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A full and synthetic model for Asset-Liability Management in life insurance, and analysis of the SCR with the standard formula

 Aurélien Alfonsi , Adel Cherchali , Jose Arturo Infante Acevedo
European Actuarial Journal, 2020, ⟨10.1007/s13385-020-00240-3⟩
Article dans une revue hal-02406439v1
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Approximation of Optimal Transport problems with marginal moments constraints

 Aurélien Alfonsi , Rafaël Coyaud , Virginie Ehrlacher , Damiano Lombardi
Mathematics of Computation, 2020, ⟨10.1090/mcom/3568⟩
Article dans une revue hal-02128374v1
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Exact simulation of hybrid stochastic and deterministic models for biochemical systems

 Aurélien Alfonsi , Eric Cancès , Gabriel Turinici , Barbara Di Ventura , Wilhelm Huisinga
[Research Report] RR-5435, INRIA. 2004, pp.20
Rapport inria-00070572v1

Evolution of the Wasserstein distance between the marginals of two Markov processes

 Aurélien Alfonsi , Jacopo Corbetta , Benjamin Jourdain
Bernoulli, 2018, 24 (4A), pp.2461-2498
Article dans une revue hal-01390887v1
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Stochastic Local Intensity Loss Models with Interacting Particle Systems

 Aurélien Alfonsi , Céline Labart , Jérôme Lelong
Mathematical Finance, 2016, 26 (2), pp.366-394. ⟨10.1111/mafi.12059⟩
Article dans une revue hal-00786239v1
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A Mean-Reverting SDE on Correlation matrices

 Abdelkoddousse Ahdida , Aurélien Alfonsi
Stochastic Processes and their Applications, 2013, 123 (4), pp.1472-1520. ⟨10.1016/j.spa.2012.12.008⟩
Article dans une revue hal-00617111v2
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Squared quadratic Wasserstein distance: optimal couplings and Lions differentiability

 Aurélien Alfonsi , Benjamin Jourdain
ESAIM: Probability and Statistics, 2020, 24, pp.703-717. ⟨10.1051/ps/2020013⟩
Article dans une revue hal-01934705v2
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Pathwise optimal transport bounds between a one-dimensional diffusion and its Euler scheme

 Aurélien Alfonsi , Benjamin Jourdain , Arturo Kohatsu-Higa
The Annals of Applied Probability, 2014, http://dx.doi.org/10.1214/13-AAP941
Article dans une revue hal-00727430v1

A generic construction for high order approximation schemes of semigroups using random grids

 Aurélien Alfonsi , Vlad Bally
Numerische Mathematik, 2021, ⟨10.1007/s00211-021-01219-2⟩
Article dans une revue hal-02406433v1
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General Duality for Perpetual American Options

 Aurélien Alfonsi , Benjamin Jourdain
International Journal of Theoretical and Applied Finance, 2008, http://www.worldscientific.com/doi/abs/10.1142/S0219024908004920
Article dans une revue hal-00121600v1
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A closed-form extension to the Black-Cox model

 Aurélien Alfonsi , Jérôme Lelong
International Journal of Theoretical and Applied Finance, 2012, 15 (8), pp.1250053:1-30. ⟨10.1142/S0219024912500537⟩
Article dans une revue hal-00414280v2
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Risk valuation of quanto derivatives on temperature and electricity

 Aurélien Alfonsi , Nerea Vadillo
2023
Pré-publication, Document de travail hal-04358505v1
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Strong convergence of some drift implicit Euler scheme. Application to the CIR process.

 Aurélien Alfonsi
Statistics and Probability Letters, 2013, 83 (2), pp.602-607. ⟨10.1016/j.spl.2012.10.034⟩
Article dans une revue hal-00709202v1
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A Call-Put Duality for Perpetual American Options

 Aurélien Alfonsi , Benjamin Jourdain
Nonlinear Differential Equations and Applications, 2009, http://link.springer.com/article/10.1007%2Fs00030-009-0027-8
Article dans une revue hal-00121589v1

Adaptive simulation of hybrid stochastic and deterministic models for biochemical systems

 Aurélien Alfonsi , Eric Cancès , Gabriel Turinici , Barbara Di Ventura , Wilhelm Huisinga
ESAIM: Proceedings, 2005, 14, pp.1--13. ⟨10.1051/proc:2005001⟩
Article dans une revue hal-00536559v1
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Dynamic optimal execution in a mixed-market-impact Hawkes price model

 Aurélien Alfonsi , Pierre Blanc
Finance and Stochastics, 2016, ⟨10.1007/s00780-015-0282-y⟩
Article dans une revue hal-00971369v2

Multivariate transient price impact and matrix-valued positive definite functions

 Aurélien Alfonsi , Alexander Schied , Florian Klöck
Mathematics of Operations Research, 2016, ⟨10.1287/moor.2015.0761⟩
Article dans une revue hal-00919895v1
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A remark on the optimal transport between two probability measures sharing the same copula

 Aurélien Alfonsi , Benjamin Jourdain
Statistics and Probability Letters, 2014, dx.doi.org/10.1016/j.spl.2013.09.035
Article dans une revue hal-00844906v1

Sampling of probability measures in the convex order by Wasserstein projection

 Aurélien Alfonsi , Jacopo Corbetta , Benjamin Jourdain
Annales de l'Institut Henri Poincaré (B) Probabilités et Statistiques, 2020, 56 (3), pp.1706-1729. ⟨10.1214/19-AIHP1014⟩
Article dans une revue hal-01589581v1
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Capacitary measures for completely monotone kernels via singular control

 Aurélien Alfonsi , Alexander Schied
SIAM Journal on Control and Optimization, 2013, 51 (2), pp.1758-1780. ⟨10.1137/120862223⟩
Article dans une revue hal-00659421v2

Parametrix Methods for One-Dimensional Reflected SDEs

 Aurélien Alfonsi , Masafumi Hayashi , Arturo Kohatsu-Higa
Modern Problems of Stochastic Analysis and Statistics Selected Contributions In Honor of Valentin Konakov , Springer Proceedings in Mathematics & Statistics (208), Springer, 2017, 978-3-319-65313-6. ⟨10.1007/978-3-319-65313-6_3⟩
Chapitre d'ouvrage hal-01670011v1
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High order discretization schemes for the CIR process: application to Affine Term Structure and Heston models

 Aurélien Alfonsi
Mathematics of Computation, 2010, 79 (269), pp.209-237. ⟨10.1090/S0025-5718-09-02252-2⟩
Article dans une revue hal-00143723v5

Extension and calibration of a Hawkes-based optimal execution model

 Aurélien Alfonsi , Pierre Blanc
Market microstructure and liquidity, 2016, ⟨10.1142/S2382626616500052⟩
Article dans une revue hal-01169686v1
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Optimal transport bounds between the time-marginals of a multidimensional diffusion and its Euler scheme

 Aurélien Alfonsi , Benjamin Jourdain , Arturo Kohatsu-Higa
Electronic Journal of Probability, 2015
Article dans une revue hal-00997301v2
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Maximum Likelihood Estimation for Wishart processes

 Aurélien Alfonsi , Ahmed Kebaier , Clément Rey
Stochastic Processes and their Applications, 2016, ⟨10.1016/j.spa.2016.04.026⟩
Article dans une revue hal-01184310v1
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Approximation of Stochastic Volterra Equations with kernels of completely monotone type

 Aurélien Alfonsi , Ahmed Kebaier
Mathematics of Computation, 2023, 93 (346), pp.643-677. ⟨10.1090/mcom/3911⟩
Article dans une revue hal-03526905v1

Construction of Boltzmann and McKean Vlasov type flows (the sewing lemma approach)

 Aurélien Alfonsi , Vlad Bally
The Annals of Applied Probability, 2023, 33 (5), ⟨10.1214/22-AAP1894⟩
Article dans une revue hal-03241604v1
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Sampling of one-dimensional probability measures in the convex order and computation of robust option price bounds

 Aurélien Alfonsi , Jacopo Corbetta , Benjamin Jourdain
International Journal of Theoretical and Applied Finance, 2019, 22 (3), ⟨10.1142/S021902491950002X⟩
Article dans une revue hal-01963507v1

Affine Diffusions and Related Processes: Simulation, Theory and Applications

 Aurélien Alfonsi
Springer. Springer, Mathematics, Statistics, Finance and Economics (6), 2015, Bocconi & Springer Series, 978-3319052205. ⟨10.1007/978-3-319-05221-2⟩
Ouvrages hal-03127212v1
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Exact and high order discretization schemes for Wishart processes and their affine extensions

 Abdelkoddousse Ahdida , Aurélien Alfonsi
The Annals of Applied Probability, 2013, 23 (3), pp.1025-1073. ⟨10.1214/12-AAP863⟩
Article dans une revue hal-00491371v1
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