Elisa Alòs

Stochastic Calculus with Respect to Gaussian Processes

Elisa Alòs, Olivier Mazet, David Nualart · The Annals of Probability · 2001 · 538 citations · Full text

Fractional Brownian Motion, Engineering, Indefinite Integrals +8

Stochastic integration with respect to the fractional Brownian motion

Elisa Alòs, David Nualart · Stochastics and stochastics reports · 2003 · 231 citations

Fractional Brownian Motion, Engineering, Stochastic Processes +8

On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility

Elisa Alòs, Jorge A. Leòn, Josep Vives · Finance and Stochastics · 2007 · 231 citations

Volatility Modeling, Multivariate Stochastic Volatility, Option Pricing +9

Stochastic calculus with respect to fractional Brownian motion with Hurst parameter lesser than 12

Elisa Alòs, Olivier Mazet, David Nualart · Stochastic Processes and their Applications · 2000 · 153 citations

Fractional Brownian Motion, Engineering, Stochastic Processes +7

Malliavin differentiability of the Heston volatility and applications to option pricing

Elisa Alòs, Christian‐Oliver Ewald · Advances in Applied Probability · 2008 · 72 citations · Full text

Option Pricing, Heston Volatility, Asset Pricing +8