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	Pour les 44 documents Envoyer sur ORCID RSS ATOM Exporter BibTeX XML-TEI CSV RTF EndNote PDF HTML Export avancé	Page : Page précédente 1 2 Page suivante	triés par Pertinence Auteur A→Z Auteur Z→A Titre A→Z Titre Z→A Date de publication croissante Date de publication décroissante Date de dépôt croissante Date de dépôt décroissante

		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	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		Risk valuation of quanto derivatives on temperature and electricity Aurélien Alfonsi , Nerea Vadillo 2023 Pré-publication, Document de travail hal-04358505v1	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		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	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		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	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		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	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		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	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		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	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		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	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		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	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		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	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		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	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		Smile with the Gaussian term structure model Abdelkoddousse Ahdida , Aurélien Alfonsi , Ernesto Palidda The Journal of Computational Finance, 2017, 21 (1), ⟨10.21314/JCF.2016.328⟩ Article dans une revue hal-01098554v1	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		Optimal execution strategies in limit order books with general shape functions Aurélien Alfonsi , Antje Fruth , Alexander Schied Quantitative Finance, 2010, 10 (2), pp.143-157. ⟨10.1080/14697680802595700⟩ Article dans une revue hal-00166969v3	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		Constrained overdamped Langevin dynamics for symmetric multimarginal optimal transportation Aurélien Alfonsi , Rafaël Coyaud , Virginie Ehrlacher Mathematical Models and Methods in Applied Sciences, In press Article dans une revue hal-03131763v1	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		Nonnegativity preserving convolution kernels. Application to Stochastic Volterra Equations in closed convex domains and their approximation. Aurélien Alfonsi 2023 Pré-publication, Document de travail hal-03991952v1	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		Optimal trade execution and absence of price manipulations in limit order book models Aurélien Alfonsi , Alexander Schied SIAM Journal on Financial Mathematics, 2010, 1, pp.490-522. ⟨10.1137/090762786⟩ Article dans une revue hal-00397652v3	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		High order approximations of the Cox-Ingersoll-Ross process semigroup using random grids Aurélien Alfonsi , Edoardo Lombardo IMA Journal of Numerical Analysis, 2023, ⟨10.1093/imanum/drad059⟩ Article dans une revue hal-03791594v1	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		How many inner simulations to compute conditional expectations with least-square Monte Carlo? Aurélien Alfonsi , Bernard Lapeyre , Jérôme Lelong Methodology and Computing in Applied Probability, 2023, 25 (3), pp.71. ⟨10.1007/s11009-023-10038-x⟩ Article dans une revue hal-03770051v2	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		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	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		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	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		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	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		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	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		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	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		Long-time large deviations for the multi-asset Wishart stochastic volatility model and option pricing Aurélien Alfonsi , David Krief , Peter Tankov SIAM Journal on Financial Mathematics, 2019, ⟨10.1137/18M1197588⟩ Article dans une revue hal-01949485v1	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		Order Book Resilience, Price Manipulation, and the Positive Portfolio Problem Alfonsi Aurélien , Alexander Schied , Alla Slynko SIAM Journal on Financial Mathematics, 2012, 3, pp.511-533. ⟨10.1137/110822098⟩ Article dans une revue hal-00941333v1	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		Credit risk modeling. Calibration and discretization of financial models Aurélien Alfonsi Mathematics [math]. Ecole des Ponts ParisTech, 2006. English. ⟨NNT : ⟩ Thèse pastel-00001859v1	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		A simple proof for the convexity of the Choquet integral Aurélien Alfonsi Statistics and Probability Letters, 2015 Article dans une revue hal-01101310v1	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		Multilevel Monte-Carlo for computing the SCR with the standard formula and other stress tests Aurélien Alfonsi , Adel Cherchali , José Arturo Infante Acevedo Insurance: Mathematics and Economics, 2021, ⟨10.1016/j.insmatheco.2021.05.005⟩ Article dans une revue hal-03026795v1	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		A stochastic volatility model for the valuation of temperature derivatives Aurélien Alfonsi , Nerea Vadillo 2022 Pré-publication, Document de travail hal-03777685v1	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		Optimal execution and price manipulations in time-varying limit order books Aurélien Alfonsi , José Infante Acevedo Applied Mathematical Finance, 2014, http://www.tandfonline.com/doi/abs/10.1080/1350486X.2013.845471#.VMpSGGNxNhg. ⟨10.1080/1350486X.2013.845471⟩ Article dans une revue hal-00687193v1	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More

Filtrer vos résultats

Dynamic optimal execution in a mixed-market-impact Hawkes price model

Risk valuation of quanto derivatives on temperature and electricity

Strong convergence of some drift implicit Euler scheme. Application to the CIR process.

A Call-Put Duality for Perpetual American Options

Adaptive simulation of hybrid stochastic and deterministic models for biochemical systems

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

Approximation of Optimal Transport problems with marginal moments constraints

Exact simulation of hybrid stochastic and deterministic models for biochemical systems

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

Stochastic Local Intensity Loss Models with Interacting Particle Systems

A Mean-Reverting SDE on Correlation matrices

Smile with the Gaussian term structure model

Optimal execution strategies in limit order books with general shape functions

Constrained overdamped Langevin dynamics for symmetric multimarginal optimal transportation

Nonnegativity preserving convolution kernels. Application to Stochastic Volterra Equations in closed convex domains and their approximation.

Optimal trade execution and absence of price manipulations in limit order book models

High order approximations of the Cox-Ingersoll-Ross process semigroup using random grids

How many inner simulations to compute conditional expectations with least-square Monte Carlo?

A closed-form extension to the Black-Cox model

General Duality for Perpetual American Options

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

Squared quadratic Wasserstein distance: optimal couplings and Lions differentiability

Pathwise optimal transport bounds between a one-dimensional diffusion and its Euler scheme

Long-time large deviations for the multi-asset Wishart stochastic volatility model and option pricing

Order Book Resilience, Price Manipulation, and the Positive Portfolio Problem

Credit risk modeling. Calibration and discretization of financial models

A simple proof for the convexity of the Choquet integral

Multilevel Monte-Carlo for computing the SCR with the standard formula and other stress tests

A stochastic volatility model for the valuation of temperature derivatives

Optimal execution and price manipulations in time-varying limit order books