Alfonsi, A. and Kebaier, A. (2024). Approximation of Stochastic Volterra Equations with kernels of completely monotone type, Mathematics of Computation, Vol.~93, pp.~643-677.

Alfonsi, A. and Bally, V. (2023). Construction of Boltzmann and McKean-Vlasov type flows (the sewing lemma approach), Annals of Applied Probability, Vol.~33, No.~5, pp.~3351-3386.

Alfonsi, A., Lombardo, E. (2023). High order approximations of the Cox-Ingersoll-Ross process semigroup using random grids, IMA Journal of Numerical Analysis.

Alfonsi, A., Lapeyre, B. and Lelong, J. (2023). How Many Inner Simulations to Compute Conditional Expectations with Least-square Monte Carlo?, Methodology and Computing in Applied Probability, Vol.~25, No.~3.

Alfonsi, A., Coyaud, R. and Ehrlacher, V. (2022). Constrained overdamped Langevin dynamics for symmetric multimarginal optimal transportation, Math. Models Methods Appl. Sci., Vol.~32, No.~3, pp.~403-455.

Alfonsi, A. and Bally, V. (2021). A generic construction for high order approximation schemes of semigroups using random grids, Numerische Mathematik, Vol.~148, No.~4, pp.~743-793.

Alfonsi, A., Cherchali, A., and Infante Acevedo, J. A. (2021). Multilevel Monte-Carlo for computing the SCR with the standard formula and other stress tests, Insurance: Mathematics and Economics, Vol.~100, Sept. 2021, pp.~234-260.

Alfonsi, A., Coyaud, R., Ehrlacher, V. and Lombardi, D. (2021). Approximation of optimal transport problems with marginal moments constraints, Math. Comp., Vol.~90, No.~328, pp.~689-737.

Alfonsi, A. and Jourdain, B. (2020). Squared quadratic Wasserstein distance: optimal couplings and Lions differentiability, ESAIM: PS, Vol.~24.

Alfonsi, A., Corbetta, J., and Jourdain, B. (2020). Sampling of probability measures in the convex order by Wasserstein projection, Ann. Inst. Henri Poincaré Probab. Stat., Vol.~56, No.~3.

Alfonsi, A., Cherchali, A., and Infante Acevedo, J. A. (2020). A synthetic model for asset-liability management in life insurance, and analysis of the SCR with the standard formula, European Actuarial Journal.

Alfonsi, A., Krief, D., and Tankov, P. (2019). Long-Time Large Deviations for the Multiasset Wishart Stochastic Volatility Model and Option Pricing, SIAM J. Finan. Math., Vol.~10, No.~4.

Alfonsi, A., Corbetta, J., and Jourdain, B. (2019). Sampling of one-dimensional probability measures in the convex order and computation of robust option price bounds, International Journal of Theoretical and Applied Finance, Vol.~22, No.~3.

Alfonsi, A., Corbetta, J., and Jourdain, B. (2018). Evolution of the Wasserstein distance between the marginals of two Markov processes, Bernoulli, Vol.~24, No.~4A.

Alfonsi, A., Hayashi, M. and Kohatsu-Higa, A. (2017). Parametrix Methods for One-Dimensional Reflected SDEs, chapter of the book Modern Problems of Stochastic Analysis and Statistics, Selected Contributions In Honor of Valentin Konakov, edited by V. Panov.

Ahdida, A., Alfonsi, A. and Palidda, E. (2017). Smile with the Gaussian term structure model, The Journal of Computational Finance, Vol.~21, No.~1.

Alfonsi, A. and Blanc, P. (2016). Extension and Calibration of a Hawkes-Based Optimal Execution Model, Market Microstructure and Liquidity, Vol.~2, No.~2.

Alfonsi, A., Kebaier, A. and Rey, C. (2016). Maximum likelihood estimation for Wishart processes, Stochastic Processes and their Applications, Vol.~126, No.~11, pp.~3243-3282.

Alfonsi, A., Klöck, F and Schied, A. (2016). Multivariate Transient Price Impact and Matrix-Valued Positive Definite Functions, Mathematics of Operations Research, Vol.~41, No.~3 pp.~914-934.

Alfonsi, A., Labart, C. and Lelong, J. (2016). Stochastic Local Intensity Loss Models with Interacting Particle Systems, Mathematical Finance, Vol.~26, No.~2 pp.~366-394.

Alfonsi, A. and Blanc, P. (2016). Dynamic optimal execution in a mixed-market-impact Hawkes price model, Finance and Stochastics, Vol.~20, No.~1, pp.~183-218.

Alfonsi, A., Jourdain, B. and Kohatsu-Higa, A. (2015). Optimal transport bounds between the time-marginals of a multidimensional diffusion and its Euler scheme, Electronic Journal of Probability, Vol.~20.

Alfonsi, A. (2015). A simple proof for the convexity of the Choquet integral, Statistics & Probability Letters, Vol.~104, pp.~22-25.

Alfonsi, A. and Infante Acevedo, J. (2014). Optimal Execution and Price Manipulations in Time-varying Limit Order Books, Applied Mathematical Finance, Vol.~21, No.~3, pp.~201-237.

Alfonsi, A., Jourdain, B. and Kohatsu-Higa, A. (2014). Pathwise optimal transport bounds between a one-dimensional diffusion and its Euler scheme, Annals of Applied Probability, Vol.~24, No.~3, pp.~1049-1080.

Alfonsi, A. and Jourdain, B. (2014). A remark on the optimal transport between two probability measures sharing the same copula, Statistics & Probability Letters, Vol.~84, No.~1, pp.~131-134.

Alfonsi, A. and Schied, A. (2013). Capacitary Measures for Completely Monotone Kernels via Singular Control, SIAM J. Control Optim., Vol.~51, No.~2, pp.~1758-1780.

Ahdida, A. and Alfonsi, A. (2013). A mean-reverting SDE on correlation matrices, Stochastic Processes and their Applications, Vol.~123, No.~4, pp.~1472-1520.

Ahdida, A. and Alfonsi, A. (2013). Exact and high-order discretization schemes for Wishart processes and their affine extensions, Annals of Applied Probability, Vol.~23, No.~3, pp.~1025-1073.

Alfonsi, A. (2013). Strong order one convergence of a drift implicit Euler scheme: Application to the CIR process, Statistics & Probability Letters, Vol.~83, No.~2, pp.~602-607.

Alfonsi, A. and Lelong, J. (2012). A closed-form extension to the Black-Cox model, International Journal of Theoretical and Applied Finance, Vol.~15, No.~8.

Alfonsi, A., Schied, A. and Slynko, A. (2012). Order Book Resilience, Price Manipulation, and the Positive Portfolio Problem, SIAM J. Finan. Math., Vol.~3, pp.~511-533.

Alfonsi, A. (2011). An Introduction to Multiname Modeling in Credit Risk, chapter~3 of the book Credit Risk Frontiers edited by T. Bielecki, D. Brigo and F. Patras, Wiley.

Alfonsi, A. and 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.

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

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

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., 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. 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.

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.