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ORCIDAurélien Alfonsi
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2020 – today
- 2024
[i4]Aurélien Alfonsi, Edoardo Lombardo:
High order approximations of the log-Heston process semigroup. CoRR abs/2407.17151 (2024)- 2023
- [j12]Aurélien Alfonsi, Ahmed Kebaier:
Approximation of Stochastic Volterra Equations with kernels of completely monotone type. Math. Comput. 93(346): 643-677 (2023) - 2022
- [i3]Aurélien Alfonsi, Edoardo Lombardo:
High order approximations of the Cox-Ingersoll-Ross process semigroup using random grids. CoRR abs/2209.13334 (2022) - 2021
- [j11]Aurélien Alfonsi
, Rafaël Coyaud, Virginie Ehrlacher, Damiano Lombardi:
Approximation of optimal transport problems with marginal moments constraints. Math. Comput. 90(328): 689-737 (2021) - [j10]Aurélien Alfonsi, Vlad Bally:
A generic construction for high order approximation schemes of semigroups using random grids. Numerische Mathematik 148(4): 743-793 (2021) - [i2]Aurélien Alfonsi, Rafaël Coyaud, Virginie Ehrlacher:
Constrained overdamped Langevin dynamics for symmetric multimarginal optimal transportation. CoRR abs/2102.03091 (2021) - [i1]Aurélien Alfonsi, Ahmed Kebaier:
Approximation of Stochastic Volterra Equations with kernels of completely monotone type. CoRR abs/2102.13505 (2021)
2010 – 2019
- 2019
- [j9]Aurélien Alfonsi, David Krief, Peter Tankov:
Long-Time Large Deviations for the Multiasset Wishart Stochastic Volatility Model and Option Pricing. SIAM J. Financial Math. 10(4): 942-976 (2019) - 2016
- [j8]Aurélien Alfonsi, Pierre Blanc:
Dynamic optimal execution in a mixed-market-impact Hawkes price model. Finance Stochastics 20(1): 183-218 (2016) - [j7]Aurélien Alfonsi, Florian Klöck, Alexander Schied:
Multivariate Transient Price Impact and Matrix-Valued Positive Definite Functions. Math. Oper. Res. 41(3): 914-934 (2016) - 2013
- [j6]Aurélien Alfonsi, Alexander Schied:
Capacitary Measures for Completely Monotone Kernels via Singular Control. SIAM J. Control. Optim. 51(2): 1758-1780 (2013) - 2012
- [j5]Aurélien Alfonsi, Alexander Schied, Alla Slynko:
Order Book Resilience, Price Manipulation, and the Positive Portfolio Problem. SIAM J. Financial Math. 3(1): 511-533 (2012) - 2010
- [j4]Aurélien Alfonsi:
High order discretization schemes for the CIR process: Application to affine term structure and Heston models. Math. Comput. 79(269): 209-237 (2010) - [j3]Aurélien Alfonsi, Alexander Schied:
Optimal Trade Execution and Absence of Price Manipulations in Limit Order Book Models. SIAM J. Financial Math. 1(1): 490-522 (2010)
2000 – 2009
- 2005
- [j2]Damiano Brigo, Aurélien Alfonsi:
Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model. Finance Stochastics 9(1): 29-42 (2005) - [j1]Aurélien Alfonsi:
On the discretization schemes for the CIR (and Bessel squared) processes. Monte Carlo Methods Appl. 11(4): 355-384 (2005)
Coauthor Index
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