36 citations · 126 across the 37 of their papers we have counts for
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q-fin.PR2023★ 1 cited
Risk valuation of quanto derivatives on temperature and electricity
Aurélien Alfonsi, Nerea Vadillo
This paper develops a coupled model for day-ahead electricity prices and average daily temperature which allows to model quanto weather and energy derivatives. These products have…
math.PR2023★ 1 cited
Nonnegativity preserving convolution kernels. Application to Stochastic Volterra Equations in closed convex domains and their approximation
Aurélien Alfonsi
This work defines and studies one-dimensional convolution kernels that preserve nonnegativity. When the past dynamics of a process is integrated with a convolution kernel like in S…