6 papers
Constrained overdamped Langevin dynamics for symmetric multimarginal optimal transportation
Aurélien Alfonsi, Rafaël Coyaud, Virginie Ehrlacher
The Strictly Correlated Electrons (SCE) limit of the Levy-Lieb functional in Density Functional Theory (DFT) gives rise to a symmetric multi-marginal optimal transport problem with…
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…
Squared quadratic Wasserstein distance : optimal couplings and Lions differentiability
Aurélien Alfonsi, Benjamin Jourdain
In this paper, we remark that any optimal coupling for the quadratic Wasserstein distance between two probability measures and with finite second order moments…
Long-time large deviations for the multi-asset Wishart stochastic volatility model and option pricing
Aurélien Alfonsi, David Krief, Peter Tankov
We prove a large deviations principle for the class of multidimensional affine stochastic volatility models considered in (Gourieroux, C. and Sufana, R., J. Bus. Econ. Stat., 28(3)…
Extension and calibration of a Hawkes-based optimal execution model
Aurélien Alfonsi, Pierre Blanc
We provide some theoretical extensions and a calibration protocol for our former dynamic optimal execution model. The Hawkes parameters and the propagator are estimated independent…