A. Alfonsi

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

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Showing 2018Show all

2 papers · 1 filter

math.PR2018★ 11 cited

Squared quadratic Wasserstein distance : optimal couplings and Lions differentiability

Aurélien Alfonsi, Benjamin Jourdain

In this paper, we remark that any optimal coupling for the quadratic Wasserstein distance $W_{2}^{2} (μ, ν)$ between two probability measures $μ$ and $ν$ with finite second order moments…

q-fin.PR2018

Long-time large deviations for the multi-asset Wishart stochastic volatility model and option pricing

Aurélien Alfonsi, David Krief, Peter Tankov

We prove a large deviations principle for the class of multidimensional affine stochastic volatility models considered in (Gourieroux, C. and Sufana, R., J. Bus. Econ. Stat., 28(3)…