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~person:"Alòs, Elisa"
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Option pricing theory
24
Optionspreistheorie
24
Stochastic process
20
Stochastischer Prozess
20
Volatility
20
Volatilität
20
Malliavin calculus
7
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stochastic volatility models
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Alòs, Elisa
Güth, Werner
751
Acemoglu, Daron
715
Nijkamp, Peter
654
Stiglitz, Joseph E.
589
Gersbach, Hans
558
Snower, Dennis J.
542
Frey, Bruno S.
518
Pestieau, Pierre
469
Pesaran, M. Hashem
466
Stark, Oded
452
Aizenman, Joshua
442
Helpman, Elhanan
438
Koskela, Erkki
438
Creedy, John
430
Fabozzi, Frank J.
422
Woodford, Michael
421
Aghion, Philippe
413
Konrad, Kai A.
401
Zenou, Yves
396
Batabyal, Amitrajeet A.
394
Lambertini, Luca
393
Heckman, James J.
392
Fehr, Ernst
384
Glaeser, Edward L.
381
Cremer, Helmuth
380
Kaplow, Louis
376
Svensson, Lars E. O.
367
Shavell, Steven
364
Thisse, Jacques-François
360
Broll, Udo
355
Grossman, Gene M.
352
Shleifer, Andrei
352
Phillips, Peter C. B.
350
Tirole, Jean
340
Härdle, Wolfgang
336
Brady, Michael Emmett
329
Samuelson, Larry
325
Marjit, Sugata
322
Morris, Stephen
321
Chiarella, Carl
320
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Universitat Pompeu Fabra / Departament d'Economia i Empresa
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11
Finance and stochastics
4
Decisions in economics and finance : DEF ; a journal of applied mathematics
3
International journal of theoretical and applied finance
2
Quantitative finance
2
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ECONIS (ZBW)
26
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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
Special issue quantitative developments in financial volatility : theory and practice
Alòs, Elisa
(
ed.
);
Mancino, Maria Elvira
(
ed.
); …
-
2019
Persistent link: https://www.econbiz.de/10012127325
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 Margrabe options written on stochastic volatility models
Alòs, Elisa
;
Rheinländer, Thorsten
-
2015
Persistent link: https://www.econbiz.de/10011442222
Saved in:
9
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:
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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