36 citations · 126 across the 37 of their papers we have counts for
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q-fin.TR2013
Multivariate transient price impact and matrix-valued positive definite functions
Aurélien Alfonsi, Alexander Schied, Florian Klöck
We consider a model for linear transient price impact for multiple assets that takes cross-asset impact into account. Our main goal is to single out properties that need to be impo…
math.PR2013
A remark on the optimal transport between two probability measures sharing the same copula
Aurélien Alfonsi, Benjamin Jourdain
We are interested in the Wasserstein distance between two probability measures on sharing the same copula . The image of the probability measure by the vectors of ps…
math.PR2013★ 5 cited
Stochastic Local Intensity Loss Models with Interacting Particle Systems
Aurélien Alfonsi, Céline Labart, Jérôme Lelong
It is well-known from the work of Schönbucher (2005) that the marginal laws of a loss process can be matched by a unit increasing time inhomogeneous Markov process, whose determini…