Elisa Alòs

Biosketch

I am an associate professor in the department of Economics and Business at the Universitat Pompeu Fabra (Barcelona). Prior to joining the UPF in January 2001, I was an assistant professor at Universitat Autònoma de Barcelona. I completed my Ph.D. in Mathematics in 1998 at the University of Barcelona, with a dissertation based on Malliavin Calculus techniques applied to the study of stochastic integral equations.

My research relies on the applications of stochastic analysis in mathematical finance. In particular, it is focused on the application of Malliavin calculus techniques and the use of fractional noises in market modeling. My main published results are related to the construction of closed-form approximation formulas for option prices, as well as with the analytical study of the properties of models (as for example, the analytical study of the implied volatility skew for stochastic volatility models).

Research lines

• Malliavin calculus
• Fractional Brownian motion
• Option pricing approximation
• Market modeling

Selected publications

• Alòs, O. Mazet and D. Nualart: Stochastic calculus with respect to the Gaussian processes. The Annals of Probability 29 (2) (2001) 766-801.
• Alòs, J. A. León and J. Vives: On the short-time behaviour of the implied volatility for jump-diffusion models with stochastic volatility. Finance and Stochastics11 (4) (2007), 571-589.
• Alòs and C. O. Ewald: Malliavin Differentiability of the Heston Volatility and Applications to Option Pricing. Advances in Applied Probability40 (1) (2008), 144-162.
• Alòs: A decomposition formula for option prices in the Heston model and applications to option pricing approximation. Finance and Stochastics16 (3) (2012).
• Alòs, Z. Chen and T. Rheinländer Hedging of Barrier Options via a General Self-duality. Mathematical Finance (2014).