Aurélien Alfonsi

Available identifiers

zbMath Open alfonsi.aurelienMaRDI QIDQ261923

List of research outcomes

Publication	Date of Publication	Type
Construction of Boltzmann and McKean-Vlasov type flows (the sewing lemma approach)	2024-01-15	Paper
Approximation of Stochastic Volterra Equations with kernels of completely monotone type	2024-01-02	Paper
How many inner simulations to compute conditional expectations with least-square Monte Carlo?	2023-07-25	Paper
Nonnegativity preserving convolution kernels. Application to Stochastic Volterra Equations in closed convex domains and their approximation	2023-02-15	Paper
High order approximations of the Cox-Ingersoll-Ross process semigroup using random grids	2022-09-27	Paper
Constrained overdamped Langevin dynamics for symmetric multimarginal optimal transportation	2022-05-10	Paper
Multilevel Monte Carlo for computing the SCR with the standard formula and other stress tests	2021-10-19	Paper
A generic construction for high order approximation schemes of semigroups using random grids	2021-08-27	Paper
Sampling of probability measures in the convex order by Wasserstein projection	2021-02-15	Paper
A synthetic model for asset-liability management in life insurance, and analysis of the SCR with the standard formula	2021-01-20	Paper
Approximation of optimal transport problems with marginal moments constraints	2021-01-20	Paper
Squared quadratic Wasserstein distance: optimal couplings and Lions differentiability	2020-12-15	Paper
Long-Time Large Deviations for the Multiasset Wishart Stochastic Volatility Model and Option Pricing	2020-02-14	Paper
SAMPLING OF ONE-DIMENSIONAL PROBABILITY MEASURES IN THE CONVEX ORDER AND COMPUTATION OF ROBUST OPTION PRICE BOUNDS	2019-05-21	Paper
Optimal Execution and Price Manipulations in Time-varying Limit Order Books	2018-09-11	Paper
Evolution of the Wasserstein distance between the marginals of two Markov processes	2018-03-27	Paper
Parametrix methods for one-dimensional reflected SDEs	2018-03-08	Paper
Maximum likelihood estimation for Wishart processes	2016-10-12	Paper
Multivariate Transient Price Impact and Matrix-Valued Positive Definite Functions	2016-08-10	Paper
STOCHASTIC LOCAL INTENSITY LOSS MODELS WITH INTERACTING PARTICLE SYSTEMS	2016-04-14	Paper
Dynamic optimal execution in a mixed-market-impact Hawkes price model	2016-03-29	Paper
On two numerical problems in applied probability : discretization of Stochastic Differential Equations and optimization of an expectation depending on a parameter	2015-11-17	Paper
A simple proof for the convexity of the Choquet integral	2015-08-19	Paper
Optimal transport bounds between the time-marginals of a multidimensional diffusion and its Euler scheme	2015-08-07	Paper
Pathwise optimal transport bounds between a one-dimensional diffusion and its Euler scheme	2014-06-13	Paper
Optimal transport bounds between the time-marginals of a multidimensional diffusion and its Euler scheme	2014-05-27	Paper
Affine diffusions and related processes: simulation, theory and applications	2014-05-07	Paper
A remark on the optimal transport between two probability measures sharing the same copula	2014-04-09	Paper
Capacitary Measures for Completely Monotone Kernels via Singular Control	2013-07-17	Paper
Strong order one convergence of a drift implicit Euler scheme: application to the CIR process	2013-05-13	Paper
Exact and high-order discretization schemes for Wishart processes and their affine extensions	2013-05-10	Paper
A CLOSED-FORM EXTENSION TO THE BLACK-COX MODEL	2013-03-12	Paper
A mean-reverting SDE on correlation matrices	2013-03-04	Paper
Order Book Resilience, Price Manipulation, and the Positive Portfolio Problem	2013-01-25	Paper
GENERAL DUALITY FOR PERPETUAL AMERICAN OPTIONS	2011-04-27	Paper
High order discretization schemes for the CIR process: Application to affine term structure and Heston models	2010-08-30	Paper
Optimal Trade Execution and Absence of Price Manipulations in Limit Order Book Models	2010-08-11	Paper
https://portal.mardi4nfdi.de/entity/Q3550879	2010-04-07	Paper
Optimal execution strategies in limit order books with general shape functions	2010-03-12	Paper
Exact volatility calibration based on a Dupire-type call-put duality for perpetual American options	2009-09-18	Paper
https://portal.mardi4nfdi.de/entity/Q3534743	2008-11-04	Paper
A Call-Put Duality for Perpetual American Options	2006-12-21	Paper
On the discretization schemes for the CIR (and Bessel squared) processes	2006-01-24	Paper
Adaptive simulation of hybrid stochastic and deterministic models for biochemical systems	2005-10-12	Paper
New Families of Copulas Based on Periodic Functions	2005-09-05	Paper
Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model	2005-05-20	Paper

Research outcomes over time

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