1420.91441) Full Text: DOI arXiv
Alòs, Elisa; Shiraya, Kenichiro Estimating the Hurst parameter from short term volatility swaps: a Malliavin calculus approach. (English) Zbl 1411.91536 Finance Stoch. 23, No. 2, 423-447 (2019). MSC: 91G20 91G60 60H07 PDFBibTeX XMLCite \textit{E. Alòs} and \textit{K. Shiraya}, Finance Stoch. 23, No. 2, 423--447 (2019; Zbl 1411.91536) Full Text: DOI Link
Alòs, Elisa; León, Jorge A. On the curvature of the smile in stochastic volatility models. (English) Zbl 1371.91137 SIAM J. Financ. Math. 8, 373-399 (2017). Reviewer: Nikolaos Halidias (Athens) MSC: 91B70 91G80 60H07 60H30 PDFBibTeX XMLCite \textit{E. Alòs} and \textit{J. A. León}, SIAM J. Financ. Math. 8, 373--399 (2017; Zbl 1371.91137) Full Text: DOI
Alòs, Elisa; León, Jorge A. On the short-maturity behaviour of the implied volatility skew for random strike options and applications to option pricing approximation. (English) Zbl 1465.91107 Quant. Finance 16, No. 1, 31-42 (2016). MSC: 91G20 60H07 PDFBibTeX XMLCite \textit{E. Alòs} and \textit{J. A. León}, Quant. Finance 16, No. 1, 31--42 (2016; Zbl 1465.91107) Full Text: DOI
Alòs, Elisa; Chen, Zhanyu; Rheinländer, Thorsten Valuation of barrier options via a general self-duality. (English) Zbl 1348.91265 Math. Finance 26, No. 3, 492-515 (2016). MSC: 91G20 60H30 60G44 60H07 PDFBibTeX XMLCite \textit{E. Alòs} et al., Math. Finance 26, No. 3, 492--515 (2016; Zbl 1348.91265) Full Text: DOI
Alòs, Elisa; León, Jorge A.; Pontier, Monique; Vives, Josep 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. (English) Zbl 1161.60324 J. Appl. Math. Stochastic Anal. 2008, Article ID 359142, 17 p. (2008). MSC: 60H30 91B28 60H07 PDFBibTeX XMLCite \textit{E. Alòs} et al., J. Appl. Math. Stochastic Anal. 2008, Article ID 359142, 17 p. (2008; Zbl 1161.60324) Full Text: DOI EuDML
Alòs, Elisa; Ewald, Christian-Oliver Malliavin differentiability of the Heston volatility and applications to option pricing. (English) Zbl 1137.91422 Adv. Appl. Probab. 40, No. 1, 144-162 (2008). MSC: 91G80 60H07 60H30 91G20 PDFBibTeX XMLCite \textit{E. Alòs} and \textit{C.-O. Ewald}, Adv. Appl. Probab. 40, No. 1, 144--162 (2008; Zbl 1137.91422) Full Text: DOI
Alòs, Elisa; León, Jorge A.; Vives, Josep On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility. (English) Zbl 1145.91020 Finance Stoch. 11, No. 4, 571-589 (2007). Reviewer: Yuliya Mishura (Kyïv) MSC: 91B28 91B70 60H07 PDFBibTeX XMLCite \textit{E. Alòs} et al., Finance Stoch. 11, No. 4, 571--589 (2007; Zbl 1145.91020) Full Text: DOI Link
Alòs, Elisa A generalization of the Hull and White formula with applications to option pricing approximation. (English) Zbl 1101.60044 Finance Stoch. 10, No. 3, 353-365 (2006). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 60H30 60H07 91G20 PDFBibTeX XMLCite \textit{E. Alòs}, Finance Stoch. 10, No. 3, 353--365 (2006; Zbl 1101.60044) Full Text: DOI
Alòs, Elisa; Mazet, Olivier; Nualart, David Stochastic calculus with respect to Gaussian processes. (English) Zbl 1015.60047 Ann. Probab. 29, No. 2, 766-801 (2001). Reviewer: Nicolas Privault (La Rochelle) MSC: 60H05 60H07 60G15 PDFBibTeX XMLCite \textit{E. Alòs} et al., Ann. Probab. 29, No. 2, 766--801 (2001; Zbl 1015.60047) Full Text: DOI
Alòs, Elisa; Mazet, Olivier; Nualart, David Stochastic calculus with respect to fractional Brownian motion with Hurst parameter lesser than 1/2. (English) Zbl 1028.60047 Stochastic Processes Appl. 86, No. 1, 121-139 (2000). Reviewer: Bohdan Maslowski (Praha) MSC: 60H05 60G18 PDFBibTeX XMLCite \textit{E. Alòs} et al., Stochastic Processes Appl. 86, No. 1, 121--139 (2000; Zbl 1028.60047) Full Text: DOI
Alòs, Elisa; Nualart, David Anticipating stochastic Volterra equations. (English) Zbl 0942.60045 Stochastic Processes Appl. 72, No. 1, 73-95 (1997). Reviewer: B.Maslowski (Praha) MSC: 60H10 PDFBibTeX XMLCite \textit{E. Alòs} and \textit{D. Nualart}, Stochastic Processes Appl. 72, No. 1, 73--95 (1997; Zbl 0942.60045) Full Text: DOI