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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…
q-fin.TR2012
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…