## Alfonsi, Aurélien

Compute Distance To:
 Author ID: alfonsi.aurelien Published as: Alfonsi, Aurélien; Alfonsi, A.
 Documents Indexed: 39 Publications since 2005, including 2 Books Co-Authors: 31 Co-Authors with 33 Joint Publications 405 Co-Co-Authors
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### Co-Authors

 6 single-authored 10 Jourdain, Benjamin 6 Schied, Alexander 3 Corbetta, Jacopo 3 Kohatsu-Higa, Arturo 2 Ahdida, Abdelkoddousse 2 Brigo, Damiano 2 Cherchali, Adel 2 Coyaud, Rafaël 2 Ehrlacher, Virginie 2 Fruth, Antje 2 Infante Acevedo, Jose Arturo 2 Lelong, Jérôme 1 Acevedo, José Infante 1 Bally, Vlad 1 Blanc, Pierre 1 Cancès, Eric 1 Di Ventura, Barbara 1 Hayashi, Masafumi 1 Huisinga, Wilhelm 1 Kebaier, Ahmed 1 Klöck, Florian 1 Krief, David 1 Labart, Céline 1 Laruelle, Sophie 1 Lombardi, Damiano 1 Niklitschek-Soto, Sebastian 1 Reutenauer, Victor 1 Rey, Clément 1 Slynko, Alla 1 Tankov, Peter 1 Turinici, Gabriel
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### Serials

 3 Statistics & Probability Letters 3 International Journal of Theoretical and Applied Finance 3 SIAM Journal on Financial Mathematics 2 Mathematics of Computation 2 The Annals of Applied Probability 2 Stochastic Processes and their Applications 2 Finance and Stochastics 2 European Series in Applied and Industrial Mathematics (ESAIM): Proceedings 1 Mathematics of Operations Research 1 Numerische Mathematik 1 SIAM Journal on Control and Optimization 1 Insurance Mathematics & Economics 1 M$$^3$$AS. Mathematical Models & Methods in Applied Sciences 1 Communications in Statistics. Theory and Methods 1 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques 1 NoDEA. Nonlinear Differential Equations and Applications 1 Monte Carlo Methods and Applications 1 Applied Mathematical Finance 1 Electronic Journal of Probability 1 Bernoulli 1 Mathematical Finance 1 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics 1 Quantitative Finance 1 European Actuarial Journal 1 Bocconi & Springer Series
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### Fields

 25 Probability theory and stochastic processes (60-XX) 24 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 16 Numerical analysis (65-XX) 9 Calculus of variations and optimal control; optimization (49-XX) 4 Ordinary differential equations (34-XX) 4 Operations research, mathematical programming (90-XX) 3 Statistics (62-XX) 2 Harmonic analysis on Euclidean spaces (42-XX) 2 Statistical mechanics, structure of matter (82-XX) 2 Systems theory; control (93-XX) 1 Linear and multilinear algebra; matrix theory (15-XX) 1 Measure and integration (28-XX) 1 Potential theory (31-XX) 1 Partial differential equations (35-XX) 1 Integral transforms, operational calculus (44-XX) 1 Integral equations (45-XX) 1 Global analysis, analysis on manifolds (58-XX) 1 Biology and other natural sciences (92-XX)

### Citations contained in zbMATH Open

34 Publications have been cited 554 times in 414 Documents Cited by Year
Optimal execution strategies in limit order books with general shape functions. Zbl 1185.91199
Alfonsi, Aurélien; Fruth, Antje; Schied, Alexander
2010
On the discretization schemes for the CIR (and Bessel squared) processes. Zbl 1100.65007
Alfonsi, Aurélien
2005
High order discretization schemes for the CIR process: application to affine term structure and heston models. Zbl 1198.60030
Alfonsi, Aurélien
2010
Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model. Zbl 1065.60085
Brigo, Damiano; Alfonsi, Aurélien
2005
Order book resilience, price manipulation, and the positive portfolio problem. Zbl 1255.91412
Alfonsi, Aurélien; Schied, Alexander; Slynko, Alla
2012
Strong order one convergence of a drift implicit Euler scheme: application to the CIR process. Zbl 1273.65007
Alfonsi, Aurélien
2013
Optimal trade execution and absence of price manipulations in limit order book models. Zbl 1196.91025
Alfonsi, Aurélien; Schied, Alexander
2010
Adaptive simulation of hybrid stochastic and deterministic models for biochemical systems. Zbl 1070.92019
Alfonsi, Aurélien; Cancès, Eric; Turinici, Gabriel; Di Ventura, Barbara; Huisinga, Wilhelm
2005
Affine diffusions and related processes: simulation, theory and applications. Zbl 1387.60002
Alfonsi, Aurélien
2015
Sampling of one-dimensional probability measures in the convex order and computation of robust option price bounds. Zbl 1411.91535
Alfonsi, Aurélien; Corbetta, Jacopo; Jourdain, Benjamin
2019
Constrained portfolio liquidation in a limit order book model. Zbl 1154.91407
Alfonsi, Aurélien; Fruth, Antje; Schied, Alexander
2008
Exact and high-order discretization schemes for Wishart processes and their affine extensions. Zbl 1269.65003
Ahdida, Abdelkoddousse; Alfonsi, Aurélien
2013
Dynamic optimal execution in a mixed-market-impact Hawkes price model. Zbl 1396.91672
Alfonsi, Aurélien; Blanc, Pierre
2016
New families of copulas based on periodic functions. Zbl 1071.62047
Alfonsi, Aurélien; Brigo, Damiano
2005
Pathwise optimal transport bounds between a one-dimensional diffusion and its Euler scheme. Zbl 1296.65010
Alfonsi, A.; Jourdain, B.; Kohatsu-Higa, A.
2014
Capacitary measures for completely monotone kernels via singular control. Zbl 1268.49001
Alfonsi, Aurélien; Schied, Alexander
2013
Optimal transport bounds between the time-marginals of a multidimensional diffusion and its Euler scheme. Zbl 06471548
Alfonsi, Aurélien; Jourdain, Benjamin; Kohatsu-Higa, Arturo
2015
Multivariate transient price impact and matrix-valued positive definite functions. Zbl 1352.42011
Alfonsi, Aurélien; Klöck, Florian; Schied, Alexander
2016
Sampling of probability measures in the convex order by Wasserstein projection. Zbl 1469.60065
Alfonsi, Aurélien; Corbetta, Jacopo; Jourdain, Benjamin
2020
Maximum likelihood estimation for Wishart processes. Zbl 1347.62041
Alfonsi, Aurélien; Kebaier, Ahmed; Rey, Clément
2016
Exact volatility calibration based on a Dupire-type call-put duality for perpetual American options. Zbl 1179.60021
Alfonsi, Aurélien; Jourdain, Benjamin
2009
Optimal execution and price manipulations in time-varying limit order books. Zbl 1395.91394
Alfonsi, Aurélien; Acevedo, José Infante
2014
A mean-reverting SDE on correlation matrices. Zbl 1271.65014
Ahdida, Abdelkoddousse; Alfonsi, Aurélien
2013
A remark on the optimal transport between two probability measures sharing the same copula. Zbl 1296.60023
Alfonsi, A.; Jourdain, B.
2014
Evolution of the Wasserstein distance between the marginals of two Markov processes. Zbl 1428.60124
Alfonsi, Aurélien; Corbetta, Jacopo; Jourdain, Benjamin
2018
Approximation of optimal transport problems with marginal moments constraints. Zbl 1455.49018
Alfonsi, Aurélien; Coyaud, Rafaël; Ehrlacher, Virginie; Lombardi, Damiano
2021
General duality for perpetual American options. Zbl 1232.91640
Alfonsi, Aurélien; Jourdain, Benjamin
2008
A simple proof for the convexity of the Choquet integral. Zbl 1320.28024
Alfonsi, Aurélien
2015
Squared quadratic Wasserstein distance: optimal couplings and Lions differentiability. Zbl 1454.90028
Alfonsi, Aurélien; Jourdain, Benjamin
2020
Parametrix methods for one-dimensional reflected SDEs. Zbl 1382.60080
Alfonsi, Aurélien; Hayashi, Masafumi; Kohatsu-Higa, Arturo
2017
Stochastic local intensity loss models with interacting particle systems. Zbl 1348.91276
Alfonsi, Aurélien; Labart, Céline; Lelong, Jérôme
2016
Modelling of credit risk. Calibration and discretization of financial models. (Modélisation en risque de crédit. Calibration et discrétisation de modèles financiers.) Zbl 1185.91003
Alfonsi, Aurélien
2006
A synthetic model for asset-liability management in life insurance, and analysis of the SCR with the standard formula. Zbl 1455.91211
Alfonsi, Aurélien; Cherchali, Adel; Infante Acevedo, Jose Arturo
2020
Constrained overdamped Langevin dynamics for symmetric multimarginal optimal transportation. Zbl 1485.65063
Alfonsi, Aurélien; Coyaud, Rafaël; Ehrlacher, Virginie
2022
Constrained overdamped Langevin dynamics for symmetric multimarginal optimal transportation. Zbl 1485.65063
Alfonsi, Aurélien; Coyaud, Rafaël; Ehrlacher, Virginie
2022
Approximation of optimal transport problems with marginal moments constraints. Zbl 1455.49018
Alfonsi, Aurélien; Coyaud, Rafaël; Ehrlacher, Virginie; Lombardi, Damiano
2021
Sampling of probability measures in the convex order by Wasserstein projection. Zbl 1469.60065
Alfonsi, Aurélien; Corbetta, Jacopo; Jourdain, Benjamin
2020
Squared quadratic Wasserstein distance: optimal couplings and Lions differentiability. Zbl 1454.90028
Alfonsi, Aurélien; Jourdain, Benjamin
2020
A synthetic model for asset-liability management in life insurance, and analysis of the SCR with the standard formula. Zbl 1455.91211
Alfonsi, Aurélien; Cherchali, Adel; Infante Acevedo, Jose Arturo
2020
Sampling of one-dimensional probability measures in the convex order and computation of robust option price bounds. Zbl 1411.91535
Alfonsi, Aurélien; Corbetta, Jacopo; Jourdain, Benjamin
2019
Evolution of the Wasserstein distance between the marginals of two Markov processes. Zbl 1428.60124
Alfonsi, Aurélien; Corbetta, Jacopo; Jourdain, Benjamin
2018
Parametrix methods for one-dimensional reflected SDEs. Zbl 1382.60080
Alfonsi, Aurélien; Hayashi, Masafumi; Kohatsu-Higa, Arturo
2017
Dynamic optimal execution in a mixed-market-impact Hawkes price model. Zbl 1396.91672
Alfonsi, Aurélien; Blanc, Pierre
2016
Multivariate transient price impact and matrix-valued positive definite functions. Zbl 1352.42011
Alfonsi, Aurélien; Klöck, Florian; Schied, Alexander
2016
Maximum likelihood estimation for Wishart processes. Zbl 1347.62041
Alfonsi, Aurélien; Kebaier, Ahmed; Rey, Clément
2016
Stochastic local intensity loss models with interacting particle systems. Zbl 1348.91276
Alfonsi, Aurélien; Labart, Céline; Lelong, Jérôme
2016
Affine diffusions and related processes: simulation, theory and applications. Zbl 1387.60002
Alfonsi, Aurélien
2015
Optimal transport bounds between the time-marginals of a multidimensional diffusion and its Euler scheme. Zbl 06471548
Alfonsi, Aurélien; Jourdain, Benjamin; Kohatsu-Higa, Arturo
2015
A simple proof for the convexity of the Choquet integral. Zbl 1320.28024
Alfonsi, Aurélien
2015
Pathwise optimal transport bounds between a one-dimensional diffusion and its Euler scheme. Zbl 1296.65010
Alfonsi, A.; Jourdain, B.; Kohatsu-Higa, A.
2014
Optimal execution and price manipulations in time-varying limit order books. Zbl 1395.91394
Alfonsi, Aurélien; Acevedo, José Infante
2014
A remark on the optimal transport between two probability measures sharing the same copula. Zbl 1296.60023
Alfonsi, A.; Jourdain, B.
2014
Strong order one convergence of a drift implicit Euler scheme: application to the CIR process. Zbl 1273.65007
Alfonsi, Aurélien
2013
Exact and high-order discretization schemes for Wishart processes and their affine extensions. Zbl 1269.65003
Ahdida, Abdelkoddousse; Alfonsi, Aurélien
2013
Capacitary measures for completely monotone kernels via singular control. Zbl 1268.49001
Alfonsi, Aurélien; Schied, Alexander
2013
A mean-reverting SDE on correlation matrices. Zbl 1271.65014
Ahdida, Abdelkoddousse; Alfonsi, Aurélien
2013
Order book resilience, price manipulation, and the positive portfolio problem. Zbl 1255.91412
Alfonsi, Aurélien; Schied, Alexander; Slynko, Alla
2012
Optimal execution strategies in limit order books with general shape functions. Zbl 1185.91199
Alfonsi, Aurélien; Fruth, Antje; Schied, Alexander
2010
High order discretization schemes for the CIR process: application to affine term structure and heston models. Zbl 1198.60030
Alfonsi, Aurélien
2010
Optimal trade execution and absence of price manipulations in limit order book models. Zbl 1196.91025
Alfonsi, Aurélien; Schied, Alexander
2010
Exact volatility calibration based on a Dupire-type call-put duality for perpetual American options. Zbl 1179.60021
Alfonsi, Aurélien; Jourdain, Benjamin
2009
Constrained portfolio liquidation in a limit order book model. Zbl 1154.91407
Alfonsi, Aurélien; Fruth, Antje; Schied, Alexander
2008
General duality for perpetual American options. Zbl 1232.91640
Alfonsi, Aurélien; Jourdain, Benjamin
2008
Modelling of credit risk. Calibration and discretization of financial models. (Modélisation en risque de crédit. Calibration et discrétisation de modèles financiers.) Zbl 1185.91003
Alfonsi, Aurélien
2006
On the discretization schemes for the CIR (and Bessel squared) processes. Zbl 1100.65007
Alfonsi, Aurélien
2005
Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model. Zbl 1065.60085
Brigo, Damiano; Alfonsi, Aurélien
2005
Adaptive simulation of hybrid stochastic and deterministic models for biochemical systems. Zbl 1070.92019
Alfonsi, Aurélien; Cancès, Eric; Turinici, Gabriel; Di Ventura, Barbara; Huisinga, Wilhelm
2005
New families of copulas based on periodic functions. Zbl 1071.62047
Alfonsi, Aurélien; Brigo, Damiano
2005
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### Cited by 641 Authors

 19 Alfonsi, Aurélien 13 Jourdain, Benjamin 10 Schied, Alexander 8 Brigo, Damiano 8 Schöneborn, Torsten 7 Mackevičius, Vigirdas 6 Cartea, Álvaro 6 Jaimungal, Sebastian 6 Pagès, Gilles 6 Zanette, Antonino 5 Beiglböck, Mathias 5 Friesen, Martin 5 Jin, Peng 5 Kebaier, Ahmed 5 Lehalle, Charles-Albert 5 Pammer, Gudmund 5 Rutkowski, Marek 4 Ahlip, Rehez 4 Bank, Peter 4 Bossy, Mireille 4 Gatheral, Jim 4 Goudenège, Ludovic 4 Halidias, Nikolaos 4 Horst, Ulrich 4 Jentzen, Arnulf 4 Kruse, Thomas 4 Molent, Andrea 4 Neuenkirch, Andreas 4 Panloup, Fabien 4 Pap, Gyula 4 Pham, Huyên 4 Rüdiger, Barbara 4 Sester, Julian 4 Szpruch, Lukasz 4 Urusov, Mikhail A. 3 Backhoff Veraguas, Julio D. 3 Barczy, Mátyás 3 Becherer, Dirk 3 Bilarev, Todor 3 Capponi, Agostino 3 Cardaliaguet, Pierre 3 Corbetta, Jacopo 3 Cozma, Andrei 3 Dolinsky, Yan 3 Eckstein, Stephan 3 Frentrup, Peter 3 Guéant, Olivier 3 Hefter, Mario 3 Jaber, Eduardo Abi 3 Jahnke, Tobias 3 Kratz, Peter 3 La Bua, Gaetano 3 Lemaire, Vincent 3 Ludkovski, Michael 3 Lütkebohmert, Eva 3 Mao, Xuerong 3 Marazzina, Daniele 3 Margheriti, William 3 Mayerhofer, Eberhard 3 Mekchay, Khamron 3 Müller-Gronbach, Thomas 3 Pennanen, Teemu 3 Reisinger, Christoph 3 Rey, Clément 3 Sabino, Piergiacomo 3 Sutthimat, Phiraphat 3 Terenzi, Giulia 3 Vrins, Frédéric 3 Wang, Xiaojie 3 Yang, Hongfu 3 Yaroslavtseva, Larisa 2 Ackerer, Damien 2 Ackermann, Julia 2 Alaya, Mohamed Ben 2 Albert, Jaroslav 2 Alhojilan, Yazid 2 Allen, Edward James 2 Alnafisah, Yousef 2 Altıntan, Derya 2 Ankirchner, Stefan 2 Bally, Vlad 2 Bayraktar, Erhan 2 Benzaquen, Michael 2 Bielecki, Tomasz R. 2 Bo, Lijun 2 Booth, Ash 2 Briani, Maya 2 Caramellino, Lucia 2 Carmona, René A. 2 Coyaud, Rafaël 2 Cuchiero, Christa 2 Curato, Gianbiagio 2 Dörsek, Philipp 2 Durante, Fabrizio 2 Ehrlacher, Virginie 2 Filipović, Damir 2 Gerding, Enrico H. 2 Gnoatto, Alessandro 2 Grasselli, Martino 2 Guarin, Alexander ...and 541 more Authors
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### Cited in 131 Serials

 30 International Journal of Theoretical and Applied Finance 29 Quantitative Finance 26 SIAM Journal on Financial Mathematics 23 Finance and Stochastics 18 The Annals of Applied Probability 13 Stochastic Processes and their Applications 13 Applied Mathematical Finance 12 Mathematical Finance 11 Bernoulli 9 Journal of Computational and Applied Mathematics 8 Mathematics and Financial Economics 7 European Journal of Operational Research 6 Statistics & Probability Letters 6 Journal of Economic Dynamics & Control 5 BIT 4 Journal of Mathematical Analysis and Applications 4 Lithuanian Mathematical Journal 4 Applied Mathematics and Optimization 4 Journal of Applied Probability 4 SIAM Journal on Numerical Analysis 4 Communications in Statistics. Theory and Methods 4 Monte Carlo Methods and Applications 4 Computational Management Science 3 Journal of Mathematical Biology 3 Mathematics of Computation 3 Applied Mathematics and Computation 3 Journal of Multivariate Analysis 3 Mathematics and Computers in Simulation 3 Numerische Mathematik 3 Operations Research 3 Insurance Mathematics & Economics 3 Annals of Operations Research 3 Journal of Difference Equations and Applications 3 Electronic Communications in Probability 3 Communications in Nonlinear Science and Numerical Simulation 3 Stochastic Models 3 Stochastic and Partial Differential Equations. Analysis and Computations 2 Advances in Applied Probability 2 Journal of Statistical Physics 2 Annals of the Institute of Statistical Mathematics 2 The Annals of Probability 2 Mathematics of Operations Research 2 SIAM Journal on Control and Optimization 2 Operations Research Letters 2 Stochastic Analysis and Applications 2 Information and Computation 2 Journal of Scientific Computing 2 International Journal of Computer Mathematics 2 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques 2 Electronic Journal of Probability 2 Abstract and Applied Analysis 2 Statistical Inference for Stochastic Processes 2 Applied Stochastic Models in Business and Industry 2 Discrete and Continuous Dynamical Systems. Series B 2 Multiscale Modeling & Simulation 2 European Series in Applied and Industrial Mathematics (ESAIM): Mathematical Modelling and Numerical Analysis 2 ALEA. Latin American Journal of Probability and Mathematical Statistics 2 Nonlinear Analysis. Hybrid Systems 2 Journal of the Operations Research Society of China 2 SIAM/ASA Journal on Uncertainty Quantification 2 Modern Stochastics. Theory and Applications 2 Open Mathematics 2 Probability, Uncertainty and Quantitative Risk 1 Archive for Rational Mechanics and Analysis 1 The Canadian Journal of Statistics 1 Journal of Computational Physics 1 Mathematical Biosciences 1 Physica A 1 Bulletin of Mathematical Biology 1 Chaos, Solitons and Fractals 1 Automatica 1 Fuzzy Sets and Systems 1 International Journal of Mathematics and Mathematical Sciences 1 Journal of Approximation Theory 1 Journal of Statistical Planning and Inference 1 Theoretical Computer Science 1 Transactions of the American Mathematical Society 1 Applied Numerical Mathematics 1 Acta Mathematicae Applicatae Sinica. English Series 1 Probability Theory and Related Fields 1 Journal of Complexity 1 Journal of Theoretical Probability 1 Applied Mathematics Letters 1 Neural Computation 1 Japan Journal of Industrial and Applied Mathematics 1 M$$^3$$AS. Mathematical Models & Methods in Applied Sciences 1 Numerical Algorithms 1 Computational Statistics 1 Communications in Partial Differential Equations 1 SIAM Journal on Mathematical Analysis 1 SIAM Journal on Scientific Computing 1 Applied Mathematics. Series B (English Edition) 1 Calculus of Variations and Partial Differential Equations 1 Theory of Probability and Mathematical Statistics 1 NoDEA. Nonlinear Differential Equations and Applications 1 Journal of Computational Neuroscience 1 Mathematical Problems in Engineering 1 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics 1 European Series in Applied and Industrial Mathematics (ESAIM): Proceedings 1 Mathematical Methods of Operations Research ...and 31 more Serials
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### Cited in 33 Fields

 245 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 231 Probability theory and stochastic processes (60-XX) 114 Numerical analysis (65-XX) 45 Systems theory; control (93-XX) 44 Statistics (62-XX) 36 Calculus of variations and optimal control; optimization (49-XX) 27 Biology and other natural sciences (92-XX) 25 Operations research, mathematical programming (90-XX) 24 Partial differential equations (35-XX) 13 Ordinary differential equations (34-XX) 10 Computer science (68-XX) 6 Integral equations (45-XX) 6 Statistical mechanics, structure of matter (82-XX) 4 Measure and integration (28-XX) 4 Approximations and expansions (41-XX) 3 Dynamical systems and ergodic theory (37-XX) 3 Integral transforms, operational calculus (44-XX) 3 Operator theory (47-XX) 2 Real functions (26-XX) 2 Harmonic analysis on Euclidean spaces (42-XX) 2 Functional analysis (46-XX) 2 Quantum theory (81-XX) 1 Combinatorics (05-XX) 1 Linear and multilinear algebra; matrix theory (15-XX) 1 Nonassociative rings and algebras (17-XX) 1 Potential theory (31-XX) 1 Special functions (33-XX) 1 Difference and functional equations (39-XX) 1 Convex and discrete geometry (52-XX) 1 Global analysis, analysis on manifolds (58-XX) 1 Fluid mechanics (76-XX) 1 Classical thermodynamics, heat transfer (80-XX) 1 Geophysics (86-XX)