Research output per year
Research output per year
Personal profile
Research
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.
Profile
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.
Teaching
Elisa has taught courses at both undergraduate and graduate level covering fixed income, derivatives pricing, mathematical finance, and financial engineering.
Areas of expertise
- Option Pricing
- Volatility Derivatives
- Approximation Methods
- Energy Markets
Fingerprint
Dive into the research topics where Elisa Nicolato is active. These topic labels come from the works of this person. Together they form a unique fingerprint.
- 1 Similar Profiles
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The short-time behavior of VIX-implied volatilities in a multifactor stochastic volatility framework
Barletta, A., Nicolato, E. & Pagliarani, S., 2019, In: Mathematical Finance. 29, 3, p. 928-966 39 p.Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
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Orthogonal Expansions for VIX Options Under Affine Jump Diffusions
Barletta, A. & Nicolato, E., 2018, In: Quantitative Finance. 18, 6, p. 951-967 17 p.Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
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The Impact of Jump Distributions on the Implied Volatility of Variance
Nicolato, E., Pisani, C. & Pedersen, D. S., 2017, In: SIAM Journal on Financial Mathematics. 8, 1, p. 28-53 26 p.Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
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On Multivariate extensions of Levy driven Ornstein-Uhlenbeck type stochastic volatility models and multi-asset options
Nicolato, E. & Hubalek, F., 2015, (Submitted) In: International Journal of Theoretical and Applied Finance.Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
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Risk Adjustments of Option Prices under Time-changed Dynamics
Nicolato, E. & Pedersen, D. S., 2014, In: Quantitative Finance. 14, 1, p. 125-141Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
Activities
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Commodities and Commodity Derivatives, PhD course
Nicolato, E. (Organizer)
2011 → …Activity: Participating in or organising an event types › Participation in or organisation af a conference
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PhD Course "Stochastic Processes in Financial Applications"
Nicolato, E. (Organizer)
2010 → …Activity: Participating in or organising an event types › Participation in or organisation of workshop, seminar or course
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19th Annual Derivatives Securities and Risk Management Conference
Nicolato, E. (Participant)
2009 → …Activity: Participating in or organising an event types › Participation in or organisation af a conference
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PhD Course "Credit Risk and Bubbles"
Nicolato, E. (Organizer)
2009 → …Activity: Participating in or organising an event types › Participation in or organisation of workshop, seminar or course
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SPA Berlin 2009 : 33rd Conference on Stochastic Processes and their Applications
Nicolato, E. (Participant)
2009 → …Activity: Participating in or organising an event types › Participation in or organisation af a conference