Aurélien Alfonsi

Université Paris Est - CERMICS

6 et 8 avenue Blaise Pascal

Marne-la-Vallée, Champs sur marne 77420

France

SCHOLARLY PAPERS

8

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CITATIONS
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62

Scholarly Papers (8)

1.

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

SIAM Journal on Financial Mathematics, Forthcoming
Number of pages: 24 Posted: 04 Nov 2009 Last Revised: 02 Apr 2012
Aurélien Alfonsi, Alexander Schied and Alla Slynko
Université Paris Est - CERMICS, University of Mannheim and Technische Universität München (TUM)
Downloads 1,102 (18,339)
Citation 39

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Transient price impact, market impact model, optimal order execution, price manipulation, transaction-triggered price manipulation, Bochner form, positive definite function, no short sales in Markowitz portfolio

2.

Optimal Execution Strategies in Limit Order Books with General Shape Functions

Number of pages: 29 Posted: 20 Nov 2009
Aurélien Alfonsi, Antje Fruth and Alexander Schied
Université Paris Est - CERMICS, Technical University Berlin and University of Mannheim
Downloads 649 (38,736)
Citation 101

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Liquidity risk, optimal portfolio liquidation, block trade execution, limit order book, market impact model, nonlinear price impact, order book resilience, market order

3.

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

Number of pages: 33 Posted: 04 Nov 2009 Last Revised: 16 Apr 2010
Aurélien Alfonsi and Alexander Schied
Université Paris Est - CERMICS and University of Mannheim
Downloads 572 (45,856)
Citation 34

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limit order book, optimal execution, exponential resilience, price manipulation

4.

Capacitary Measures for Completely Monotone Kernels Via Singular Control

Number of pages: 27 Posted: 13 Jan 2012 Last Revised: 26 Feb 2013
Aurélien Alfonsi and Alexander Schied
Université Paris Est - CERMICS and University of Mannheim
Downloads 66 (334,145)
Citation 6

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Singular control, verification argument, capacity theory, optimal order execution, transient price impact, infinite-dimensional Riccati differential equation

5.

Sampling of Probability Measures in the Convex Order and Approximation of Martingale Optimal Transport Problems

Number of pages: 52 Posted: 20 Nov 2017
Aurélien Alfonsi, Jacopo Corbetta and Benjamin Jourdain
Université Paris Est - CERMICS, Ecole des Ponts ParisTech and Université Paris Est - CERMICS
Downloads 33 (449,922)
Citation 3

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Convex order, Martingale Optimal Transport, Wasserstein distance, Sampling techniques, Linear Programming

6.

Smile with the Gaussian Term Structure Model

Journal of Computational Finance, 21(1), 1–42 DOI:10.21314/JCF.2016.328
Number of pages: 42 Posted: 08 Dec 2016
Ahdida Abdelkoddousse, Aurélien Alfonsi and Ernesto Palidda
Université Paris Est - CERMICS, Université Paris Est - CERMICS and Université Paris-Est Marne la Vallée (UPEMLV)
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affine term structure model (ATSM); linear Gaussian model (LGM); Wishart processes; price expansion; discretization scheme; swaptions

7.

Stochastic Local Intensity Loss Models with Interacting Particle Systems

Mathematical Finance, Vol. 26, Issue 2, pp. 366-394, 2016
Number of pages: 29 Posted: 10 Mar 2016
Aurélien Alfonsi, Céline Labart and Jérôme Lelong
Université Paris Est - CERMICS, University of Savoy and University Grenoble Alpes
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Citation 1
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stochastic local intensity model, interacting particle systems, loss modeling, credit derivatives, Monte Carlo algorithm, Fokker–Planck equation, martingale problem

8.

General Duality for Perpetual American Options

International Journal of Theoretical and Applied Finance, Vol. 11, Issue 6, pp. 545-566, 2008
Posted: 03 Dec 2009
Aurélien Alfonsi and Benjamin Jourdain
Université Paris Est - CERMICS and Université Paris Est - CERMICS

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Perpetual American options, Dupire's formula, Call-Put duality, calibration of volatility, optimal stopping