Brigo, D. and Alfonsi, A. (2005). Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model, Finance and Stochastics, Vol.~9, No.~1, pp.~29-42.

Alfonsi, A. and Brigo, D., (2005) New Families of Copulas Based on Periodic Functions, Communications in Statistics: Theory and Methods, Vol.~34, No.~7, pp.~1437-1447.

Alfonsi, A., Cancès, E., Turinici, G., Di Ventura, B. and Huisinga, W., (2005) Adaptive simulation of hybrid stochastic and deterministic models for biochemical systems, ESAIM Proceedings, Vol.~14 (Sept. 2005), CEMRACS 2004 - Math. and appl. to biology and medicine.

Alfonsi, A. (2005). On the discretization schemes for the CIR (and Bessel squared) processes, Monte Carlo Methods and Applications, Vol.~11, No.~4, pp.~355-384.

Alfonsi, A. and Jourdain, B. (2008). General Duality for Perpetual American Options, International Journal of Theoretical and Applied Finance, Vol.~11, No.~6, pp.~545-566.

Alfonsi, A., Fruth, A., Schied, A. (2008). Constrained portfolio liquidation in a limit order book model, Banach Center Publications, Vol.~83, pp.~9-25.

Alfonsi, A. and Jourdain, B. (2009). Exact volatility calibration based on a Dupire-type Call-Put duality for perpetual American options, Nonlinear Differential Equations and Applications, Vol.~16, No.~4, pp.~523-554.

Alfonsi, A., Fruth, A., Schied, A. (2010).Optimal execution strategies in limit order books with general shape functions, Quantitative Finance, Vol.~10, No.~2, pp.~143-157.

Alfonsi, A. (2010). High order discretization schemes for the CIR process: Application to affine term structure and Heston models, Mathematics of Computation, Vol.~79, No.~269, pp.~209-237.

Alfonsi, A. (2010). Cox-Ingersoll-Ross (CIR) Model, Encyclopedia of Quantitative Finance, Wiley.

Alfonsi, A., Schied, A. (2010). Optimal Trade Execution and Absence of Price Manipulations in Limit Order Book Models, SIAM J. Finan. Math., Vol.~1, pp.~490-522.