A. Alfonsi, J. Corbetta, B. Jourdain : Sampling of probability measures in the convex order and approximation of Martingale Optimal Transport problems. Settembre 2017.

A. Alfonsi, J. Corbetta, B. Jourdain : Evolution of the Wasserstein distance between the marginals of two Markov processes. Giugno 2016.

A. Alfonsi, A. Kebaier, C. Rey : Maximum Likelihood Estimation for Wishart processes. Agosto 2015.

A. Alfonsi, P. Blanc : Extension and calibration of a Hawkes-based optimal execution model. Giugno 2015.

A. Alfonsi : A simple proof for the convexity of the Choquet integral. Gennaio 2015.

A. Ahdida, A. Alfonsi, E. Palidda : Smile with the Gaussian term structure model. Dicembre 2014.

A. Alfonsi, B. Jourdain, A. Kohatsu-Higa : Optimal transport bounds between the time-marginals of a multidimensional diffusion and its Euler scheme. Maggio 2014.

A. Alfonsi, P. Blanc : Dynamic optimal execution in a mixed-market-impact Hawkes price model. Aprile 2014.

A. Alfonsi, F. Klöck, A. Schied : Multivariate transient price impact and matrix-valued positive definite functions. Ottobre 2013.

A. Alfonsi, B. Jourdain : A remark on the optimal transport between two probability measures sharing the same copula. Luglio 2013.

A. Alfonsi, C. Labart, J. Lelong : Stochastic Local Intensity Loss Models with Interacting Particle Systems. Febbraio 2013.

A. Alfonsi, B. Jourdain, A. Kohatsu-Higa : Pathwise optimal transport bounds between a one-dimensional diffusion and its Euler scheme. Settembre 2012.

A. Alfonsi : Strong convergence of some drift implicit Euler scheme. Application to the CIR process. Giugno 2012.

A. Alfonsi, J. Infante Acevedo : Optimal execution and price manipulations in time-varying limit order books, Aprile 2012.

A. Alfonsi, A. Schied : Capacitary Measures for Completely Monotone Kernels Via Singular Control, Gennaio 2012.

A. Ahdida, A. Alfonsi : A Mean-Reverting SDE on Correlation Matrices, Agosto 2011.

A. Ahdida, A. Alfonsi : Exact and high order discretization schemes for Wishart processes and their affine extensions, Giugno 2010.

A. Alfonsi, A. Schied, A. Slynko : Order Book Resilience, Price Manipulation, and the Positive Portfolio Problem, Ottobre 2009.

A. Alfonsi, J. Lelong : A closed-form extension to the Black-Cox model, Settembre 2009.

A. Alfonsi, A. Schied : Optimal execution and absence of price manipulations in limit order book models, Giugno 2009.

A. Alfonsi : High order discretization schemes for the CIR process: application to Affine Term Structure and Heston models, Giugno 2008. (versione aggiornata di " A second-order discretization scheme for the CIR process: application to the Heston model", Aprile 2007.)

A. Alfonsi, A. Schied, A. Schulz : Constrained portfolio liquidation in a limit order book model, Settembre 2007.

A. Alfonsi, A. Schied, A. Schulz : Optimal execution strategies in limit order books with general shape functions, Agosto 2007.

A. Alfonsi : An introduction to the multiname modelling in credit risk, Aprile 2007.

A. Alfonsi, B. Jourdain : General Duality for Perpetual American Options, Dicembre 2006, rapport CERMICS [2006-333].

A. Alfonsi : Modélisation en risque de crédit. Calibration et discrétisation de modèles financiers., Tesi di dottorato difesa il 27 di giugno 2006 presso l'ENPC (Presentazione).

A. Alfonsi, B. Jourdain : A Call-Put Duality for Perpetual American Options, Aprile 2006, rapport CERMICS [2006-307].

A. Alfonsi : On the discretization schemes for the CIR (and Bessel squared) processes, Maggio 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, Dicembre 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, Ottobre 2003, Champs-sur-Marne, rapport CERMICS [2003-250].