4 citations · 4 across the 3 of their papers we have counts for
4 papers
Multilevel Monte-Carlo for computing the SCR with the standard formula and other stress tests
Aurélien Alfonsi, Adel Cherchali, Jose Arturo Infante Acevedo
This paper studies the multilevel Monte-Carlo estimator for the expectation of a maximum of conditional expectations. This problem arises naturally when considering many stress tes…
A full and synthetic model for Asset-Liability Management in life insurance, and analysis of the SCR with the standard formula
Aurélien Alfonsi, Adel Cherchali, Jose Arturo Infante Acevedo
The aim of this paper is to introduce a synthetic ALM model that catches the main specificity of life insurance contracts. First, it keeps track of both market and book values to a…
A non linear approximation method for solving high dimensional partial differential equations: Application in Finance
José Arturo Infante Acevedo, Tony Lelievre
We study an algorithm which has been proposed by Chinesta et al. to solve high-dimensional partial differential equations. The idea is to represent the solution as a sum of tensor…
Optimal execution and price manipulations in time-varying limit order books
Aurélien Alfonsi, José Infante Acevedo
This paper focuses on an extension of the Limit Order Book (LOB) model with general shape introduced by Alfonsi, Fruth and Schied. Here, the additional feature allows a time-varyin…