researcher

A. Alfonsi

45 papers hereh-index 222.5k citations96 works total

Matching runs newest-first, so older work may not be attached to this profile yet.

author position

sole author3
first author37
middle author2
last author2

Across the 44 of 45 papers where every author was matched, so the position is known.

fields

math.PR24
q-fin.TR5
q-fin.CP3
math.NA2
math.ST2
q-fin.MF2

same name

A. Alfonsi — 48 papers, h 36
A. Alfonsi — 23 papers
A. Alfonsi — 9 papers
A. Alfonsi — 3 papers
A. Alfonsi — 2 papers
A. Alfonsi — 1 paper, h 0

Either other researchers who publish under this name, or the same person where the external sources have not merged their records.

identity via Semantic Scholar / OpenAlex

activity

20062026

most citedExact and high order discretization schemes for Wishart processes and their affine extensions

36 citations · 126 across the 37 of their papers we have counts for

collaborators

Showing 2006Show all

2 papers · 1 filter

math.PR2006★ 1 cited

General Duality for Perpetual American Options

Aurélien Alfonsi, Benjamin Jourdain

In this paper, we investigate the generalization of the Call-Put duality equality obtained in [1] for perpetual American options when the Call-Put payoff $(y - x)^{+}$ is replaced by $…

math.PR2006★ 2 cited

A Call-Put Duality for Perpetual American Options

Aurélien Alfonsi, Benjamin Jourdain

It is well known that in models with time-homogeneous local volatility functions and constant interest and dividend rates, the European Put prices are transformed into European Cal…