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Alòs, Elisa

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Author ID: alos.elisa Recent zbMATH articles by "Alòs, Elisa"
Published as: Alos, Elisa; Alòs, E.; Alòs, Elisa; Alós, Elisa
External Links: MGP · ORCID
Documents Indexed: 29 Publications since 1997, including 1 Book
Reviewing Activity: 70 Reviews

Publications by Year

Citations contained in zbMATH Open

24 Publications have been cited 528 times in 415 Documents Cited by Year
Stochastic calculus with respect to Gaussian processes. Zbl 1015.60047
Alòs, Elisa; Mazet, Olivier; Nualart, David
204
2001
Stochastic integration with respect to the fractional Brownian motion. Zbl 1028.60048
Alòs, Elisa; Nualart, David
81
2002
On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility. Zbl 1145.91020
Alòs, Elisa; León, Jorge A.; Vives, Josep
56
2007
Stochastic calculus with respect to fractional Brownian motion with Hurst parameter lesser than 1/2. Zbl 1028.60047
Alòs, Elisa; Mazet, Olivier; Nualart, David
51
2000
Stochastic partial differential equations with Dirichlet white-noise boundary conditions. Zbl 0998.60065
Alòs, Elisa; Bonaccorsi, Stefano
21
2002
A generalization of the Hull and White formula with applications to option pricing approximation. Zbl 1101.60044
Alòs, Elisa
18
2006
Malliavin differentiability of the Heston volatility and applications to option pricing. Zbl 1137.91422
Alòs, Elisa; Ewald, Christian-Oliver
16
2008
Stochastic Stratonovich calculus fBm for fractional Brownian motion with Hurst parameter less than \(1/2\). Zbl 0989.60054
Alòs, E.; León, J. A.; Nualart, D.
15
2001
A decomposition formula for option prices in the Heston model and applications to option pricing approximation. Zbl 1259.91081
Alòs, Elisa
9
2012
Stochastic heat equation with random coefficients. Zbl 0939.60065
Alòs, Elisa; León, Jorge A.; Nualart, David
9
1999
An extension of Itô’s formula for anticipating processes. Zbl 0914.60018
Alòs, Elisa; Nualart, David
9
1998
Anticipating stochastic Volterra equations. Zbl 0942.60045
Alòs, Elisa; Nualart, David
7
1997
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. Zbl 1161.60324
Alòs, Elisa; León, Jorge A.; Pontier, Monique; Vives, Josep
6
2008
Stability for stochastic partial differential equations with Dirichlet white-noise boundary conditions. Zbl 1052.60046
Alòs, Elisa; Bonaccorsi, Stefano
6
2002
Calibration of stochastic volatility models via second-order approximation: the Heston case. Zbl 1337.91083
Alòs, Elisa; de Santiago, Rafael; Vives, Josep
3
2015
An anticipating Itô formula for Lévy processes. Zbl 1164.60041
Alós, Elisa; León, Jorge A.; Vives, Josep
3
2008
Stochastic heat equation with white-noise drift. Zbl 0970.60068
Alòs, E.; Nualart, D.; Viens, F.
3
2000
Estimating the Hurst parameter from short term volatility swaps: a Malliavin calculus approach. Zbl 1411.91536
Alòs, Elisa; Shiraya, Kenichiro
2
2019
On the curvature of the smile in stochastic volatility models. Zbl 1371.91137
Alòs, Elisa; León, Jorge A.
2
2017
A fractional Heston model with \(H>1/2\). Zbl 1366.91112
Alòs, Elisa; Yang, Yan
2
2017
Valuation of barrier options via a general self-duality. Zbl 1348.91265
Alòs, Elisa; Chen, Zhanyu; Rheinländer, Thorsten
2
2016
Exponentiation of conditional expectations under stochastic volatility. Zbl 1431.91387
Alòs, Elisa; Gatheral, Jim; Radoičić, Radoš
1
2020
Volatility and volatility-linked derivatives: estimation, modeling, and pricing. Zbl 1431.91388
Alòs, Elisa; Mancino, Maria Elvira; Wang, Tai-Ho
1
2019
A maximal inequality for the Skorohod integral. Zbl 0888.60042
Alòs, Elisa; Nualart, David
1
1997
Exponentiation of conditional expectations under stochastic volatility. Zbl 1431.91387
Alòs, Elisa; Gatheral, Jim; Radoičić, Radoš
1
2020
Estimating the Hurst parameter from short term volatility swaps: a Malliavin calculus approach. Zbl 1411.91536
Alòs, Elisa; Shiraya, Kenichiro
2
2019
Volatility and volatility-linked derivatives: estimation, modeling, and pricing. Zbl 1431.91388
Alòs, Elisa; Mancino, Maria Elvira; Wang, Tai-Ho
1
2019
On the curvature of the smile in stochastic volatility models. Zbl 1371.91137
Alòs, Elisa; León, Jorge A.
2
2017
A fractional Heston model with \(H>1/2\). Zbl 1366.91112
Alòs, Elisa; Yang, Yan
2
2017
Valuation of barrier options via a general self-duality. Zbl 1348.91265
Alòs, Elisa; Chen, Zhanyu; Rheinländer, Thorsten
2
2016
Calibration of stochastic volatility models via second-order approximation: the Heston case. Zbl 1337.91083
Alòs, Elisa; de Santiago, Rafael; Vives, Josep
3
2015
A decomposition formula for option prices in the Heston model and applications to option pricing approximation. Zbl 1259.91081
Alòs, Elisa
9
2012
Malliavin differentiability of the Heston volatility and applications to option pricing. Zbl 1137.91422
Alòs, Elisa; Ewald, Christian-Oliver
16
2008
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. Zbl 1161.60324
Alòs, Elisa; León, Jorge A.; Pontier, Monique; Vives, Josep
6
2008
An anticipating Itô formula for Lévy processes. Zbl 1164.60041
Alós, Elisa; León, Jorge A.; Vives, Josep
3
2008
On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility. Zbl 1145.91020
Alòs, Elisa; León, Jorge A.; Vives, Josep
56
2007
A generalization of the Hull and White formula with applications to option pricing approximation. Zbl 1101.60044
Alòs, Elisa
18
2006
Stochastic integration with respect to the fractional Brownian motion. Zbl 1028.60048
Alòs, Elisa; Nualart, David
81
2002
Stochastic partial differential equations with Dirichlet white-noise boundary conditions. Zbl 0998.60065
Alòs, Elisa; Bonaccorsi, Stefano
21
2002
Stability for stochastic partial differential equations with Dirichlet white-noise boundary conditions. Zbl 1052.60046
Alòs, Elisa; Bonaccorsi, Stefano
6
2002
Stochastic calculus with respect to Gaussian processes. Zbl 1015.60047
Alòs, Elisa; Mazet, Olivier; Nualart, David
204
2001
Stochastic Stratonovich calculus fBm for fractional Brownian motion with Hurst parameter less than \(1/2\). Zbl 0989.60054
Alòs, E.; León, J. A.; Nualart, D.
15
2001
Stochastic calculus with respect to fractional Brownian motion with Hurst parameter lesser than 1/2. Zbl 1028.60047
Alòs, Elisa; Mazet, Olivier; Nualart, David
51
2000
Stochastic heat equation with white-noise drift. Zbl 0970.60068
Alòs, E.; Nualart, D.; Viens, F.
3
2000
Stochastic heat equation with random coefficients. Zbl 0939.60065
Alòs, Elisa; León, Jorge A.; Nualart, David
9
1999
An extension of Itô’s formula for anticipating processes. Zbl 0914.60018
Alòs, Elisa; Nualart, David
9
1998
Anticipating stochastic Volterra equations. Zbl 0942.60045
Alòs, Elisa; Nualart, David
7
1997
A maximal inequality for the Skorohod integral. Zbl 0888.60042
Alòs, Elisa; Nualart, David
1
1997
all top 5

Cited by 510 Authors

25 Yan, Litan
23 Nualart, David
14 Alòs, Elisa
14 Tindel, Samy
13 Tudor, Ciprian A.
12 León, Jorge A.
12 Maslowski, Bohdan
10 Jacquier, Antoine
9 Viens, Frederi G.
8 Fan, Xiliang
7 Jolis, Maria
7 Ouknine, Youssef
7 Russo, Francesco
7 Vives, Josep
7 Xu, Yong
6 Bender, Christian
6 Dokuchaev, Nikolai G.
6 Duncan, Tyrone E.
6 Pei, Bin
6 Sun, Xichao
6 Viitasaari, Lauri
5 Bardina, Xavier
5 Caraballo Garrido, Tomás
5 Chen, Chao
5 Es-Sebaiy, Khalifa
5 Hu, Yaozhong
5 Kaikina, Elena Igorevna
5 Kim, Yoontae
5 Liu, Junfeng
5 Pasik-Duncan, Bozenna
5 Shen, Guangjun
5 Sottinen, Tommi
5 Yang, Qigui
5 Zeng, Caibin
4 Azmoodeh, Ehsan
4 Chen, Yangquan
4 Deya, Aurélien
4 Diop, Mamadou Abdoul
4 Nguyen Tien Dung
4 Garrido-Atienza, María José
4 Lebovits, Joachim
4 Li, Zhi
4 Nourdin, Ivan
4 Park, Hyun Suk
4 Roome, Patrick
4 Rovira, Carles
3 Benth, Fred Espen
3 Bonaccorsi, Stefano
3 Boudaoui, Ahmed
3 Čoupek, Petr
3 da Silva, José Luís
3 Decreusefond, Laurent
3 Duan, Jinqiao
3 Fukasawa, Masaaki
3 Gerhold, Stefan
3 Gulisashvili, Archil
3 Lévy Véhel, Jacques
3 Lototsky, Sergey V.
3 Merino, Raúl
3 Neuenkirch, Andreas
3 Pospíšil, Jan
3 Shi, Fangwei
3 Wang, Guolian
3 Yamada, Toshihiro
3 Yazigi, Adil
2 Alpay, Daniel Aron
2 Antonelli, Fabio
2 Araya, Héctor
2 Attia, Haim
2 Avazzadeh, Zakieh
2 Balan, Raluca M.
2 Baños, David R.
2 Baudoin, Fabrice
2 Bayer, Christian
2 Besalú, Mireia
2 Blouhi, Tayeb
2 Bock, Wolfgang
2 Brzeźniak, Zdzisław
2 Coutin, Laure
2 Cuchiero, Christa
2 Dalang, Robert C.
2 De Marco, Stefano
2 Debussche, Arnaud
2 Elbarrimi, Oussama
2 Essaky, El Hassan
2 Ewald, Christian-Oliver
2 Ferrante, Marco
2 Flandoli, Franco
2 Forde, Martin
2 Garnier, Josselin
2 Gatheral, Jim
2 Goldys, Beniamin
2 Gradinaru, Mihai
2 Guerra, João M. E.
2 Guo, Boling
2 Guo, Rong
2 He, Kun
2 Herbin, Erick
2 Heydari, Mohammad Hossien
2 Horvath, Blanka
...and 410 more Authors
all top 5

Cited in 124 Serials

33 Stochastic Processes and their Applications
27 Stochastic Analysis and Applications
20 Statistics & Probability Letters
15 The Annals of Probability
15 Stochastics and Dynamics
14 Stochastics
13 SIAM Journal on Financial Mathematics
12 Finance and Stochastics
12 Quantitative Finance
11 Journal of Theoretical Probability
10 Bernoulli
9 Journal of Functional Analysis
8 Journal of Mathematical Analysis and Applications
8 International Journal of Theoretical and Applied Finance
7 Discrete and Continuous Dynamical Systems. Series B
5 Applied Mathematics and Optimization
5 Abstract and Applied Analysis
5 Infinite Dimensional Analysis, Quantum Probability and Related Topics
5 Decisions in Economics and Finance
5 Journal of the Korean Statistical Society
4 Journal of Differential Equations
4 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods
4 Transactions of the American Mathematical Society
4 Potential Analysis
4 Discrete and Continuous Dynamical Systems
4 Mathematical Finance
4 Advances in Difference Equations
4 Frontiers of Mathematics in China
4 International Journal of Stochastic Analysis
3 Computers & Mathematics with Applications
3 The Annals of Statistics
3 Czechoslovak Mathematical Journal
3 Journal of Applied Probability
3 Bulletin of the Korean Mathematical Society
3 The Annals of Applied Probability
3 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
3 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
3 Brazilian Journal of Probability and Statistics
3 Journal of Evolution Equations
3 Stochastic and Partial Differential Equations. Analysis and Computations
2 Advances in Applied Probability
2 Journal of Mathematical Physics
2 Chaos, Solitons and Fractals
2 Journal of Computational and Applied Mathematics
2 Journal of Statistical Planning and Inference
2 Mathematics of Operations Research
2 Journal de Mathématiques Pures et Appliquées. Neuvième Série
2 SIAM Journal on Mathematical Analysis
2 Theory of Probability and Mathematical Statistics
2 Random Operators and Stochastic Equations
2 Mathematical Problems in Engineering
2 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations
2 Nonlinear Dynamics
2 Fractional Calculus & Applied Analysis
2 Acta Mathematica Sinica. English Series
2 Communications in Nonlinear Science and Numerical Simulation
2 Comptes Rendus. Mathématique. Académie des Sciences, Paris
2 Mediterranean Journal of Mathematics
2 Boundary Value Problems
2 Advances in Mathematical Physics
2 Science China. Mathematics
1 Bulletin of the Australian Mathematical Society
1 Journal of the Franklin Institute
1 Journal of Statistical Physics
1 Letters in Mathematical Physics
1 Lithuanian Mathematical Journal
1 Nonlinearity
1 Theoretical and Mathematical Physics
1 Theory of Probability and its Applications
1 Applied Mathematics and Computation
1 Collectanea Mathematica
1 Mathematische Zeitschrift
1 Proceedings of the American Mathematical Society
1 Quarterly of Applied Mathematics
1 Systems & Control Letters
1 Mathematical Social Sciences
1 Applied Mathematics and Mechanics. (English Edition)
1 Applied Numerical Mathematics
1 Acta Mathematicae Applicatae Sinica. English Series
1 Statistics
1 Journal of Complexity
1 Revista Matemática Iberoamericana
1 Queueing Systems
1 Journal of Scientific Computing
1 Journal of Applied Mathematics and Stochastic Analysis
1 International Journal of Adaptive Control and Signal Processing
1 Applications of Mathematics
1 Communications in Statistics. Theory and Methods
1 European Journal of Operational Research
1 Journal of Dynamics and Differential Equations
1 Cybernetics and Systems Analysis
1 Annales de la Faculté des Sciences de Toulouse. Mathématiques. Série VI
1 Topological Methods in Nonlinear Analysis
1 Statistical Papers
1 NoDEA. Nonlinear Differential Equations and Applications
1 Applied Mathematical Finance
1 Electronic Communications in Probability
1 Annales Academiae Scientiarum Fennicae. Mathematica
1 Journal of Inequalities and Applications
1 Discrete Dynamics in Nature and Society
...and 24 more Serials

Citations by Year