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20122015
most citedDynamic optimal execution in a mixed-market-impact Hawkes price model

5 citations · 9 across the 5 of their papers we have counts for

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math.PR2012★ 2 cited

Strong convergence of some drift implicit Euler scheme. Application to the CIR process

Aurélien Alfonsi

We study the convergence of a drift implicit scheme for one-dimensional SDEs that was considered by Alfonsi for the Cox-Ingersoll-Ross (CIR) process. Under general conditions, we o…