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Elisa Alòs · Study
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Author
Elisa Alòs
15 works
· latest 2021
· 3 institutions
cluster: provisional
ORCID 0000-0003-4234-0671
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15
Citations
1,584
Works here
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Most cited in this library
Stochastic Calculus with Respect to Gaussian Processes
2001 · 536 citations
On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility
2007 · 239 citations
Stochastic integration with respect to the fractional Brownian motion
2003 · 228 citations
Stochastic calculus with respect to fractional Brownian motion with Hurst parameter lesser than 12
2000 · 150 citations
Malliavin differentiability of the Heston volatility and applications to option pricing
2008 · 65 citations
Works
15 shown
Malliavin Calculus in Finance
Chapman & Hall/CRC eBooks
·
2021
·
3 authors
·
book
25
citations
Exponentiation of Conditional Expectations Under Stochastic Volatility
Quantitative Finance
·
2017
·
3 authors
·
Open access
26
citations
CALIBRATION OF STOCHASTIC VOLATILITY MODELS VIA SECOND-ORDER APPROXIMATION: THE HESTON CASE
International Journal of Theoretical and Applied Finance
·
2015
·
2 authors
22
citations
A decomposition formula for option prices in the Heston model and applications to option pricing approximation
Finance and Stochastics
·
2012
·
1 author
·
Open access
53
citations
Malliavin differentiability of the Heston volatility and applications to option pricing
Advances in Applied Probability
·
2008
·
2 authors
·
Open access
65
citations
On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility
Finance and Stochastics
·
2007
·
3 authors
·
Open access
239
citations
Malliavin Differentiability of the Heston Volatility and Applications to Option Pricing
SSRN Electronic Journal
·
2007
·
2 authors
·
preprint
·
Open access
22
citations
A generalization of the Hull and White formula with applications to option pricing approximation
Finance and Stochastics
·
2006
·
1 author
64
citations
Stochastic integration with respect to the fractional Brownian motion
Stochastics and stochastics reports
·
2003
·
2 authors
228
citations
Stochastic partial differential equations with Dirichlet white-noise boundary conditions
Annales de l Institut Henri Poincaré Probabilités et Statistiques
·
2002
·
1 author
·
Open access
52
citations
STOCHASTIC STRATONOVICH CALCULUS fBm FOR FRACTIONAL BROWNIAN MOTION WITH HURST PARAMETER LESS THAN 1/2
Taiwanese Journal of Mathematics
·
2001
·
3 authors
·
Open access
42
citations
Stochastic Calculus with Respect to Gaussian Processes
The Annals of Probability
·
2001
·
3 authors
·
Open access
536
citations
Stochastic calculus with respect to fractional Brownian motion with Hurst parameter lesser than 12
Stochastic Processes and their Applications
·
2000
·
3 authors
·
Open access
150
citations
Stochastic heat equation with random coefficients
Probability Theory and Related Fields
·
1999
·
3 authors
·
Open access
24
citations
An Extension of Itô's Formula for Anticipating Processes
Journal of Theoretical Probability
·
1998
·
2 authors
36
citations