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Author ID: alfonsi.aurelien Recent zbMATH articles by "Alfonsi, Aurélien"
Published as: Alfonsi, Aurélien; Alfonsi, A.
Documents Indexed: 48 Publications since 2005, including 2 Books and 5 Additional arXiv Preprints
Co-Authors: 35 Co-Authors with 41 Joint Publications
526 Co-Co-Authors

Publications by Year

Citations contained in zbMATH Open

36 Publications have been cited 774 times in 560 Documents Cited by Year
Optimal execution strategies in limit order books with general shape functions. Zbl 1185.91199
Alfonsi, Aurélien; Fruth, Antje; Schied, Alexander
116
2010
On the discretization schemes for the CIR (and Bessel squared) processes. Zbl 1100.65007
Alfonsi, Aurélien
100
2005
High order discretization schemes for the CIR process: application to affine term structure and heston models. Zbl 1198.60030
Alfonsi, Aurélien
65
2010
Strong order one convergence of a drift implicit Euler scheme: application to the CIR process. Zbl 1273.65007
Alfonsi, Aurélien
52
2013
Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model. Zbl 1065.60085
Brigo, Damiano; Alfonsi, Aurélien
51
2005
Order book resilience, price manipulation, and the positive portfolio problem. Zbl 1255.91412
Alfonsi, Aurélien; Schied, Alexander; Slynko, Alla
41
2012
Affine diffusions and related processes: simulation, theory and applications. Zbl 1387.60002
Alfonsi, Aurélien
37
2015
Optimal trade execution and absence of price manipulations in limit order book models. Zbl 1196.91025
Alfonsi, Aurélien; Schied, Alexander
34
2010
Sampling of one-dimensional probability measures in the convex order and computation of robust option price bounds. Zbl 1411.91535
Alfonsi, Aurélien; Corbetta, Jacopo; Jourdain, Benjamin
29
2019
Adaptive simulation of hybrid stochastic and deterministic models for biochemical systems. Zbl 1070.92019
Alfonsi, Aurélien; Cancès, Eric; Turinici, Gabriel; Di Ventura, Barbara; Huisinga, Wilhelm
27
2005
Constrained portfolio liquidation in a limit order book model. Zbl 1154.91407
Alfonsi, Aurélien; Fruth, Antje; Schied, Alexander
26
2008
Exact and high-order discretization schemes for Wishart processes and their affine extensions. Zbl 1269.65003
Ahdida, Abdelkoddousse; Alfonsi, Aurélien
21
2013
Sampling of probability measures in the convex order by Wasserstein projection. Zbl 1469.60065
Alfonsi, Aurélien; Corbetta, Jacopo; Jourdain, Benjamin
19
2020
Dynamic optimal execution in a mixed-market-impact Hawkes price model. Zbl 1396.91672
Alfonsi, Aurélien; Blanc, Pierre
18
2016
Pathwise optimal transport bounds between a one-dimensional diffusion and its Euler scheme. Zbl 1296.65010
Alfonsi, A.; Jourdain, B.; Kohatsu-Higa, A.
16
2014
New families of copulas based on periodic functions. Zbl 1071.62047
Alfonsi, Aurélien; Brigo, Damiano
14
2005
Optimal transport bounds between the time-marginals of a multidimensional diffusion and its Euler scheme. Zbl 06471548
Alfonsi, Aurélien; Jourdain, Benjamin; Kohatsu-Higa, Arturo
12
2015
Capacitary measures for completely monotone kernels via singular control. Zbl 1268.49001
Alfonsi, Aurélien; Schied, Alexander
12
2013
Multivariate transient price impact and matrix-valued positive definite functions. Zbl 1352.42011
Alfonsi, Aurélien; Klöck, Florian; Schied, Alexander
11
2016
Optimal execution and price manipulations in time-varying limit order books. Zbl 1395.91394
Alfonsi, Aurélien; Acevedo, José Infante
10
2014
Approximation of optimal transport problems with marginal moments constraints. Zbl 1455.49018
Alfonsi, Aurélien; Coyaud, Rafaël; Ehrlacher, Virginie; Lombardi, Damiano
8
2021
Squared quadratic Wasserstein distance: optimal couplings and Lions differentiability. Zbl 1454.90028
Alfonsi, Aurélien; Jourdain, Benjamin
8
2020
A remark on the optimal transport between two probability measures sharing the same copula. Zbl 1296.60023
Alfonsi, A.; Jourdain, B.
6
2014
A mean-reverting SDE on correlation matrices. Zbl 1271.65014
Ahdida, Abdelkoddousse; Alfonsi, Aurélien
5
2013
Exact volatility calibration based on a Dupire-type call-put duality for perpetual American options. Zbl 1179.60021
Alfonsi, Aurélien; Jourdain, Benjamin
5
2009
Evolution of the Wasserstein distance between the marginals of two Markov processes. Zbl 1428.60124
Alfonsi, Aurélien; Corbetta, Jacopo; Jourdain, Benjamin
5
2018
Maximum likelihood estimation for Wishart processes. Zbl 1347.62041
Alfonsi, Aurélien; Kebaier, Ahmed; Rey, Clément
5
2016
Constrained overdamped Langevin dynamics for symmetric multimarginal optimal transportation. Zbl 1485.65063
Alfonsi, Aurélien; Coyaud, Rafaël; Ehrlacher, Virginie
4
2022
A simple proof for the convexity of the Choquet integral. Zbl 1320.28024
Alfonsi, Aurélien
3
2015
General duality for perpetual American options. Zbl 1232.91640
Alfonsi, Aurélien; Jourdain, Benjamin
3
2008
Stochastic local intensity loss models with interacting particle systems. Zbl 1348.91276
Alfonsi, Aurélien; Labart, Céline; Lelong, Jérôme
2
2016
A synthetic model for asset-liability management in life insurance, and analysis of the SCR with the standard formula. Zbl 1455.91211
Alfonsi, Aurélien; Cherchali, Adel; Infante Acevedo, Jose Arturo
2
2020
Modelling of credit risk. Calibration and discretization of financial models. (Modélisation en risque de crédit. Calibration et discrétisation de modèles financiers.) Zbl 1185.91003
Alfonsi, Aurélien
2
2006
Parametrix methods for one-dimensional reflected SDEs. Zbl 1382.60080
Alfonsi, Aurélien; Hayashi, Masafumi; Kohatsu-Higa, Arturo
2
2017
Approximation of stochastic Volterra equations with kernels of completely monotone type. Zbl 1540.60160
Alfonsi, Aurélien; Kebaier, Ahmed
2
2024
Multilevel Monte Carlo for computing the SCR with the standard formula and other stress tests. Zbl 1471.91443
Alfonsi, Aurélien; Cherchali, Adel; Infante Acevedo, Jose Arturo
1
2021
Approximation of stochastic Volterra equations with kernels of completely monotone type. Zbl 1540.60160
Alfonsi, Aurélien; Kebaier, Ahmed
2
2024
Constrained overdamped Langevin dynamics for symmetric multimarginal optimal transportation. Zbl 1485.65063
Alfonsi, Aurélien; Coyaud, Rafaël; Ehrlacher, Virginie
4
2022
Approximation of optimal transport problems with marginal moments constraints. Zbl 1455.49018
Alfonsi, Aurélien; Coyaud, Rafaël; Ehrlacher, Virginie; Lombardi, Damiano
8
2021
Multilevel Monte Carlo for computing the SCR with the standard formula and other stress tests. Zbl 1471.91443
Alfonsi, Aurélien; Cherchali, Adel; Infante Acevedo, Jose Arturo
1
2021
Sampling of probability measures in the convex order by Wasserstein projection. Zbl 1469.60065
Alfonsi, Aurélien; Corbetta, Jacopo; Jourdain, Benjamin
19
2020
Squared quadratic Wasserstein distance: optimal couplings and Lions differentiability. Zbl 1454.90028
Alfonsi, Aurélien; Jourdain, Benjamin
8
2020
A synthetic model for asset-liability management in life insurance, and analysis of the SCR with the standard formula. Zbl 1455.91211
Alfonsi, Aurélien; Cherchali, Adel; Infante Acevedo, Jose Arturo
2
2020
Sampling of one-dimensional probability measures in the convex order and computation of robust option price bounds. Zbl 1411.91535
Alfonsi, Aurélien; Corbetta, Jacopo; Jourdain, Benjamin
29
2019
Evolution of the Wasserstein distance between the marginals of two Markov processes. Zbl 1428.60124
Alfonsi, Aurélien; Corbetta, Jacopo; Jourdain, Benjamin
5
2018
Parametrix methods for one-dimensional reflected SDEs. Zbl 1382.60080
Alfonsi, Aurélien; Hayashi, Masafumi; Kohatsu-Higa, Arturo
2
2017
Dynamic optimal execution in a mixed-market-impact Hawkes price model. Zbl 1396.91672
Alfonsi, Aurélien; Blanc, Pierre
18
2016
Multivariate transient price impact and matrix-valued positive definite functions. Zbl 1352.42011
Alfonsi, Aurélien; Klöck, Florian; Schied, Alexander
11
2016
Maximum likelihood estimation for Wishart processes. Zbl 1347.62041
Alfonsi, Aurélien; Kebaier, Ahmed; Rey, Clément
5
2016
Stochastic local intensity loss models with interacting particle systems. Zbl 1348.91276
Alfonsi, Aurélien; Labart, Céline; Lelong, Jérôme
2
2016
Affine diffusions and related processes: simulation, theory and applications. Zbl 1387.60002
Alfonsi, Aurélien
37
2015
Optimal transport bounds between the time-marginals of a multidimensional diffusion and its Euler scheme. Zbl 06471548
Alfonsi, Aurélien; Jourdain, Benjamin; Kohatsu-Higa, Arturo
12
2015
A simple proof for the convexity of the Choquet integral. Zbl 1320.28024
Alfonsi, Aurélien
3
2015
Pathwise optimal transport bounds between a one-dimensional diffusion and its Euler scheme. Zbl 1296.65010
Alfonsi, A.; Jourdain, B.; Kohatsu-Higa, A.
16
2014
Optimal execution and price manipulations in time-varying limit order books. Zbl 1395.91394
Alfonsi, Aurélien; Acevedo, José Infante
10
2014
A remark on the optimal transport between two probability measures sharing the same copula. Zbl 1296.60023
Alfonsi, A.; Jourdain, B.
6
2014
Strong order one convergence of a drift implicit Euler scheme: application to the CIR process. Zbl 1273.65007
Alfonsi, Aurélien
52
2013
Exact and high-order discretization schemes for Wishart processes and their affine extensions. Zbl 1269.65003
Ahdida, Abdelkoddousse; Alfonsi, Aurélien
21
2013
Capacitary measures for completely monotone kernels via singular control. Zbl 1268.49001
Alfonsi, Aurélien; Schied, Alexander
12
2013
A mean-reverting SDE on correlation matrices. Zbl 1271.65014
Ahdida, Abdelkoddousse; Alfonsi, Aurélien
5
2013
Order book resilience, price manipulation, and the positive portfolio problem. Zbl 1255.91412
Alfonsi, Aurélien; Schied, Alexander; Slynko, Alla
41
2012
Optimal execution strategies in limit order books with general shape functions. Zbl 1185.91199
Alfonsi, Aurélien; Fruth, Antje; Schied, Alexander
116
2010
High order discretization schemes for the CIR process: application to affine term structure and heston models. Zbl 1198.60030
Alfonsi, Aurélien
65
2010
Optimal trade execution and absence of price manipulations in limit order book models. Zbl 1196.91025
Alfonsi, Aurélien; Schied, Alexander
34
2010
Exact volatility calibration based on a Dupire-type call-put duality for perpetual American options. Zbl 1179.60021
Alfonsi, Aurélien; Jourdain, Benjamin
5
2009
Constrained portfolio liquidation in a limit order book model. Zbl 1154.91407
Alfonsi, Aurélien; Fruth, Antje; Schied, Alexander
26
2008
General duality for perpetual American options. Zbl 1232.91640
Alfonsi, Aurélien; Jourdain, Benjamin
3
2008
Modelling of credit risk. Calibration and discretization of financial models. (Modélisation en risque de crédit. Calibration et discrétisation de modèles financiers.) Zbl 1185.91003
Alfonsi, Aurélien
2
2006
On the discretization schemes for the CIR (and Bessel squared) processes. Zbl 1100.65007
Alfonsi, Aurélien
100
2005
Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model. Zbl 1065.60085
Brigo, Damiano; Alfonsi, Aurélien
51
2005
Adaptive simulation of hybrid stochastic and deterministic models for biochemical systems. Zbl 1070.92019
Alfonsi, Aurélien; Cancès, Eric; Turinici, Gabriel; Di Ventura, Barbara; Huisinga, Wilhelm
27
2005
New families of copulas based on periodic functions. Zbl 1071.62047
Alfonsi, Aurélien; Brigo, Damiano
14
2005
all top 5

Cited by 865 Authors

22 Alfonsi, Aurélien
21 Jourdain, Benjamin
11 Schied, Alexander
10 Pagès, Gilles
9 Schöneborn, Torsten
8 Brigo, Damiano
8 Cartea, Álvaro
8 Mackevičius, Vigirdas
8 Pammer, Gudmund
7 Jaimungal, Sebastian
7 Kebaier, Ahmed
7 Urusov, Mikhail A.
6 Beiglböck, Mathias
6 Horst, Ulrich
6 Kruse, Thomas
6 Sester, Julian
6 Zanette, Antonino
5 Friesen, Martin
5 Jentzen, Arnulf
5 Jin, Peng
5 Lehalle, Charles-Albert
5 Mao, Xuerong
5 Mastromatteo, Iacopo
5 Müller-Gronbach, Thomas
5 Neuenkirch, Andreas
5 Rutkowski, Marek
5 Vrins, Frédéric
5 Wang, Xiaojie
5 Yang, Hongfu
5 Yaroslavtseva, Larisa
4 Ackermann, Julia
4 Ahlip, Rehez
4 Alhojilan, Yazid
4 Bally, Vlad
4 Bank, Peter
4 Becherer, Dirk
4 Benzaquen, Michael
4 Bilarev, Todor
4 Bossy, Mireille
4 Gatheral, Jim
4 Goudenège, Ludovic
4 Halidias, Nikolaos
4 Jaber, Eduardo Abi
4 Lillo, Fabrizio
4 Ludkovski, Michael
4 Margheriti, William
4 Molent, Andrea
4 Panloup, Fabien
4 Pap, Gyula
4 Pham, Huyên
4 Rüdiger, Barbara
4 Sabino, Piergiacomo
4 Szpruch, Lukasz
4 Zheng, Chao
3 Alaya, Mohamed Ben
3 Backhoff Veraguas, Julio D.
3 Barczy, Mátyás
3 Bayraktar, Erhan
3 Boumezoued, Alexandre
3 Capponi, Agostino
3 Cardaliaguet, Pierre
3 Corbetta, Jacopo
3 Cozma, Andrei S.
3 Cuchiero, Christa
3 Dolinsky, Yan
3 Eckstein, Stephan
3 Frentrup, Peter
3 Gan, Siqing
3 Gnoatto, Alessandro
3 Grasselli, Martino
3 Guéant, Olivier
3 Hefter, Mario
3 Huang, Jianhua
3 Jahnke, Tobias
3 Kohatsu-Higa, Arturo
3 Kratz, Peter
3 La Bua, Gaetano
3 Lapeyre, Bernard
3 Lelong, Jérôme
3 Lemaire, Vincent
3 Lord, Gabriel James
3 Lütkebohmert, Eva
3 Marazzina, Daniele
3 Mayerhofer, Eberhard
3 Mekchay, Khamron
3 Mishura, Yuliya Stepanivna
3 Muhle-Karbe, Johannes
3 Pennanen, Teemu
3 Qin, Yifeng
3 Reisinger, Christoph
3 Rey, Clément
3 Roch, Alexandre F.
3 Soner, Halil Mete
3 Sutthimat, Phiraphat
3 Taguchi, Dai
3 Terenzi, Giulia
3 Voß, Moritz
3 Yoshioka, Hidekazu
2 Ackerer, Damien
2 Albert, Jaroslav
...and 765 more Authors
all top 5

Cited in 159 Serials

39 Quantitative Finance
31 International Journal of Theoretical and Applied Finance
29 Finance and Stochastics
29 Mathematical Finance
28 SIAM Journal on Financial Mathematics
21 The Annals of Applied Probability
17 Applied Mathematical Finance
15 Stochastic Processes and their Applications
14 Journal of Computational and Applied Mathematics
12 Bernoulli
9 Mathematics and Financial Economics
8 Statistics & Probability Letters
7 Communications in Statistics. Theory and Methods
7 European Journal of Operational Research
6 BIT
6 Journal of Economic Dynamics & Control
6 Annals of Operations Research
5 Journal of Mathematical Analysis and Applications
5 Journal of Applied Probability
5 SIAM Journal on Numerical Analysis
5 Applied Numerical Mathematics
5 Electronic Communications in Probability
5 Computational Management Science
4 Lithuanian Mathematical Journal
4 Mathematics of Computation
4 Applied Mathematics and Computation
4 Applied Mathematics and Optimization
4 Numerische Mathematik
4 Journal of Theoretical Probability
4 SIAM Journal on Mathematical Analysis
4 Monte Carlo Methods and Applications
4 Electronic Journal of Probability
4 Communications in Nonlinear Science and Numerical Simulation
4 Methodology and Computing in Applied Probability
4 Stochastic and Partial Differential Equations. Analysis and Computations
3 Journal of Mathematical Biology
3 Journal of Multivariate Analysis
3 Mathematics and Computers in Simulation
3 Operations Research
3 Insurance Mathematics & Economics
3 Journal of Scientific Computing
3 Numerical Algorithms
3 International Journal of Computer Mathematics
3 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
3 Journal of Difference Equations and Applications
3 Applied Stochastic Models in Business and Industry
3 Discrete and Continuous Dynamical Systems. Series B
3 Stochastic Models
3 ALEA. Latin American Journal of Probability and Mathematical Statistics
3 Advances in Differential Equations and Control Processes
2 Advances in Applied Probability
2 Computers & Mathematics with Applications
2 Journal of Statistical Physics
2 Scandinavian Journal of Statistics
2 Annals of the Institute of Statistical Mathematics
2 The Annals of Probability
2 Mathematics of Operations Research
2 SIAM Journal on Control and Optimization
2 Transactions of the American Mathematical Society
2 Operations Research Letters
2 Stochastic Analysis and Applications
2 Journal of Complexity
2 Information and Computation
2 Japan Journal of Industrial and Applied Mathematics
2 SIAM Journal on Scientific Computing
2 Calculus of Variations and Partial Differential Equations
2 Advances in Computational Mathematics
2 Mathematical Problems in Engineering
2 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
2 Abstract and Applied Analysis
2 Statistical Inference for Stochastic Processes
2 ASTIN Bulletin
2 Multiscale Modeling & Simulation
2 Asia-Pacific Financial Markets
2 European Series in Applied and Industrial Mathematics (ESAIM): Mathematical Modelling and Numerical Analysis
2 Nonlinear Analysis. Hybrid Systems
2 Discrete and Continuous Dynamical Systems. Series S
2 Statistics and Computing
2 Journal of the Operations Research Society of China
2 Dependence Modeling
2 SIAM/ASA Journal on Uncertainty Quantification
2 Modern Stochastics. Theory and Applications
2 Open Mathematics
2 Probability, Uncertainty and Quantitative Risk
1 Archive for Rational Mechanics and Analysis
1 The Canadian Journal of Statistics
1 Journal of Computational Physics
1 Letters in Mathematical Physics
1 Mathematical Biosciences
1 Mathematical Methods in the Applied Sciences
1 Physica A
1 Bulletin of Mathematical Biology
1 Chaos, Solitons and Fractals
1 ACM Transactions on Mathematical Software
1 Automatica
1 Fuzzy Sets and Systems
1 International Journal of Mathematics and Mathematical Sciences
1 Journal of Approximation Theory
1 Journal of Functional Analysis
1 Journal of Statistical Planning and Inference
...and 59 more Serials
all top 5

Cited in 38 Fields

321 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
312 Probability theory and stochastic processes (60-XX)
157 Numerical analysis (65-XX)
66 Calculus of variations and optimal control; optimization (49-XX)
62 Statistics (62-XX)
59 Systems theory; control (93-XX)
36 Partial differential equations (35-XX)
32 Operations research, mathematical programming (90-XX)
30 Biology and other natural sciences (92-XX)
15 Ordinary differential equations (34-XX)
12 Computer science (68-XX)
7 Integral equations (45-XX)
6 Statistical mechanics, structure of matter (82-XX)
5 Measure and integration (28-XX)
5 Approximations and expansions (41-XX)
5 Integral transforms, operational calculus (44-XX)
4 Dynamical systems and ergodic theory (37-XX)
4 Operator theory (47-XX)
4 Fluid mechanics (76-XX)
3 Harmonic analysis on Euclidean spaces (42-XX)
3 Global analysis, analysis on manifolds (58-XX)
3 Quantum theory (81-XX)
2 Combinatorics (05-XX)
2 Functional analysis (46-XX)
1 General and overarching topics; collections (00-XX)
1 Order, lattices, ordered algebraic structures (06-XX)
1 Number theory (11-XX)
1 Linear and multilinear algebra; matrix theory (15-XX)
1 Nonassociative rings and algebras (17-XX)
1 Real functions (26-XX)
1 Potential theory (31-XX)
1 Special functions (33-XX)
1 Difference and functional equations (39-XX)
1 Convex and discrete geometry (52-XX)
1 Classical thermodynamics, heat transfer (80-XX)
1 Geophysics (86-XX)
1 Information and communication theory, circuits (94-XX)
1 Mathematics education (97-XX)

Citations by Year