The following pages link to Aurélien Alfonsi (Q261923):
Displaying 42 items.
- Dynamic optimal execution in a mixed-market-impact Hawkes price model (Q261925) (← links)
- Maximum likelihood estimation for Wishart processes (Q326826) (← links)
- A simple proof for the convexity of the Choquet integral (Q491689) (← links)
- Exact volatility calibration based on a Dupire-type call-put duality for perpetual American options (Q841614) (← links)
- Parametrix methods for one-dimensional reflected SDEs (Q1703890) (← links)
- Evolution of the Wasserstein distance between the marginals of two Markov processes (Q1708973) (← links)
- Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model (Q1776023) (← links)
- A mean-reverting SDE on correlation matrices (Q1939349) (← links)
- Exact and high-order discretization schemes for Wishart processes and their affine extensions (Q1950261) (← links)
- Strong order one convergence of a drift implicit Euler scheme: application to the CIR process (Q1950672) (← links)
- A generic construction for high order approximation schemes of semigroups using random grids (Q2049919) (← links)
- A synthetic model for asset-liability management in life insurance, and analysis of the SCR with the standard formula (Q2219626) (← links)
- Sampling of probability measures in the convex order by Wasserstein projection (Q2227463) (← links)
- Multilevel Monte Carlo for computing the SCR with the standard formula and other stress tests (Q2234762) (← links)
- A remark on the optimal transport between two probability measures sharing the same copula (Q2444387) (← links)
- Affine diffusions and related processes: simulation, theory and applications (Q2449312) (← links)
- Pathwise optimal transport bounds between a one-dimensional diffusion and its Euler scheme (Q2454403) (← links)
- Optimal transport bounds between the time-marginals of a multidimensional diffusion and its Euler scheme (Q2515937) (← links)
- STOCHASTIC LOCAL INTENSITY LOSS MODELS WITH INTERACTING PARTICLE SYSTEMS (Q2799999) (← links)
- Capacitary Measures for Completely Monotone Kernels via Singular Control (Q2840157) (← links)
- GENERAL DUALITY FOR PERPETUAL AMERICAN OPTIONS (Q3168856) (← links)
- Multivariate Transient Price Impact and Matrix-Valued Positive Definite Functions (Q3186536) (← links)
- On the discretization schemes for the CIR (and Bessel squared) processes (Q3367271) (← links)
- On two numerical problems in applied probability : discretization of Stochastic Differential Equations and optimization of an expectation depending on a parameter (Q3451723) (← links)
- (Q3534743) (← links)
- (Q3550879) (← links)
- Optimal Trade Execution and Absence of Price Manipulations in Limit Order Book Models (Q3580035) (← links)
- High order discretization schemes for the CIR process: Application to affine term structure and Heston models (Q3584774) (← links)
- Optimal Execution and Price Manipulations in Time-varying Limit Order Books (Q4586029) (← links)
- Order Book Resilience, Price Manipulation, and the Positive Portfolio Problem (Q4902224) (← links)
- A CLOSED-FORM EXTENSION TO THE BLACK-COX MODEL (Q4909138) (← links)
- Constrained overdamped Langevin dynamics for symmetric multimarginal optimal transportation (Q5074802) (← links)
- Squared quadratic Wasserstein distance: optimal couplings and Lions differentiability (Q5140338) (← links)
- Approximation of optimal transport problems with marginal moments constraints (Q5145096) (← links)
- Optimal execution strategies in limit order books with general shape functions (Q5190130) (← links)
- Long-Time Large Deviations for the Multiasset Wishart Stochastic Volatility Model and Option Pricing (Q5215986) (← links)
- New Families of Copulas Based on Periodic Functions (Q5314576) (← links)
- SAMPLING OF ONE-DIMENSIONAL PROBABILITY MEASURES IN THE CONVEX ORDER AND COMPUTATION OF ROBUST OPTION PRICE BOUNDS (Q5376998) (← links)
- Adaptive simulation of hybrid stochastic and deterministic models for biochemical systems (Q5695334) (← links)
- Approximation of Stochastic Volterra Equations with kernels of completely monotone type (Q6140843) (← links)
- How many inner simulations to compute conditional expectations with least-square Monte Carlo? (Q6176176) (← links)
- Construction of Boltzmann and McKean-Vlasov type flows (the sewing lemma approach) (Q6187464) (← links)
