Aurélien Alfonsi

According to our database, Aurélien Alfonsi authored at least 15 papers between 2005 and 2024.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of five.

2024

High order approximations of the log-Heston process semigroup.

Aurélien Alfonsi, Edoardo Lombardo

CoRR, 2024

2023

Approximation of Stochastic Volterra Equations with kernels of completely monotone type.

Aurélien Alfonsi, Ahmed Kebaier

Math. Comput., June, 2023

2022

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

Aurélien Alfonsi, Edoardo Lombardo

CoRR, 2022

2021

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

Aurélien Alfonsi, Vlad Bally

Numerische Mathematik, 2021

Approximation of optimal transport problems with marginal moments constraints.

Aurélien Alfonsi, Rafaël Coyaud, Virginie Ehrlacher, Damiano Lombardi

Math. Comput., 2021

Constrained overdamped Langevin dynamics for symmetric multimarginal optimal transportation.

Aurélien Alfonsi, Rafaël Coyaud, Virginie Ehrlacher

CoRR, 2021

2019

Long-Time Large Deviations for the Multiasset Wishart Stochastic Volatility Model and Option Pricing.

Aurélien Alfonsi, David Krief, Peter Tankov

SIAM J. Financial Math., 2019

2016

Multivariate Transient Price Impact and Matrix-Valued Positive Definite Functions.

Aurélien Alfonsi, Florian Klöck, Alexander Schied

Math. Oper. Res., 2016

Dynamic optimal execution in a mixed-market-impact Hawkes price model.

Aurélien Alfonsi, Pierre Blanc

Finance Stochastics, 2016

2013

Capacitary Measures for Completely Monotone Kernels via Singular Control.

Aurélien Alfonsi, Alexander Schied

SIAM J. Control. Optim., 2013

2012

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

Aurélien Alfonsi, Alexander Schied, Alla Slynko

SIAM J. Financial Math., 2012

2010

Optimal Trade Execution and Absence of Price Manipulations in Limit Order Book Models.

Aurélien Alfonsi, Alexander Schied

SIAM J. Financial Math., 2010

High order discretization schemes for the CIR process: Application to affine term structure and Heston models.

Aurélien Alfonsi

Math. Comput., 2010

2005

On the discretization schemes for the CIR (and Bessel squared) processes.

Aurélien Alfonsi

Monte Carlo Methods Appl., 2005

Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model.

Damiano Brigo, Aurélien Alfonsi

Finance Stochastics, 2005