36 citations · 126 across the 37 of their papers we have counts for
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q-fin.CP2024
High order approximations and simulation schemes for the log-Heston process
Aurélien Alfonsi, Edoardo Lombardo
We present weak approximations schemes of any order for the Heston model that are obtained by using the method developed by Alfonsi and Bally (2021). This method consists in combin…
q-fin.MF2024
A pure dual approach for hedging Bermudan options
Aurélien Alfonsi, Ahmed Kebaier, Jérôme Lelong
This paper develops a new dual approach to compute the hedging portfolio of a Bermudan option and its initial value. It gives a "purely dual" algorithm following the spirit of Roge…
math.PR2024★ 1 cited
On non-negative solutions of stochastic Volterra equations with jumps and non-Lipschitz coefficients
Aurélien Alfonsi, Guillaume Szulda
We consider one-dimensional stochastic Volterra equations with jumps for which we establish conditions upon the convolution kernel and coefficients for the strong existence and pat…