Publikationer pr. år
Publikationer pr. år
Personlig profil
Forskning
Elisa' research interests include option pricing, term structure of interest, efficient approximation methods and modelling for energy markets. She is particularly interested in developing tractable stochastic volatility models in finite and infinite dimension for option pricing. Recent work has focused to finding accurate and efficient approximations to enable fast calibration of complex pricing models.
Profil
Elisa Nicolato is an Associate Professor at the Department of Economics and Business Economics, Aarhus University. She is a research fellow at the Danish Finance Institute (DFI) and the Center for Research in Energy: Economics and Markets (CoRE). She holds a PhD in Mathematics from University of Padua.
Undervisning
Elisa has taught courses at both undergraduate and graduate level covering fixed income, derivatives pricing, mathematical finance, and financial engineering.
Fingeraftryk
Dyk ned i forskningsemnerne, hvor Elisa Nicolato er aktive. Disse emneetiketter kommer fra dennes persons arbejder. Sammen danner de et unikt fingerprint.
- 1 Lignende profiler
-
An orthogonal expansion approach to joint SPX and VIX calibration in affine stochastic volatility models with jumps
Kloster, T. K. & Nicolato, E., 2025, I: Quantitative Finance. 25, 1, s. 63-89 27 s.Publikation: Bidrag til tidsskrift/Konferencebidrag i tidsskrift /Bidrag til avis › Tidsskriftartikel › Forskning › peer review
Åben adgang -
The short-time behavior of VIX-implied volatilities in a multifactor stochastic volatility framework
Barletta, A., Nicolato, E. & Pagliarani, S., 2019, I: Mathematical Finance. 29, 3, s. 928-966 39 s.Publikation: Bidrag til tidsskrift/Konferencebidrag i tidsskrift /Bidrag til avis › Tidsskriftartikel › Forskning › peer review
12 Citationer (Scopus) -
Orthogonal Expansions for VIX Options Under Affine Jump Diffusions
Barletta, A. & Nicolato, E., 2018, I: Quantitative Finance. 18, 6, s. 951-967 17 s.Publikation: Bidrag til tidsskrift/Konferencebidrag i tidsskrift /Bidrag til avis › Tidsskriftartikel › Forskning › peer review
5 Citationer (Scopus) -
The Impact of Jump Distributions on the Implied Volatility of Variance
Nicolato, E., Pisani, C. & Pedersen, D. S., 2017, I: SIAM Journal on Financial Mathematics. 8, 1, s. 28-53 26 s.Publikation: Bidrag til tidsskrift/Konferencebidrag i tidsskrift /Bidrag til avis › Tidsskriftartikel › Forskning › peer review
7 Citationer (Scopus) -
On Multivariate extensions of Levy driven Ornstein-Uhlenbeck type stochastic volatility models and multi-asset options
Nicolato, E. & Hubalek, F., 2015, (Afsendt) I: International Journal of Theoretical and Applied Finance.Publikation: Bidrag til tidsskrift/Konferencebidrag i tidsskrift /Bidrag til avis › Tidsskriftartikel › Forskning › peer review
Aktiviteter
-
Commodities and Commodity Derivatives, PhD course
Nicolato, E. (Arrangør)
2011 → …Aktivitet: Deltagelse i eller arrangement af en begivenhed - typer › Deltagelse i eller organisering af konference
-
PhD Course "Stochastic Processes in Financial Applications"
Nicolato, E. (Arrangør)
2010 → …Aktivitet: Deltagelse i eller arrangement af en begivenhed - typer › Deltagelse i eller organisering af workshop, seminar eller kursus
-
Quantitative Methods in Finance Conference (QMF)
Nicolato, E. (Deltager)
2009 → …Aktivitet: Deltagelse i eller arrangement af en begivenhed - typer › Deltagelse i eller organisering af konference
-
PhD Course "Credit Risk and Bubbles"
Nicolato, E. (Arrangør)
2009 → …Aktivitet: Deltagelse i eller arrangement af en begivenhed - typer › Deltagelse i eller organisering af workshop, seminar eller kursus
-
SPA Berlin 2009 : 33rd Conference on Stochastic Processes and their Applications
Nicolato, E. (Deltager)
2009 → …Aktivitet: Deltagelse i eller arrangement af en begivenhed - typer › Deltagelse i eller organisering af konference