Aurélien Alfonsi

17 papers Journal 17
YearRankTypeTitle / Venue / Authors
2025 J jnl
High Order Approximations and Simulation Schemes for the Log-Heston Process.
SIAM J. Financial Math.
Aurélien Alfonsi, Edoardo Lombardo
2024 J jnl
High order approximations of the log-Heston process semigroup.
CoRR
Aurélien Alfonsi, Edoardo Lombardo
2023 J jnl
Approximation of Stochastic Volterra Equations with kernels of completely monotone type.
Math. Comput.
Aurélien Alfonsi, Ahmed Kebaier
2022 J jnl
High order approximations of the Cox-Ingersoll-Ross process semigroup using random grids.
CoRR
Aurélien Alfonsi, Edoardo Lombardo
2021 J jnl
A generic construction for high order approximation schemes of semigroups using random grids.
Numerische Mathematik
Aurélien Alfonsi, Vlad Bally
2021 J jnl
Approximation of Stochastic Volterra Equations with kernels of completely monotone type.
CoRR
Aurélien Alfonsi, Ahmed Kebaier
2021 J jnl
Approximation of optimal transport problems with marginal moments constraints.
Math. Comput.
Aurélien Alfonsi, Rafaël Coyaud, Virginie Ehrlacher, Damiano Lombardi
2021 J jnl
Constrained overdamped Langevin dynamics for symmetric multimarginal optimal transportation.
CoRR
Aurélien Alfonsi, Rafaël Coyaud, Virginie Ehrlacher
2019 J jnl
Long-Time Large Deviations for the Multiasset Wishart Stochastic Volatility Model and Option Pricing.
SIAM J. Financial Math.
Aurélien Alfonsi, David Krief, Peter Tankov
2016 J jnl
Dynamic optimal execution in a mixed-market-impact Hawkes price model.
Finance Stochastics
Aurélien Alfonsi, Pierre Blanc
2016 J jnl
Multivariate Transient Price Impact and Matrix-Valued Positive Definite Functions.
Math. Oper. Res.
Aurélien Alfonsi, Florian Klöck, Alexander Schied
2013 J jnl
Capacitary Measures for Completely Monotone Kernels via Singular Control.
SIAM J. Control. Optim.
Aurélien Alfonsi, Alexander Schied
2012 J jnl
Order Book Resilience, Price Manipulation, and the Positive Portfolio Problem.
SIAM J. Financial Math.
Aurélien Alfonsi, Alexander Schied, Alla Slynko
2010 J jnl
High order discretization schemes for the CIR process: Application to affine term structure and Heston models.
Math. Comput.
Aurélien Alfonsi
2010 J jnl
Optimal Trade Execution and Absence of Price Manipulations in Limit Order Book Models.
SIAM J. Financial Math.
Aurélien Alfonsi, Alexander Schied
2005 J jnl
Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model.
Finance Stochastics
Damiano Brigo, Aurélien Alfonsi
2005 J jnl
On the discretization schemes for the CIR (and Bessel squared) processes.
Monte Carlo Methods Appl.
Aurélien Alfonsi