General Duality for Perpetual American Options
Aurélien Alfonsi
,
Benjamin Jourdain
International Journal of Theoretical and Applied Finance , 2008, http://www.worldscientific.com/doi/abs/10.1142/S0219024908004920
Journal articles
hal-00121600v1
Actions
Share
Gmail
Facebook
Twitter
LinkedIn
More
A closed-form extension to the Black-Cox model
Aurélien Alfonsi
,
Jérôme Lelong
Journal articles
hal-00414280v2
Actions
Share
Gmail
Facebook
Twitter
LinkedIn
More
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, http://dx.doi.org/10.1214/13-AAP941
Journal articles
hal-00727430v1
Actions
Share
Gmail
Facebook
Twitter
LinkedIn
More
Squared quadratic Wasserstein distance: optimal couplings and Lions differentiability
Aurélien Alfonsi
,
Benjamin Jourdain
Journal articles
hal-01934705v2
Actions
Share
Gmail
Facebook
Twitter
LinkedIn
More
A generic construction for high order approximation schemes of semigroups using random grids
Aurélien Alfonsi
,
Vlad Bally
Journal articles
hal-02406433v1
Actions
Share
Gmail
Facebook
Twitter
LinkedIn
More
A remark on the optimal transport between two probability measures sharing the same copula
Aurélien Alfonsi
,
Benjamin Jourdain
Statistics and Probability Letters , 2014, dx.doi.org/10.1016/j.spl.2013.09.035
Journal articles
hal-00844906v1
Actions
Share
Gmail
Facebook
Twitter
LinkedIn
More
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
Actions
Share
Gmail
Facebook
Twitter
LinkedIn
More
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
Actions
Share
Gmail
Facebook
Twitter
LinkedIn
More
High order discretization schemes for the CIR process: application to Affine Term Structure and Heston models
Aurélien Alfonsi
Journal articles
hal-00143723v5
Actions
Share
Gmail
Facebook
Twitter
LinkedIn
More
Multivariate transient price impact and matrix-valued positive definite functions
Aurélien Alfonsi
,
Alexander Schied
,
Florian Klöck
Journal articles
hal-00919895v1
Actions
Share
Gmail
Facebook
Twitter
LinkedIn
More
Capacitary measures for completely monotone kernels via singular control
Aurélien Alfonsi
,
Alexander Schied
Journal articles
hal-00659421v2
Actions
Share
Gmail
Facebook
Twitter
LinkedIn
More
Affine Diffusions and Related Processes: Simulation, Theory and Applications
Aurélien Alfonsi
Books
hal-03127212v1
Actions
Share
Gmail
Facebook
Twitter
LinkedIn
More
Sampling of one-dimensional probability measures in the convex order and computation of robust option price bounds
Aurélien Alfonsi
,
Jacopo Corbetta
,
Benjamin Jourdain
Journal articles
hal-01963507v1
Actions
Share
Gmail
Facebook
Twitter
LinkedIn
More
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
Actions
Share
Gmail
Facebook
Twitter
LinkedIn
More
Extension and calibration of a Hawkes-based optimal execution model
Aurélien Alfonsi
,
Pierre Blanc
Journal articles
hal-01169686v1
Actions
Share
Gmail
Facebook
Twitter
LinkedIn
More
Exact and high order discretization schemes for Wishart processes and their affine extensions
Abdelkoddousse Ahdida
,
Aurélien Alfonsi
Journal articles
hal-00491371v1
Actions
Share
Gmail
Facebook
Twitter
LinkedIn
More
Construction of Boltzmann and McKean Vlasov type flows (the sewing lemma approach)
Aurélien Alfonsi
,
Vlad Bally
2021
Preprints, Working Papers, ...
hal-03241604v1
Actions
Share
Gmail
Facebook
Twitter
LinkedIn
More
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
Actions
Share
Gmail
Facebook
Twitter
LinkedIn
More
A Mean-Reverting SDE on Correlation matrices
Abdelkoddousse Ahdida
,
Aurélien Alfonsi
Journal articles
hal-00617111v2
Actions
Share
Gmail
Facebook
Twitter
LinkedIn
More
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
Actions
Share
Gmail
Facebook
Twitter
LinkedIn
More
Stochastic Local Intensity Loss Models with Interacting Particle Systems
Aurélien Alfonsi
,
Céline Labart
,
Jérôme Lelong
Journal articles
hal-00786239v1
Actions
Share
Gmail
Facebook
Twitter
LinkedIn
More
A simple proof for the convexity of the Choquet integral
Aurélien Alfonsi
Statistics and Probability Letters , 2015
Journal articles
hal-01101310v1
Actions
Share
Gmail
Facebook
Twitter
LinkedIn
More
Multilevel Monte-Carlo for computing the SCR with the standard formula and other stress tests
Aurélien Alfonsi
,
Adel Cherchali
,
José Arturo Infante Acevedo
Journal articles
hal-03026795v1
Actions
Share
Gmail
Facebook
Twitter
LinkedIn
More
Credit risk modeling. Calibration and discretization of financial models
Aurélien Alfonsi
Mathematics [math]. Ecole des Ponts ParisTech, 2006. English.
⟨NNT : ⟩
Theses
pastel-00001859v1
Actions
Share
Gmail
Facebook
Twitter
LinkedIn
More
Approximation of Stochastic Volterra Equations with kernels of completely monotone type
Aurélien Alfonsi
,
Ahmed Kebaier
2022
Preprints, Working Papers, ...
hal-03526905v1
Actions
Share
Gmail
Facebook
Twitter
LinkedIn
More
A stochastic volatility model for the valuation of temperature derivatives
Aurélien Alfonsi
,
Nerea Vadillo
2022
Preprints, Working Papers, ...
hal-03777685v1
Actions
Share
Gmail
Facebook
Twitter
LinkedIn
More
Order Book Resilience, Price Manipulation, and the Positive Portfolio Problem
Alfonsi Aurélien
,
Alexander Schied
,
Alla Slynko
Journal articles
hal-00941333v1
Actions
Share
Gmail
Facebook
Twitter
LinkedIn
More
Optimal execution and price manipulations in time-varying limit order books
Aurélien Alfonsi
,
José Infante Acevedo
Journal articles
hal-00687193v1
Actions
Share
Gmail
Facebook
Twitter
LinkedIn
More
Long-time large deviations for the multi-asset Wishart stochastic volatility model and option pricing
Aurélien Alfonsi
,
David Krief
,
Peter Tankov
Journal articles
hal-01949485v1
Actions
Share
Gmail
Facebook
Twitter
LinkedIn
More
High order approximations of the Cox-Ingersoll-Ross process semigroup using random grids
Aurélien Alfonsi
,
Edoardo Lombardo
2022
Preprints, Working Papers, ...
hal-03791594v1
Actions
Share
Gmail
Facebook
Twitter
LinkedIn
More