ALFONSI, AURÉLIEN: search on Z-Library

The world's largest scientific articles store. 70,000,000+ articles for free.

Don't use scam websites

1

Order Book Resilience, Price Manipulation, and the Positive Portfolio Problem

Alfonsi, Aurélien, Schied, Alexander, Slynko, Alla

Journal:

SIAM Journal on Financial Mathematics

Year:

2012

Language:

english

File:

PDF, 377 KB

english, 2012

2

Optimal execution strategies in limit order books with general shape functions

Alfonsi, Aurélien, Fruth, Antje, Schied, Alexander

Journal:

Quantitative Finance

Year:

2010

Language:

english

File:

PDF, 265 KB

english, 2010

3

On the discretization schemes for the CIR (and Bessel squared) processes

Alfonsi, Aurélien

Journal:

Monte Carlo Methods and Applications

Year:

2005

Language:

english

File:

PDF, 612 KB

english, 2005

4

Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model

Damiano Brigo, Aurélien Alfonsi

Journal:

Finance and Stochastics

Year:

2005

Language:

english

File:

PDF, 208 KB

english, 2005

5

High order discretization schemes for the CIR process: Application to affine term structure and Heston models

Alfonsi, Aurélien

Journal:

Mathematics of Computation

Year:

2010

Language:

english

File:

PDF, 462 KB

english, 2010

6

A CLOSED-FORM EXTENSION TO THE BLACK-COX MODEL

ALFONSI, AURÉLIEN, LELONG, JÉRÔME

Journal:

International Journal of Theoretical and Applied Finance

Year:

2012

Language:

english

File:

PDF, 527 KB

english, 2012

7

Long-Time Large Deviations for the Multiasset Wishart Stochastic Volatility Model and Option Pricing

Alfonsi, Aurélien, Krief, David, Tankov, Peter

Journal:

SIAM Journal on Financial Mathematics

Year:

2019

Language:

english

File:

PDF, 538 KB

english, 2019

8

Extension and Calibration of a Hawkes-Based Optimal Execution Model

Alfonsi, Aurélien, Blanc, Pierre

Journal:

Market Microstructure and Liquidity

Year:

2016

Language:

english

File:

PDF, 684 KB

english, 2016

9

GENERAL DUALITY FOR PERPETUAL AMERICAN OPTIONS

ALFONSI, AURÉLIEN, JOURDAIN, BENJAMIN

Journal:

International Journal of Theoretical and Applied Finance

Year:

2008

Language:

english

File:

PDF, 330 KB

english, 2008

10

Optimal Execution and Price Manipulations in Time-varying Limit Order Books

Alfonsi, Aurélien, Acevedo, José Infante

Journal:

Applied Mathematical Finance

Year:

2014

Language:

english

File:

PDF, 421 KB

english, 2014

11

STOCHASTIC LOCAL INTENSITY LOSS MODELS WITH INTERACTING PARTICLE SYSTEMS

Alfonsi, Aurélien, Labart, Céline, Lelong, Jérôme

Journal:

Mathematical Finance

Year:

2016

Language:

english

File:

PDF, 451 KB

english, 2016

12

Strong order one convergence of a drift implicit Euler scheme: Application to the CIR process

Aurélien Alfonsi

Journal:

Statistics & Probability Letters

Year:

2013

Language:

english

File:

PDF, 245 KB

english, 2013

13

Multivariate Transient Price Impact and Matrix-Valued Positive Definite Functions

Alfonsi, Aurélien, Klöck, Florian, Schied, Alexander

Journal:

Mathematics of Operations Research

Year:

2016

Language:

english

File:

PDF, 371 KB

english, 2016

14

Optimal Trade Execution and Absence of Price Manipulations in Limit Order Book Models

Alfonsi, Aurélien, Schied, Alexander

Journal:

SIAM Journal on Financial Mathematics

Year:

2010

Language:

english

File:

PDF, 505 KB

english, 2010

15

Optimal Execution Strategies in Limit Order Books with General Shape Functions

Alfonsi, Aurélien, Fruth, Antje, Schied, Alexander

Journal:

SSRN Electronic Journal

Year:

2009

Language:

english

File:

PDF, 284 KB

english, 2009

16

Optimal transport bounds between the time-marginals of a multidimensional diffusion and its Euler scheme

Alfonsi, Aurélien, Jourdain, Benjamin, Kohatsu-Higa, Arturo

Journal:

Electronic Journal of Probability

Year:

2015

Language:

english

File:

PDF, 501 KB

english, 2015

17

Capacitary Measures for Completely Monotone Kernels via Singular Control

Alfonsi, Aurélien, Schied, Alexander

Journal:

SIAM Journal on Control and Optimization

Year:

2013

Language:

english

File:

PDF, 360 KB

english, 2013

18

Optimal Trade Execution and Absence of Price Manipulations in Limit Order Book Models

Alfonsi, Aurélien, Schied, Alexander

Journal:

SSRN Electronic Journal

Year:

2010

File:

PDF, 332 KB

2010

19

A mean-reverting SDE on correlation matrices

Ahdida, Abdelkoddousse, Alfonsi, Aurélien

Journal:

Stochastic Processes and their Applications

Year:

2013

Language:

english

File:

PDF, 821 KB

english, 2013

20

A simple proof for the convexity of the Choquet integral

Alfonsi, Aurélien

Journal:

Statistics & Probability Letters

Year:

2015

Language:

english

File:

PDF, 190 KB

english, 2015

21

Postoperative ileus concealing intra-abdominal complications in enhanced recovery programs—a retrospective analysis of the GRACE database

Venara, Aurélien, Alfonsi, Pascal, Cotte, Eddy, Loriau, Jérôme, Hamel, Jean-François, Slim, Karem

Journal:

International Journal of Colorectal Disease

Year:

2018

Language:

english

File:

PDF, 548 KB

english, 2018

22

Dynamic optimal execution in a mixed-market-impact Hawkes price model

Alfonsi, Aurélien, Blanc, Pierre

Journal:

Finance and Stochastics

Year:

2016

Language:

english

File:

PDF, 1.47 MB

english, 2016

23

Long-Time Large Deviations for the Multiasset Wishart Stochastic Volatility Model and Option Pricing

Alfonsi, Aurélien, Krief, David, Tankov, Peter

Journal:

SIAM Journal on Financial Mathematics

Year:

2019

File:

PDF, 538 KB

2019

24

Maximum likelihood estimation for Wishart processes

Alfonsi, Aurélien, Kebaier, Ahmed, Rey, Clément

Journal:

Stochastic Processes and their Applications

Year:

2016

Language:

english

File:

PDF, 640 KB

english, 2016

25

Exact volatility calibration based on a Dupire-type Call–Put duality for perpetual American options

Aurélien Alfonsi, Benjamin Jourdain

Journal:

Nonlinear Differential Equations and Applications NoDEA

Year:

2009

Language:

english

File:

PDF, 480 KB

english, 2009

26

New Families of Copulas Based on Periodic Functions

Alfonsi, Aurélien, Brigo, Damiano

Journal:

Communication in Statistics- Theory and Methods

Year:

2005

Language:

english

File:

PDF, 193 KB

english, 2005

27

[Bocconi & Springer Series] Affine Diffusions and Related Processes: Simulation, Theory and Applications Volume 6 || Real Valued Affine Diffusions

Alfonsi, Aurélien

Year:

2015

Language:

english

File:

PDF, 397 KB

english, 2015

28

Order Book Resilience, Price Manipulation, and the Positive Portfolio Problem

Alfonsi, Aurélien, Schied, Alexander, Slynko, Alla

Journal:

SSRN Electronic Journal

Year:

2012

Language:

english

File:

PDF, 616 KB

english, 2012

29

Exact and high-order discretization schemes for Wishart processes and their affine extensions

Ahdida, Abdelkoddousse, Alfonsi, Aurélien

Journal:

The Annals of Applied Probability

Year:

2013

Language:

english

File:

PDF, 501 KB

english, 2013

30

Evolution of the Wasserstein distance between the marginals of two Markov processes

Alfonsi, Aurélien, Corbetta, Jacopo, Jourdain, Benjamin

Journal:

Year:

2018

Language:

english

File:

PDF, 355 KB

english, 2018

31

Correction to: Postoperative ileus concealing intra-abdominal complications in enhanced recovery programs—a retrospective analysis of the GRACE database

Venara, Aurélien, Alfonsi, Pascal, Cotte, Eddy, Loriau, Jérôme, Hamel, Jean-François, Slim, Karem

Journal:

International Journal of Colorectal Disease

Year:

2019

File:

PDF, 160 KB

2019

32

[Bocconi & Springer Series] Affine Diffusions and Related Processes: Simulation, Theory and Applications Volume 6 ||

Alfonsi, Aurélien

Year:

2015

Language:

english

File:

PDF, 3.63 MB

english, 2015

33

Adaptive simulation of hybrid stochastic and deterministic models for biochemical systems

Alfonsi, Aurélien, Cancès, Eric, Turinici, Gabriel, Di Ventura, Barbara, Huisinga, Wilhelm, Cancès, Eric, Gerbeau, Jean-Frédéric

Journal:

ESAIM Proceedings

Year:

2005

Language:

english

File:

PDF, 229 KB

english, 2005

To build up a library is to create a life. It’s never just a random collection of books.

— Carlos María Domínguez

Official channel

Z-Library Desktop Launcher

Z-Library Since 2009 support@z-lib.do

EnglishРусскийEspañolItalianoελληνικάاللغة العربيةBahasa IndonesiaBahasa Malaysiaहिन्दीDeutschFrançaisPortuguêsУкраїнськаPolski中文繁體中文日本語Tiếng ViệtAzərbaycan DiliՀայոց լեզուภาษาไทยTürk Diliქართველიবাংলাپښتوతెలుగుاردو한국어SrpskiБългарски