Aurélien Alfonsi

Publication Activity (10 Years)

Years Active: 2005-2024
Publications (10 Years): 10

Top Topics

Approximation Schemes

Positive Definite

Top Venues

Finance Stochastics

Math. Oper. Res.

Publications

Aurélien Alfonsi, Edoardo Lombardo
High order approximations of the log-Heston process semigroup. CoRR (2024)
Aurélien Alfonsi, Ahmed Kebaier
Approximation of Stochastic Volterra Equations with kernels of completely monotone type. Math. Comput. 93 (346) (2023)
Aurélien Alfonsi, Edoardo Lombardo
High order approximations of the Cox-Ingersoll-Ross process semigroup using random grids. CoRR (2022)
Aurélien Alfonsi, Rafaël Coyaud, Virginie Ehrlacher
Constrained overdamped Langevin dynamics for symmetric multimarginal optimal transportation. CoRR (2021)
Aurélien Alfonsi, Vlad Bally
A generic construction for high order approximation schemes of semigroups using random grids. Numerische Mathematik 148 (4) (2021)
Aurélien Alfonsi, Rafaël Coyaud, Virginie Ehrlacher, Damiano Lombardi
Approximation of optimal transport problems with marginal moments constraints. Math. Comput. 90 (328) (2021)
Aurélien Alfonsi, Ahmed Kebaier
Approximation of Stochastic Volterra Equations with kernels of completely monotone type. CoRR (2021)
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) (2019)
Aurélien Alfonsi, Pierre Blanc
Dynamic optimal execution in a mixed-market-impact Hawkes price model. Finance Stochastics 20 (1) (2016)
Aurélien Alfonsi, Florian Klöck, Alexander Schied
Multivariate Transient Price Impact and Matrix-Valued Positive Definite Functions. Math. Oper. Res. 41 (3) (2016)
Aurélien Alfonsi, Alexander Schied
Capacitary Measures for Completely Monotone Kernels via Singular Control. SIAM J. Control. Optim. 51 (2) (2013)
Aurélien Alfonsi, Alexander Schied, Alla Slynko
Order Book Resilience, Price Manipulation, and the Positive Portfolio Problem. SIAM J. Financial Math. 3 (1) (2012)
Aurélien Alfonsi
High order discretization schemes for the CIR process: Application to affine term structure and Heston models. Math. Comput. 79 (269) (2010)
Aurélien Alfonsi, Alexander Schied
Optimal Trade Execution and Absence of Price Manipulations in Limit Order Book Models. SIAM J. Financial Math. 1 (1) (2010)
Damiano Brigo, Aurélien Alfonsi
Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model. Finance Stochastics 9 (1) (2005)
Aurélien Alfonsi
On the discretization schemes for the CIR (and Bessel squared) processes. Monte Carlo Methods Appl. 11 (4) (2005)