36 citations · 126 across the 37 of their papers we have counts for
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math.ST2015
Maximum Likelihood Estimation for Wishart processes
Aurélien Alfonsi, Ahmed Kebaier, Clément Rey
In the last decade, there has been a growing interest to use Wishart processes for modelling, especially for financial applications. However, there are still few studies on the est…
q-fin.TR2015
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…
math.FA2015
A simple proof for the convexity of the Choquet integral
Aurélien Alfonsi
This note presents an elementary and direct proof for the convexity of the Choquet integral when the corresponding set function is submodular.