Aurélien Alfonsi

Université Paris Est - CERMICS

6 et 8 avenue Blaise Pascal

Marne-la-Vallée, Champs sur marne 77420

France

SCHOLARLY PAPERS

7

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3,914

TOTAL CITATIONS
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Top 15,204

in Total Papers Citations

91

Scholarly Papers (7)

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 Waterloo and Technische Universität München (TUM)
Downloads 1,687 (22,088)
Citation 21

Abstract:

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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 Waterloo
Downloads 876 (57,070)
Citation 49

Abstract:

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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 Waterloo
Downloads 785 (66,130)
Citation 12

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

4.

A Full and Synthetic Model for Asset-Liability Management in Life Insurance, and Analysis of the SCR With the Standard Formula

Number of pages: 35 Posted: 02 Aug 2019
Aurélien Alfonsi, Adel Cherchali and Jose Infante
Université Paris Est - CERMICS, Université Paris Est - CERMICS and AXA Group
Downloads 289 (217,173)

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ALM model, Solvency capital requirement, Standard formula, Cash-flow matching, Liquidity gap, Surrender risk, Book value, Profit sharing

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 144 (414,411)
Citation 7

Abstract:

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

6.

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 Waterloo
Downloads 133 (441,238)
Citation 2

Abstract:

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

7.

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

Abstract:

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