A. Alfonsi, G. Szulda :
On non-negative solutions of stochastic Volterra equations with jumps and non-Lipschitz coefficients. March 2024.
A. Alfonsi, N. Vadillo :
Risk valuation of quanto derivatives on temperature and electricity. October 2023.
A. Alfonsi : Nonnegativity preserving convolution kernels. Application to Stochastic Volterra Equations in closed convex domains and their approximation. February 2023.
A. Alfonsi, E. Lombardo : High order approximations of the Cox-Ingersoll-Ross process semigroup using random grids. September 2022.
A. Alfonsi, N. Vadillo :
A stochastic volatility model for the valuation of temperature derivatives. September 2022.
A. Alfonsi, B. Lapeyre, J. Lelong : How many inner simulations to compute conditional expectations with least-square Monte Carlo? September 2022.
A. Alfonsi, V. Bally : Construction of Boltzmann and McKean Vlasov type flows (the sewing lemma approach). May 2021.
A. Alfonsi, A. Kebaier : Approximation of Stochastic Volterra Equations with kernels of completely monotone type. March 2021.
A. Alfonsi, R. Coyaud, V. Ehrlacher : Constrained overdamped Langevin dynamics for symmetric multimarginal optimal transportation. February 2021.
A. Alfonsi, A. Cherchali, J. A. Infante Acevedo :
Multilevel Monte-Carlo for computing the SCR with the standard formula and other stress tests. October 2020.
A. Alfonsi, A. Cherchali, J. A. Infante Acevedo : A full and synthetic model for Asset-Liability Management in life insurance, and analysis of the SCR with the standard formula. August 2019.
A. Alfonsi, V. Bally : A generic construction for high order approximation schemes of semigroups using random grids. May 2019.
A. Alfonsi, R. Coyaud, V. Ehrlacher, D. Lombardi : Approximation of Optimal Transport problems with marginal moments constraints. May 2019.
A. Alfonsi, B. Jourdain : Lifted and geometric differentiability of the squared quadratic Wasserstein distance. November 2018.
A. Alfonsi, D. Krief, P. Tankov : Long-time large deviations for the multi-asset Wishart stochastic volatility model and option pricing. June 2018.
A. Alfonsi, J. Corbetta, B. Jourdain : Sampling of probability measures in the convex order and approximation of Martingale Optimal Transport problems. September 2017.
A. Alfonsi, J. Corbetta, B. Jourdain : Evolution of the Wasserstein distance between the marginals of two Markov processes. June 2016.
A. Alfonsi, A. Kebaier, C. Rey : Maximum Likelihood Estimation for Wishart processes. August 2015.
A. Alfonsi, P. Blanc : Extension and calibration of a Hawkes-based optimal execution model. June 2015.
A. Alfonsi : A simple proof for the convexity of the Choquet integral. January 2015.
A. Ahdida, A. Alfonsi, E. Palidda : Smile with the Gaussian term structure model. December 2014.
A. Alfonsi, B. Jourdain, A. Kohatsu-Higa : Optimal transport bounds between the time-marginals of a
multidimensional diffusion and its Euler scheme. May 2014.
A. Alfonsi, P. Blanc : Dynamic optimal execution in a mixed-market-impact Hawkes price model. April 2014.
A. Alfonsi, F. Klöck, A. Schied : Multivariate transient price impact and matrix-valued positive definite functions. October 2013.
A. Alfonsi, B. Jourdain : A remark on the optimal transport between two probability measures sharing the same copula. July 2013.
A. Alfonsi, C. Labart, J. Lelong : Stochastic Local Intensity Loss Models with Interacting Particle Systems. February 2013.
A. Alfonsi, B. Jourdain, A. Kohatsu-Higa : Pathwise optimal transport bounds between a one-dimensional diffusion and its Euler scheme. September 2012.
A. Alfonsi : Strong convergence of some drift implicit Euler scheme. Application to the CIR process. June 2012.
A. Alfonsi, J. Infante Acevedo : Optimal execution and price manipulations in time-varying limit order books, April 2012.
A. Alfonsi, A. Schied : Capacitary Measures for Completely Monotone Kernels Via Singular Control, January 2012.
A. Ahdida, A. Alfonsi :
A Mean-Reverting SDE on Correlation Matrices, August 2011.
A. Ahdida, A. Alfonsi :
Exact and high order discretization schemes for Wishart processes and their affine extensions, June 2010.
A. Alfonsi, A. Schied, A. Slynko :
Order Book Resilience, Price Manipulation, and the Positive Portfolio Problem, October 2009.
A. Alfonsi, J. Lelong :
A closed-form extension to the Black-Cox model, September 2009.
A. Alfonsi, A. Schied :
Optimal execution and absence of price manipulations in limit order book models, June 2009.
A. Alfonsi :
High order discretization schemes for the CIR process:
application to Affine Term Structure and Heston models, June
2008.
(updated version of "
A second-order discretization scheme for the CIR process: application
to the Heston model", April 2007.)
A. Alfonsi, A. Schied, A. Schulz :
Constrained portfolio liquidation in a limit order
book model, September 2007.
A. Alfonsi, A. Schied, A. Schulz :
Optimal execution strategies in limit order books with general shape
functions, August 2007.
A. Alfonsi :
An introduction to the multiname modelling in credit risk, April
2007.
A. Alfonsi, B. Jourdain :
General Duality for Perpetual American Options, December 2006,
rapport CERMICS [2006-333].
A. Alfonsi : Modélisation en risque de crédit. Calibration et
discrétisation de modèles financiers., Ph.D. thesis defended on
the 27th of June 2006 at the ENPC (Slides).
A. Alfonsi, B. Jourdain :
A Call-Put Duality for Perpetual American Options, April 2006,
rapport CERMICS [2006-307].
A. Alfonsi : On the discretization schemes for the CIR (and Bessel squared) processes, May 2005, rapport CERMICS [2005-279].
A. Alfonsi, E. Cancès, G. Turinici, B. Di Ventura, W. Huisinga : Exact
simulation of hybrid stochastic and deterministic models for biochemical
systems, December 2004, INRIA RR-5435.
D. Brigo, A. Alfonsi : Credit Default Swaps Calibration and Option Pricing with the SSRD Stochastic Intensity and Interest-Rate Model.
Paper presented at the 6-th Columbia=JAFEE International Conference,
Tokyo, March 15-16, 2003.
A. Alfonsi, D. Brigo :
New families of Copulas based on periodic functions, 17 pages, October 2003, Champs-sur-Marne,
rapport CERMICS [2003-250].