Aurélien Alfonsi

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Person:261923

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zbMath Open alfonsi.aurelienMaRDI QIDQ261923

List of research outcomes

PublicationDate of PublicationType
Construction of Boltzmann and McKean-Vlasov type flows (the sewing lemma approach)2024-01-15Paper
Approximation of Stochastic Volterra Equations with kernels of completely monotone type2024-01-02Paper
How many inner simulations to compute conditional expectations with least-square Monte Carlo?2023-07-25Paper
Nonnegativity preserving convolution kernels. Application to Stochastic Volterra Equations in closed convex domains and their approximation2023-02-15Paper
High order approximations of the Cox-Ingersoll-Ross process semigroup using random grids2022-09-27Paper
Constrained overdamped Langevin dynamics for symmetric multimarginal optimal transportation2022-05-10Paper
Multilevel Monte Carlo for computing the SCR with the standard formula and other stress tests2021-10-19Paper
A generic construction for high order approximation schemes of semigroups using random grids2021-08-27Paper
Sampling of probability measures in the convex order by Wasserstein projection2021-02-15Paper
A synthetic model for asset-liability management in life insurance, and analysis of the SCR with the standard formula2021-01-20Paper
Approximation of optimal transport problems with marginal moments constraints2021-01-20Paper
Squared quadratic Wasserstein distance: optimal couplings and Lions differentiability2020-12-15Paper
Long-Time Large Deviations for the Multiasset Wishart Stochastic Volatility Model and Option Pricing2020-02-14Paper
SAMPLING OF ONE-DIMENSIONAL PROBABILITY MEASURES IN THE CONVEX ORDER AND COMPUTATION OF ROBUST OPTION PRICE BOUNDS2019-05-21Paper
Optimal Execution and Price Manipulations in Time-varying Limit Order Books2018-09-11Paper
Evolution of the Wasserstein distance between the marginals of two Markov processes2018-03-27Paper
Parametrix methods for one-dimensional reflected SDEs2018-03-08Paper
Maximum likelihood estimation for Wishart processes2016-10-12Paper
Multivariate Transient Price Impact and Matrix-Valued Positive Definite Functions2016-08-10Paper
STOCHASTIC LOCAL INTENSITY LOSS MODELS WITH INTERACTING PARTICLE SYSTEMS2016-04-14Paper
Dynamic optimal execution in a mixed-market-impact Hawkes price model2016-03-29Paper
On two numerical problems in applied probability : discretization of Stochastic Differential Equations and optimization of an expectation depending on a parameter2015-11-17Paper
A simple proof for the convexity of the Choquet integral2015-08-19Paper
Optimal transport bounds between the time-marginals of a multidimensional diffusion and its Euler scheme2015-08-07Paper
Pathwise optimal transport bounds between a one-dimensional diffusion and its Euler scheme2014-06-13Paper
Optimal transport bounds between the time-marginals of a multidimensional diffusion and its Euler scheme2014-05-27Paper
Affine diffusions and related processes: simulation, theory and applications2014-05-07Paper
A remark on the optimal transport between two probability measures sharing the same copula2014-04-09Paper
Capacitary Measures for Completely Monotone Kernels via Singular Control2013-07-17Paper
Strong order one convergence of a drift implicit Euler scheme: application to the CIR process2013-05-13Paper
Exact and high-order discretization schemes for Wishart processes and their affine extensions2013-05-10Paper
A CLOSED-FORM EXTENSION TO THE BLACK-COX MODEL2013-03-12Paper
A mean-reverting SDE on correlation matrices2013-03-04Paper
Order Book Resilience, Price Manipulation, and the Positive Portfolio Problem2013-01-25Paper
GENERAL DUALITY FOR PERPETUAL AMERICAN OPTIONS2011-04-27Paper
High order discretization schemes for the CIR process: Application to affine term structure and Heston models2010-08-30Paper
Optimal Trade Execution and Absence of Price Manipulations in Limit Order Book Models2010-08-11Paper
https://portal.mardi4nfdi.de/entity/Q35508792010-04-07Paper
Optimal execution strategies in limit order books with general shape functions2010-03-12Paper
Exact volatility calibration based on a Dupire-type call-put duality for perpetual American options2009-09-18Paper
https://portal.mardi4nfdi.de/entity/Q35347432008-11-04Paper
A Call-Put Duality for Perpetual American Options2006-12-21Paper
On the discretization schemes for the CIR (and Bessel squared) processes2006-01-24Paper
Adaptive simulation of hybrid stochastic and deterministic models for biochemical systems2005-10-12Paper
New Families of Copulas Based on Periodic Functions2005-09-05Paper
Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model2005-05-20Paper

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