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hal-01098554v1  Journal articles
Abdelkoddousse AhdidaAurélien AlfonsiErnesto Palidda. Smile with the Gaussian term structure model
The Journal of Computational Finance, Incisive Media, 2017, 21 (1), ⟨10.21314/JCF.2016.328⟩
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hal-00776703v1  Journal articles
Céline LabartJérôme Lelong. Pricing Parisian options using Laplace transforms
Bankers Markets & Investors : an academic & professional review, Groupe Banque, 2009, 99, 24 p
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hal-00727430v1  Journal articles
Aurélien AlfonsiBenjamin JourdainArturo Kohatsu-Higa. Pathwise optimal transport bounds between a one-dimensional diffusion and its Euler scheme
Annals of Applied Probability, Institute of Mathematical Statistics (IMS), 2014, http://dx.doi.org/10.1214/13-AAP941
hal-00941333v1  Journal articles
Aurélien AlfonsiAlexander SchiedAlla Slynko. Order Book Resilience, Price Manipulation, and the Positive Portfolio Problem
SIAM Journal on Financial Mathematics, Society for Industrial and Applied Mathematics 2012, 3, pp.511-533. ⟨10.1137/110822098⟩
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hal-00397652v3  Journal articles
Aurélien AlfonsiAlexander Schied. Optimal trade execution and absence of price manipulations in limit order book models
SIAM Journal on Financial Mathematics, Society for Industrial and Applied Mathematics 2010, 1, pp.490-522. ⟨10.1137/090762786⟩
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hal-00687193v1  Journal articles
Aurélien AlfonsiJosé Infante Acevedo. Optimal execution and price manipulations in time-varying limit order books
Applied Mathematical Finance, Taylor & Francis (Routledge): SSH Titles, 2014, http://www.tandfonline.com/doi/abs/10.1080/1350486X.2013.845471#.VMpSGGNxNhg. ⟨10.1080/1350486X.2013.845471⟩
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hal-00409861v4  Journal articles
Benjamin JourdainMohamed Sbai. High order discretization schemes for stochastic volatility models
The Journal of Computational Finance, Incisive Media, 2013, 17 (2), pp.113-165. ⟨10.21314/JCF.2013.262⟩
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hal-00491371v1  Journal articles
Abdelkoddousse AhdidaAurélien Alfonsi. Exact and high order discretization schemes for Wishart processes and their affine extensions
Annals of Applied Probability, Institute of Mathematical Statistics (IMS), 2013, 23 (3), pp.1025-1073. ⟨10.1214/12-AAP863⟩
hal-01667057v1  Journal articles
Bernard LapeyreEmmanuel Temam. Competitive Monte Carlo methods for the pricing of Asian options
The Journal of Computational Finance, Incisive Media, 2001, 5 (1), pp.39 - 57. ⟨10.21314/JCF.2001.061⟩
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hal-00659421v2  Journal articles
Aurélien AlfonsiAlexander Schied. Capacitary measures for completely monotone kernels via singular control
SIAM Journal on Control and Optimization, Society for Industrial and Applied Mathematics, 2013, 51 (2), pp.1758-1780. ⟨10.1137/120862223⟩
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hal-00617111v2  Journal articles
Abdelkoddousse AhdidaAurélien Alfonsi. A Mean-Reverting SDE on Correlation matrices
Stochastic Processes and their Applications, Elsevier, 2013, 123 (4), pp.1472-1520. ⟨10.1016/j.spa.2012.12.008⟩
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hal-00414280v2  Journal articles
Aurélien AlfonsiJérôme Lelong. A closed-form extension to the Black-Cox model
International Journal of Theoretical and Applied Finance, World Scientific Publishing, 2012, 15 (8), pp.1250053:1-30. ⟨10.1142/S0219024912500537⟩