36 citations · 126 across the 37 of their papers we have counts for
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math.NA2022
High order approximations of the Cox-Ingersoll-Ross process semigroup using random grids
Aurélien Alfonsi, Edoardo Lombardo
We present new high order approximations schemes for the Cox-Ingersoll-Ross (CIR) process that are obtained by using a recent technique developed by Alfonsi and Bally (2021) for th…
q-fin.RM2022★ 1 cited
A stochastic volatility model for the valuation of temperature derivatives
Aurélien Alfonsi, Nerea Vadillo
This paper develops a new stochastic volatility model for the temperature that is a natural extension of the Ornstein-Uhlenbeck model proposed by Benth and Benth (2007). This model…
math.ST2022
How many inner simulations to compute conditional expectations with least-square Monte Carlo?
Aurélien Alfonsi, Bernard Lapeyre, Jérôme Lelong
The problem of computing the conditional expectation E[f (Y)|X] with least-square Monte-Carlo is of general importance and has been widely studied. To solve this problem, it is usu…