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Publications by Elisa Alòs

Estimating the Hurst Parameter From Short Term Volatility Swaps: A Malliavin Calculus Approach

Finance and Stochastics

English

On the Short-Time Behavior of the Implied Volatility for Jump-Diffusion Models With Stochastic Volatility

Finance and Stochastics

English

Related publications

Weak Approximations. A Malliavin Calculus Approach

SSRN Electronic Journal

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Stochastics Calculus: Malliavin Calculus in a Simplest Way

IOSR Journal of Mathematics

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An Asymptotic Expansion for Forward–Backward SDEs: A Malliavin Calculus Approach

Asia-Pacific Financial Markets

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A Novel Approach to the Estimation of the Hurst Parameter in Self-Similar Traffic

English

Smart Monte Carlo: Various Tricks Using Malliavin Calculus

SSRN Electronic Journal

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Short Term Predicting Volatility Service Jordanian Sector

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Universal Malliavin Calculus in Fock and Lévy-Itô Spaces

Communications on Stochastic Analysis

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A Note on Wavelet-Based Estimator of the Hurst Parameter

Electronic Engineering

Information Systems

Mathematical Physics

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Estimating Probability Densities From Short Samples: A Parametric Maximum Likelihood Approach

Physical Review E

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