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General Duality for Perpetual American Options

Aurélien Alfonsi , Benjamin Jourdain
International Journal of Theoretical and Applied Finance, 2008,
Journal articles hal-00121600v1
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A closed-form extension to the Black-Cox model

Aurélien Alfonsi , Jérôme Lelong
International Journal of Theoretical and Applied Finance, 2012, 15 (8), pp.1250053:1-30. ⟨10.1142/S0219024912500537⟩
Journal articles hal-00414280v2
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Pathwise optimal transport bounds between a one-dimensional diffusion and its Euler scheme

Aurélien Alfonsi , Benjamin Jourdain , Arturo Kohatsu-Higa
Annals of Applied Probability, 2014,
Journal articles hal-00727430v1
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Squared quadratic Wasserstein distance: optimal couplings and Lions differentiability

Aurélien Alfonsi , Benjamin Jourdain
ESAIM: Probability and Statistics, 2020, 24, pp.703-717. ⟨10.1051/ps/2020013⟩
Journal articles hal-01934705v2

A generic construction for high order approximation schemes of semigroups using random grids

Aurélien Alfonsi , Vlad Bally
Numerische Mathematik, 2021, ⟨10.1007/s00211-021-01219-2⟩
Journal articles hal-02406433v1
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A remark on the optimal transport between two probability measures sharing the same copula

Aurélien Alfonsi , Benjamin Jourdain
Statistics and Probability Letters, 2014,
Journal articles hal-00844906v1

Parametrix Methods for One-Dimensional Reflected SDEs

Aurélien Alfonsi , Masafumi Hayashi , Arturo Kohatsu-Higa
Modern Problems of Stochastic Analysis and Statistics Selected Contributions In Honor of Valentin Konakov , Springer Proceedings in Mathematics & Statistics (208), Springer, 2017, 978-3-319-65313-6. ⟨10.1007/978-3-319-65313-6_3⟩
Book sections hal-01670011v1

Sampling of probability measures in the convex order by Wasserstein projection

Aurélien Alfonsi , Jacopo Corbetta , Benjamin Jourdain
Annales de l'Institut Henri Poincaré (B) Probabilités et Statistiques, 2020, 56 (3), pp.1706-1729. ⟨10.1214/19-AIHP1014⟩
Journal articles hal-01589581v1
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High order discretization schemes for the CIR process: application to Affine Term Structure and Heston models

Aurélien Alfonsi
Mathematics of Computation, 2010, 79 (269), pp.209-237. ⟨10.1090/S0025-5718-09-02252-2⟩
Journal articles hal-00143723v5

Multivariate transient price impact and matrix-valued positive definite functions

Aurélien Alfonsi , Alexander Schied , Florian Klöck
Mathematics of Operations Research, 2016, ⟨10.1287/moor.2015.0761⟩
Journal articles hal-00919895v1
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Capacitary measures for completely monotone kernels via singular control

Aurélien Alfonsi , Alexander Schied
SIAM Journal on Control and Optimization, 2013, 51 (2), pp.1758-1780. ⟨10.1137/120862223⟩
Journal articles hal-00659421v2

Affine Diffusions and Related Processes: Simulation, Theory and Applications

Aurélien Alfonsi
Springer. Springer, Mathematics, Statistics, Finance and Economics (6), 2015, Bocconi & Springer Series, 978-3319052205. ⟨10.1007/978-3-319-05221-2⟩
Books hal-03127212v1
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Sampling of one-dimensional probability measures in the convex order and computation of robust option price bounds

Aurélien Alfonsi , Jacopo Corbetta , Benjamin Jourdain
International Journal of Theoretical and Applied Finance, 2019, 22 (3), ⟨10.1142/S021902491950002X⟩
Journal articles hal-01963507v1
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Optimal transport bounds between the time-marginals of a multidimensional diffusion and its Euler scheme

Aurélien Alfonsi , Benjamin Jourdain , Arturo Kohatsu-Higa
Electronic Journal of Probability, 2015
Journal articles hal-00997301v2

Extension and calibration of a Hawkes-based optimal execution model

Aurélien Alfonsi , Pierre Blanc
Market microstructure and liquidity, 2016, ⟨10.1142/S2382626616500052⟩
Journal articles hal-01169686v1
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Exact and high order discretization schemes for Wishart processes and their affine extensions

Abdelkoddousse Ahdida , Aurélien Alfonsi
Annals of Applied Probability, 2013, 23 (3), pp.1025-1073. ⟨10.1214/12-AAP863⟩
Journal articles hal-00491371v1

Construction of Boltzmann and McKean Vlasov type flows (the sewing lemma approach)

Aurélien Alfonsi , Vlad Bally
Preprints, Working Papers, ... hal-03241604v1
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Exact simulation of hybrid stochastic and deterministic models for biochemical systems

Aurélien Alfonsi , Eric Cancès , Gabriel Turinici , Barbara Di Ventura , Wilhelm Huisinga
[Research Report] RR-5435, INRIA. 2004, pp.20
Reports inria-00070572v1
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A Mean-Reverting SDE on Correlation matrices

Abdelkoddousse Ahdida , Aurélien Alfonsi
Stochastic Processes and their Applications, 2013, 123 (4), pp.1472-1520. ⟨10.1016/⟩
Journal articles hal-00617111v2

Evolution of the Wasserstein distance between the marginals of two Markov processes

Aurélien Alfonsi , Jacopo Corbetta , Benjamin Jourdain
Bernoulli, 2018, 24 (4A), pp.2461-2498
Journal articles hal-01390887v1
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Stochastic Local Intensity Loss Models with Interacting Particle Systems

Aurélien Alfonsi , Céline Labart , Jérôme Lelong
Mathematical Finance, 2016, 26 (2), pp.366-394. ⟨10.1111/mafi.12059⟩
Journal articles hal-00786239v1

A simple proof for the convexity of the Choquet integral

Aurélien Alfonsi
Statistics and Probability Letters, 2015
Journal articles hal-01101310v1
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Multilevel Monte-Carlo for computing the SCR with the standard formula and other stress tests

Aurélien Alfonsi , Adel Cherchali , José Arturo Infante Acevedo
Insurance: Mathematics and Economics, 2021, ⟨10.1016/j.insmatheco.2021.05.005⟩
Journal articles hal-03026795v1
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Credit risk modeling. Calibration and discretization of financial models

Aurélien Alfonsi
Mathematics [math]. Ecole des Ponts ParisTech, 2006. English. ⟨NNT : ⟩
Theses pastel-00001859v1

Approximation of Stochastic Volterra Equations with kernels of completely monotone type

Aurélien Alfonsi , Ahmed Kebaier
Preprints, Working Papers, ... hal-03526905v1

A stochastic volatility model for the valuation of temperature derivatives

Aurélien Alfonsi , Nerea Vadillo
Preprints, Working Papers, ... hal-03777685v1

Order Book Resilience, Price Manipulation, and the Positive Portfolio Problem

Alfonsi Aurélien , Alexander Schied , Alla Slynko
SIAM Journal on Financial Mathematics, 2012, 3, pp.511-533. ⟨10.1137/110822098⟩
Journal articles hal-00941333v1
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Optimal execution and price manipulations in time-varying limit order books

Aurélien Alfonsi , José Infante Acevedo
Applied Mathematical Finance, 2014, ⟨10.1080/1350486X.2013.845471⟩
Journal articles hal-00687193v1

Long-time large deviations for the multi-asset Wishart stochastic volatility model and option pricing

Aurélien Alfonsi , David Krief , Peter Tankov
SIAM Journal on Financial Mathematics, 2019, ⟨10.1137/18M1197588⟩
Journal articles hal-01949485v1

High order approximations of the Cox-Ingersoll-Ross process semigroup using random grids

Aurélien Alfonsi , Edoardo Lombardo
Preprints, Working Papers, ... hal-03791594v1