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Dive into the research topics where Aurélien Alfonsi is active. These topic labels come from the works of this person. Together they form a unique fingerprint.
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A Pure Dual Approach for Hedging Bermudan Options
Alfonsi, A., Kebaier, A. & Lelong, J., 1 Oct 2025, In: Mathematical Finance. 35, 4, p. 745-759 15 p.Research output: Contribution to journal › Article › peer-review
Open Access -
High Order Approximations and Simulation Schemes for the Log-Heston Process
Alfonsi, A. & Lombardo, E., 1 Jan 2025, In: SIAM Journal on Financial Mathematics. 16, 2, p. 516-544 29 p.Research output: Contribution to journal › Article › peer-review
Open Access -
Nonnegativity preserving convolution kernels. Application to Stochastic Volterra Equations in closed convex domains and their approximation
Alfonsi, A., 1 Mar 2025, In: Stochastic Processes and their Applications. 181, 104535.Research output: Contribution to journal › Article › peer-review
Open Access -
On non-negative solutions of stochastic Volterra equations with jumps and non-Lipschitz coefficients
Alfonsi, A. & Szulda, G., 1 Nov 2025, In: Bernoulli. 31, 4, p. 2890-2915 26 p.Research output: Contribution to journal › Article › peer-review
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Stochastic sewing lemma on Wasserstein space
Alfonsi, A., Bally, V. & Caramellino, L., 1 Jan 2025, In: Electronic Journal of Probability. 30, 155.Research output: Contribution to journal › Article › peer-review
Open Access -
APPROXIMATION OF STOCHASTIC VOLTERRA EQUATIONS WITH KERNELS OF COMPLETELY MONOTONE TYPE
ALFONSI, A. & KEBAIER, A., 1 Mar 2024, In: Mathematics of Computation. 93, 346, p. 643-677 35 p.Research output: Contribution to journal › Article › peer-review
Open Access -
A stochastic volatility model for the valuation of temperature derivatives
Alfonsi, A. & Vadillo, N., 1 Oct 2024, In: IMA Journal of Management Mathematics. 35, 4, p. 737-785 49 p.Research output: Contribution to journal › Article › peer-review
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High order approximations of the Cox–Ingersoll–Ross process semigroup using random grids
Alfonsi, A. & Lombardo, E., 1 Jul 2024, In: IMA Journal of Numerical Analysis. 44, 4, p. 2277-2322 46 p.Research output: Contribution to journal › Article › peer-review
Open Access -
CONSTRUCTION OF BOLTZMANN AND MCKEAN–VLASOV TYPE FLOWS (THE SEWING LEMMA APPROACH)
Alfonsi, A. & Bally, V., 1 Jan 2023, In: Annals of Applied Probability. 33, 5, p. 3351-3386 36 p.Research output: Contribution to journal › Article › peer-review
Open Access -
How Many Inner Simulations to Compute Conditional Expectations with Least-square Monte Carlo?
Alfonsi, A., Lapeyre, B. & Lelong, J., 1 Sept 2023, In: Methodology and Computing in Applied Probability. 25, 3, 71.Research output: Contribution to journal › Article › peer-review
Open Access