Department of Economics and Business Economics

Elisa Nicolato

  1. 2019
  2. Published

    The short-time behavior of VIX-implied volatilities in a multifactor stochastic volatility framework. / Barletta, Andrea; Nicolato, Elisa; Pagliarani, Stefano.

    In: Mathematical Finance, Vol. 29, No. 3, 2019, p. 928-966.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  3. 2018
  4. Published

    Orthogonal Expansions for VIX Options Under Affine Jump Diffusions. / Barletta, Andrea; Nicolato, Elisa.

    In: Quantitative Finance, Vol. 18, No. 6, 2018, p. 951-967.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  5. 2017
  6. Published

    The Impact of Jump Distributions on the Implied Volatility of Variance. / Nicolato, Elisa; Pisani, Camilla; Pedersen, David Sloth.

    In: SIAM Journal on Financial Mathematics, Vol. 8, No. 1, 2017, p. 28-53.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  7. 2015
  8. Submitted

    On Multivariate extensions of Levy driven Ornstein-Uhlenbeck type stochastic volatility models and multi-asset options. / Nicolato, Elisa; Hubalek, Friedrich.

    In: International Journal of Theoretical and Applied Finance, 2015.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  9. 2014
  10. Published

    Risk Adjustments of Option Prices under Time-changed Dynamics. / Nicolato, Elisa; Pedersen, David Sloth.

    In: Quantitative Finance, Vol. 14, No. 1, 2014, p. 125-141.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  11. 2010
  12. Published

    Sato Processes in Default Modeling. / Kokholm, Thomas; Nicolato, Elisa.

    In: Applied Mathematical Finance, Vol. 17, No. 5, 2010, p. 377-397.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  13. 2009
  14. Published

    Alternative Specifications for the Lévy Libor Market Model: An Empirical Investigation. / Skovmand, David; Nicolato, Elisa.

    2009. Paper presented at 19th Annual Derivatives Securities and Risk Management Conference, Arlington, Virginia, United States.

    Research output: Contribution to conferencePaperResearchpeer-review

  15. Published

    Multivariate Modelling via Matrix Subordination. / Nicolato, Elisa.

    2009. Paper presented at Quantitative Methods in Finance Conference (QMF), Sydney, Australia.

    Research output: Contribution to conferencePaperResearchpeer-review

  16. Published

    Sato Processes in Default Modeling. / Kokholm, Thomas; Nicolato, Elisa.

    Aarhus : Aarhus School of Business, Aarhus University, Department of Business Studies, 2009.

    Research output: Working paperResearch

  17. Published

    Stochastic Volatility and Option Pricing in Heath-Jarrow-Morton Term Structure Analysis. / Christensen, Bent Jesper; Konaris, George; Nicolato, Elisa; Skovmand, David.

    2009. Paper presented at 19th Annual Derivatives Securities and Risk Management Conference, Arlington, Virginia, United States.

    Research output: Contribution to conferencePaperResearchpeer-review

  18. 2008
  19. Published

    Sato Processes in Default Modeling. / Kokholm, Thomas; Nicolato, Elisa.

    2008. Paper presented at Quantitative Methods in Finance Conference 2008, Sydney, Australia.

    Research output: Contribution to conferencePaperResearchpeer-review

  20. Published

    Self-Similar Additive Processes in Default Modelling. / Nicolato, Elisa; Kokholm, Thomas.

    2008. Paper presented at International Workshop: Credit Risk, Evry, France.

    Research output: Contribution to conferencePaperResearchpeer-review

  21. Published

    Self-Similar Additive Processes in Default Modelling. / Nicolato, Elisa; Kokholm, Thomas.

    2008. Paper presented at Bachelier Finance Society 2008 Fifth World Congress, London, United Kingdom.

    Research output: Contribution to conferencePaperResearchpeer-review

  22. 2003
  23. Published

    Option Pricing in Stochastic Volatility Models of the Ornstein-Uhlenbeck type. / Nicolato, Elisa; Venardos, Emmanouil.

    In: Mathematical Finance, Vol. 13, No. 4, 2003, p. 445-466.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  24. 2002
  25. Published

    Some recent developments in stochastic volatility modelling. / Barndorff-Nielsen, Ole; Nicolato, Elisa; Shephard, N.

    In: Quantitative Finance, Vol. 2, No. 1, 2002, p. 11-23.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  26. 1999
  27. Published

    A Bayesian Dynamic Programming approach to optimal maintenance combined with burn-in. / Nicolato, Elisa; Runggaldier, Wolfgang.

    In: Annals of Operations Research, Vol. 91, No. 1-4, 1999.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review