21787 articles – 15600 Notices  [english version]
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15 documents classés par :
fulltext access Stochastic Local Intensity Loss Models with Interacting Particle Systems
Alfonsi A. et al
[hal-00786239 - version 1] (2013-02-08)
fulltext access A closed-form extension to the Black-Cox model
Alfonsi A. et al
International Journal of Theoretical and Applied Finance 15, 8 (2012) 1250053:1-30 [hal-00414280 - version 2]
fulltext access Pathwise optimal transport bounds between a one-dimensional diffusion and its Euler scheme
Alfonsi A. et al
[hal-00727430 - version 1] (03/09/2012)
fulltext access Strong convergence of some drift implicit Euler scheme. Application to the CIR process.
Alfonsi A.
[hal-00709202 - version 1] (18/06/2012)
fulltext access Optimal execution and price manipulations in time-varying limit order books
Alfonsi A. et al
[hal-00687193 - version 1] (12/04/2012)
fulltext access Capacitary measures for completely monotone kernels via singular control
Alfonsi A. et al
[hal-00659421 - version 2] (19/01/2012)
fulltext access A Mean-Reverting SDE on Correlation matrices
Ahdida A. et al
[hal-00617111 - version 2] (13/02/2012)
fulltext access Exact and high order discretization schemes for Wishart processes and their affine extensions
Ahdida A. et al
[hal-00491371 - version 1] (11/06/2010)
fulltext access Optimal trade execution and absence of price manipulations in limit order book models
Alfonsi A. et al
SIAM Journal on Financial Mathematics 1 (2010) 490-522 [hal-00397652 - version 3]
fulltext access Optimal execution strategies in limit order books with general shape functions
Alfonsi A. et al
Quantitative Finance 10, 2 (2010) 143-157 [hal-00166969 - version 3]
fulltext access High order discretization schemes for the CIR process: application to Affine Term Structure and Heston models
Alfonsi A.
Mathematics of Computation 79, 269 (2010) 209-237 [hal-00143723 - version 5]
fulltext access General Duality for Perpetual American Options
Alfonsi A. et al
[hal-00121600 - version 1] (21/12/2006)
fulltext access Modélisation en risque de crédit. Calibration et discrétisation de modèles financiers
Alfonsi A.
Ecole des Ponts ParisTech (06/2006), Benjamin Jourdin (Dir.) [pastel-00001859 - version 1]
fulltext access A Call-Put Duality for Perpetual American Options
Alfonsi A. et al
[hal-00121589 - version 1] (2006-12-21)
Adaptive simulation of hybrid stochastic and deterministic models for biochemical systems
Alfonsi A. et al
ESAIM: Proceedings 14 (2005) 1--13 [hal-00536559 - version 1]