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Aur\'elien Alfonsi (CERMICS)

Identifiers

  • name variant Aur\'elien Alfonsi (CERMICS) 0.60 · backfill

Papers (8)

  1. Strong convergence of some drift implicit Euler scheme. Application to the CIR process math.PR · 2012 · author #1
  2. Optimal execution and price manipulations in time-varying limit order books q-fin.TR · 2012 · author #1
  3. Capacitary measures for completely monotone kernels via singular control math.OC · 2012 · author #1
  4. A Mean-Reverting SDE on Correlation matrices math.PR · 2011 · author #2
  5. Exact and high order discretization schemes for Wishart processes and their affine extensions math.PR · 2010 · author #2
  6. Optimal execution strategies in limit order books with general shape functions q-fin.TR · 2007 · author #1
  7. General Duality for Perpetual American Options math.PR · 2006 · author #1
  8. A Call-Put Duality for Perpetual American Options math.PR · 2006 · author #1

Mentions

  • 1206.3855 #1 · backfill · confidence 0.70 Aur\'elien Alfonsi (CERMICS)
  • 1204.2736 #1 · backfill · confidence 0.70 Aur\'elien Alfonsi (CERMICS)
  • 1201.2756 #1 · backfill · confidence 0.70 Aur\'elien Alfonsi (CERMICS)
  • 1108.5264 #2 · backfill · confidence 0.70 Aur\'elien Alfonsi (CERMICS)
  • 1006.2281 #2 · backfill · confidence 0.70 Aur\'elien Alfonsi (CERMICS)
  • 0708.1756 #1 · backfill · confidence 0.70 Aur\'elien Alfonsi (CERMICS)

Frequent Coauthors