36 citations · 126 across the 37 of their papers we have counts for
3 papers · 1 filter
How can the dual martingale help solving the primal optimal stopping problem?
Aurélien Alfonsi, Ahmed Kebaier, Jérôme Lelong
Motivated by recent results on the dual formulation of optimal stopping problems, we investigate in this short paper how the knowledge of an approximating dual martingale can impro…
High order approximations and simulation schemes for the log-Heston process
Aurélien Alfonsi, Edoardo Lombardo
We present weak approximations schemes of any order for the Heston model that are obtained by using the method developed by Alfonsi and Bally (2021). This method consists in combin…
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…