Concepedia

Aurélien Alfonsi

AA

24

Publications

1.6K

Citations

19

H-Index

2004

Active since

Affiliations

CERMICS(Current)

École nationale des ponts et chaussées

Institut national de recherche en sciences et technologies du numérique

University of Waterloo

Technische Universität Berlin

Aurélien Alfonsi is an author at CERMICS specializing in engineering, stochastic calculus, and mathematical programming.

Top concepts

EngineeringStochastic CalculusMathematical ProgrammingFinanceBusinessAsset PricingNumerical AnalysisApproximation TheoryEconomicsMarket Design

Publications per year

2004–2023

24

Publications

24

On the discretization schemes for the CIR (and Bessel squared) processes

Aurélien Alfonsi · Monte Carlo Methods and Applications · 2005 · 251 citations

Numerical Analysis, Numerical Computation, Engineering +10

High order discretization schemes for the CIR process: Application to affine term structure and Heston models

Aurélien Alfonsi · Mathematics of Computation · 2009 · 174 citations · Full text

Numerical Analysis, Spectral Theory, Reduced Order Modeling +17

Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model

Damiano Brigo, Aurélien Alfonsi · Finance and Stochastics · 2004 · 163 citations

Empirical Finance, Economics, Financial Economics +4

Adaptive simulation of hybrid stochastic and deterministic models for biochemical systems

Aurélien Alfonsi, Éric Cancès, Gabriel Turinici et al. · ESAIM Proceedings · 2005 · 143 citations · Full text

Engineering, Simulation, Adaptive Simulation +21

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

Aurélien Alfonsi, Alexander Schied, Alla Slynko · SIAM Journal on Financial Mathematics · 2012 · 130 citations

Mathematical Programming, Market Equilibrium, Portfolio Management +19

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