Optimal execution strategies in limit order books with general shape functions. Zbl 1185.91199
Alfonsi, Aurélien; Fruth, Antje; Schied, Alexander |
|
2010
|
On the discretization schemes for the CIR (and Bessel squared) processes. Zbl 1100.65007
Alfonsi, Aurélien |
|
2005
|
High order discretization schemes for the CIR process: application to affine term structure and heston models. Zbl 1198.60030
Alfonsi, Aurélien |
|
2010
|
Strong order one convergence of a drift implicit Euler scheme: application to the CIR process. Zbl 1273.65007
Alfonsi, Aurélien |
|
2013
|
Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model. Zbl 1065.60085
Brigo, Damiano; Alfonsi, Aurélien |
|
2005
|
Order book resilience, price manipulation, and the positive portfolio problem. Zbl 1255.91412
Alfonsi, Aurélien; Schied, Alexander; Slynko, Alla |
|
2012
|
Affine diffusions and related processes: simulation, theory and applications. Zbl 1387.60002
Alfonsi, Aurélien |
|
2015
|
Optimal trade execution and absence of price manipulations in limit order book models. Zbl 1196.91025
Alfonsi, Aurélien; Schied, Alexander |
|
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 |
|
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 |
|
2005
|
Constrained portfolio liquidation in a limit order book model. Zbl 1154.91407
Alfonsi, Aurélien; Fruth, Antje; Schied, Alexander |
|
2008
|
Exact and high-order discretization schemes for Wishart processes and their affine extensions. Zbl 1269.65003
Ahdida, Abdelkoddousse; Alfonsi, Aurélien |
|
2013
|
Sampling of probability measures in the convex order by Wasserstein projection. Zbl 1469.60065
Alfonsi, Aurélien; Corbetta, Jacopo; Jourdain, Benjamin |
|
2020
|
Dynamic optimal execution in a mixed-market-impact Hawkes price model. Zbl 1396.91672
Alfonsi, Aurélien; Blanc, Pierre |
|
2016
|
Pathwise optimal transport bounds between a one-dimensional diffusion and its Euler scheme. Zbl 1296.65010
Alfonsi, A.; Jourdain, B.; Kohatsu-Higa, A. |
|
2014
|
New families of copulas based on periodic functions. Zbl 1071.62047
Alfonsi, Aurélien; Brigo, Damiano |
|
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 |
|
2015
|
Capacitary measures for completely monotone kernels via singular control. Zbl 1268.49001
Alfonsi, Aurélien; Schied, Alexander |
|
2013
|
Multivariate transient price impact and matrix-valued positive definite functions. Zbl 1352.42011
Alfonsi, Aurélien; Klöck, Florian; Schied, Alexander |
|
2016
|
Optimal execution and price manipulations in time-varying limit order books. Zbl 1395.91394
Alfonsi, Aurélien; Acevedo, José Infante |
|
2014
|
Approximation of optimal transport problems with marginal moments constraints. Zbl 1455.49018
Alfonsi, Aurélien; Coyaud, Rafaël; Ehrlacher, Virginie; Lombardi, Damiano |
|
2021
|
Squared quadratic Wasserstein distance: optimal couplings and Lions differentiability. Zbl 1454.90028
Alfonsi, Aurélien; Jourdain, Benjamin |
|
2020
|
A remark on the optimal transport between two probability measures sharing the same copula. Zbl 1296.60023
Alfonsi, A.; Jourdain, B. |
|
2014
|
A mean-reverting SDE on correlation matrices. Zbl 1271.65014
Ahdida, Abdelkoddousse; Alfonsi, Aurélien |
|
2013
|
Exact volatility calibration based on a Dupire-type call-put duality for perpetual American options. Zbl 1179.60021
Alfonsi, Aurélien; Jourdain, Benjamin |
|
2009
|
Evolution of the Wasserstein distance between the marginals of two Markov processes. Zbl 1428.60124
Alfonsi, Aurélien; Corbetta, Jacopo; Jourdain, Benjamin |
|
2018
|
Maximum likelihood estimation for Wishart processes. Zbl 1347.62041
Alfonsi, Aurélien; Kebaier, Ahmed; Rey, Clément |
|
2016
|
Constrained overdamped Langevin dynamics for symmetric multimarginal optimal transportation. Zbl 1485.65063
Alfonsi, Aurélien; Coyaud, Rafaël; Ehrlacher, Virginie |
|
2022
|
A simple proof for the convexity of the Choquet integral. Zbl 1320.28024
Alfonsi, Aurélien |
|
2015
|
General duality for perpetual American options. Zbl 1232.91640
Alfonsi, Aurélien; Jourdain, Benjamin |
|
2008
|
Stochastic local intensity loss models with interacting particle systems. Zbl 1348.91276
Alfonsi, Aurélien; Labart, Céline; Lelong, Jérôme |
|
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 |
|
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 |
|
2006
|
Parametrix methods for one-dimensional reflected SDEs. Zbl 1382.60080
Alfonsi, Aurélien; Hayashi, Masafumi; Kohatsu-Higa, Arturo |
|
2017
|
Approximation of stochastic Volterra equations with kernels of completely monotone type. Zbl 1540.60160
Alfonsi, Aurélien; Kebaier, Ahmed |
|
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 |
|
2021
|
Approximation of stochastic Volterra equations with kernels of completely monotone type. Zbl 1540.60160
Alfonsi, Aurélien; Kebaier, Ahmed |
|
2024
|
Constrained overdamped Langevin dynamics for symmetric multimarginal optimal transportation. Zbl 1485.65063
Alfonsi, Aurélien; Coyaud, Rafaël; Ehrlacher, Virginie |
|
2022
|
Approximation of optimal transport problems with marginal moments constraints. Zbl 1455.49018
Alfonsi, Aurélien; Coyaud, Rafaël; Ehrlacher, Virginie; Lombardi, Damiano |
|
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 |
|
2021
|
Sampling of probability measures in the convex order by Wasserstein projection. Zbl 1469.60065
Alfonsi, Aurélien; Corbetta, Jacopo; Jourdain, Benjamin |
|
2020
|
Squared quadratic Wasserstein distance: optimal couplings and Lions differentiability. Zbl 1454.90028
Alfonsi, Aurélien; Jourdain, Benjamin |
|
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 |
|
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 |
|
2019
|
Evolution of the Wasserstein distance between the marginals of two Markov processes. Zbl 1428.60124
Alfonsi, Aurélien; Corbetta, Jacopo; Jourdain, Benjamin |
|
2018
|
Parametrix methods for one-dimensional reflected SDEs. Zbl 1382.60080
Alfonsi, Aurélien; Hayashi, Masafumi; Kohatsu-Higa, Arturo |
|
2017
|
Dynamic optimal execution in a mixed-market-impact Hawkes price model. Zbl 1396.91672
Alfonsi, Aurélien; Blanc, Pierre |
|
2016
|
Multivariate transient price impact and matrix-valued positive definite functions. Zbl 1352.42011
Alfonsi, Aurélien; Klöck, Florian; Schied, Alexander |
|
2016
|
Maximum likelihood estimation for Wishart processes. Zbl 1347.62041
Alfonsi, Aurélien; Kebaier, Ahmed; Rey, Clément |
|
2016
|
Stochastic local intensity loss models with interacting particle systems. Zbl 1348.91276
Alfonsi, Aurélien; Labart, Céline; Lelong, Jérôme |
|
2016
|
Affine diffusions and related processes: simulation, theory and applications. Zbl 1387.60002
Alfonsi, Aurélien |
|
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 |
|
2015
|
A simple proof for the convexity of the Choquet integral. Zbl 1320.28024
Alfonsi, Aurélien |
|
2015
|
Pathwise optimal transport bounds between a one-dimensional diffusion and its Euler scheme. Zbl 1296.65010
Alfonsi, A.; Jourdain, B.; Kohatsu-Higa, A. |
|
2014
|
Optimal execution and price manipulations in time-varying limit order books. Zbl 1395.91394
Alfonsi, Aurélien; Acevedo, José Infante |
|
2014
|
A remark on the optimal transport between two probability measures sharing the same copula. Zbl 1296.60023
Alfonsi, A.; Jourdain, B. |
|
2014
|
Strong order one convergence of a drift implicit Euler scheme: application to the CIR process. Zbl 1273.65007
Alfonsi, Aurélien |
|
2013
|
Exact and high-order discretization schemes for Wishart processes and their affine extensions. Zbl 1269.65003
Ahdida, Abdelkoddousse; Alfonsi, Aurélien |
|
2013
|
Capacitary measures for completely monotone kernels via singular control. Zbl 1268.49001
Alfonsi, Aurélien; Schied, Alexander |
|
2013
|
A mean-reverting SDE on correlation matrices. Zbl 1271.65014
Ahdida, Abdelkoddousse; Alfonsi, Aurélien |
|
2013
|
Order book resilience, price manipulation, and the positive portfolio problem. Zbl 1255.91412
Alfonsi, Aurélien; Schied, Alexander; Slynko, Alla |
|
2012
|
Optimal execution strategies in limit order books with general shape functions. Zbl 1185.91199
Alfonsi, Aurélien; Fruth, Antje; Schied, Alexander |
|
2010
|
High order discretization schemes for the CIR process: application to affine term structure and heston models. Zbl 1198.60030
Alfonsi, Aurélien |
|
2010
|
Optimal trade execution and absence of price manipulations in limit order book models. Zbl 1196.91025
Alfonsi, Aurélien; Schied, Alexander |
|
2010
|
Exact volatility calibration based on a Dupire-type call-put duality for perpetual American options. Zbl 1179.60021
Alfonsi, Aurélien; Jourdain, Benjamin |
|
2009
|
Constrained portfolio liquidation in a limit order book model. Zbl 1154.91407
Alfonsi, Aurélien; Fruth, Antje; Schied, Alexander |
|
2008
|
General duality for perpetual American options. Zbl 1232.91640
Alfonsi, Aurélien; Jourdain, Benjamin |
|
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 |
|
2006
|
On the discretization schemes for the CIR (and Bessel squared) processes. Zbl 1100.65007
Alfonsi, Aurélien |
|
2005
|
Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model. Zbl 1065.60085
Brigo, Damiano; Alfonsi, Aurélien |
|
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 |
|
2005
|
New families of copulas based on periodic functions. Zbl 1071.62047
Alfonsi, Aurélien; Brigo, Damiano |
|
2005
|