36 citations · 126 across the 37 of their papers we have counts for
3 papers · 1 filter
Smile with the Gaussian term structure model
Abdelkoddousse Ahdida, Aurélien Alfonsi, Ernesto Palidda
We propose an affine extension of the Linear Gaussian term structure Model (LGM) such that the instantaneous covariation of the factors is given by an affine process on semidefinit…
Optimal transport bounds between the time-marginals of a multidimensional diffusion and its Euler scheme
Aurélien Alfonsi, Benjamin Jourdain, Arturo Kohatsu-Higa
In this paper, we prove that the time supremum of the Wasserstein distance between the time-marginals of a uniformly elliptic multidimensional diffusion with coefficients bounded t…
Dynamic optimal execution in a mixed-market-impact Hawkes price model
Aurélien Alfonsi, Pierre Blanc
We study a linear price impact model including other liquidity takers, whose flow of orders either follows a Poisson or a Hawkes process. The optimal execution problem is solved ex…