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1
المؤلفون: Aurélien Alfonsi, Rafaël Coyaud, Virginie Ehrlacher
المساهمون: Centre d'Enseignement et de Recherche en Mathématiques et Calcul Scientifique (CERMICS), École des Ponts ParisTech (ENPC), Mathematical Risk Handling (MATHRISK), Université Paris-Est Marne-la-Vallée (UPEM)-École des Ponts ParisTech (ENPC)-Inria de Paris, Institut National de Recherche en Informatique et en Automatique (Inria)-Institut National de Recherche en Informatique et en Automatique (Inria), MATHematics for MatERIALS (MATHERIALS), Inria de Paris, Institut National de Recherche en Informatique et en Automatique (Inria)-Institut National de Recherche en Informatique et en Automatique (Inria)-Centre d'Enseignement et de Recherche en Mathématiques et Calcul Scientifique (CERMICS), École des Ponts ParisTech (ENPC)-École des Ponts ParisTech (ENPC), The Labex Bézout is acknowledged for funding the PhD thesis of Rafaël Coyaud. Aurélien Alfonsi benefited from the support of the 'Chaire Risques Financiers', Fondation du Risque. We are very grateful to Gero Friesecke, Daniela Vögler, Tony Lelièvre, Gabriel Stoltz and Pierre Monmarché for stimulating discussions, as well as Mathieu Lewin for precious comments on the paper. This publication is part of a project that has received funding from the European Research Council (ERC) under the European Union’s Horizon 2020 Research and Innovation Programme – Grant Agreement n◦ 810367., European Project: 810367,EMC2(2019), École des Ponts ParisTech (ENPC)-École des Ponts ParisTech (ENPC)-Inria de Paris
المصدر: Mathematical Models and Methods in Applied Sciences
Mathematical Models and Methods in Applied Sciences, World Scientific Publishing, In press
Mathematical Models and Methods in Applied Sciences, In pressمصطلحات موضوعية: Applied Mathematics, Modeling and Simulation, FOS: Mathematics, Mathematics - Numerical Analysis, Numerical Analysis (math.NA), [MATH]Mathematics [math]
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2Academic Journal
المؤلفون: Aurélien Alfonsi
المساهمون: The Pennsylvania State University CiteSeerX Archives
مصطلحات موضوعية: Market Impact Model, Optimal Execution, Hawkes Processes, Market Microstructure, High-frequency Trading, Price Manipulations
وصف الملف: application/pdf
Relation: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.635.3340; http://hal-enpc.archives-ouvertes.fr/docs/00/97/13/69/PDF/Hawkes_MI.pdf
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3
المساهمون: Mathematical Risk Handling (MATHRISK), Université Paris-Est Marne-la-Vallée (UPEM)-École des Ponts ParisTech (ENPC)-Inria de Paris, Institut National de Recherche en Informatique et en Automatique (Inria)-Institut National de Recherche en Informatique et en Automatique (Inria), Centre d'Enseignement et de Recherche en Mathématiques et Calcul Scientifique (CERMICS), École des Ponts ParisTech (ENPC), GIE AXA, This research benefited from the Joint Research Initiative 'Numerical methods for the ALM' of AXA Research Fund. Aurélien Alfonsi has also benefited from the support of the'Chaire Risques Financiers', Fondation du Risque.
المصدر: European Actuarial Journal
European Actuarial Journal, 2020, ⟨10.1007/s13385-020-00240-3⟩
European Actuarial Journal, Springer, 2020, ⟨10.1007/s13385-020-00240-3⟩مصطلحات موضوعية: Statistics and Probability, Economics and Econometrics, media_common.quotation_subject, Standard formula, 01 natural sciences, Surrender risk, FOS: Economics and business, 010104 statistics & probability, Profit sharing, Portfolio Management (q-fin.PM), Life insurance, 0502 economics and business, Economics, Capital requirement, Book value, ALM model, Asset (economics), 0101 mathematics, 050207 economics, Quantitative Finance - Portfolio Management, media_common, Solvency, 050208 finance, Actuarial science, Bond, 05 social sciences, Cash-flow match-ing, Interest rate, [MATH.MATH-PR]Mathematics [math]/Probability [math.PR], Short-rate model, Risk Management (q-fin.RM), Solvency capital requirement, Liquidity gap, Statistics, Probability and Uncertainty, Quantitative Finance - Risk Management
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4
المؤلفون: Aurélien Alfonsi, Vlad Bally
المساهمون: Mathematical Risk Handling (MATHRISK), Université Paris-Est Marne-la-Vallée (UPEM)-École des Ponts ParisTech (ENPC)-Inria de Paris, Institut National de Recherche en Informatique et en Automatique (Inria)-Institut National de Recherche en Informatique et en Automatique (Inria), Centre d'Enseignement et de Recherche en Mathématiques et Calcul Scientifique (CERMICS), École des Ponts ParisTech (ENPC), Laboratoire d'Analyse et de Mathématiques Appliquées (LAMA), Université Paris-Est Marne-la-Vallée (UPEM)-Fédération de Recherche Bézout-Université Paris-Est Créteil Val-de-Marne - Paris 12 (UPEC UP12)-Centre National de la Recherche Scientifique (CNRS), Aurélien Alfonsi benefited from the support of the 'Chaire Risques Financiers', Fondation du Risque., Centre National de la Recherche Scientifique (CNRS)-Université Paris-Est Créteil Val-de-Marne - Paris 12 (UPEC UP12)-Fédération de Recherche Bézout-Université Paris-Est Marne-la-Vallée (UPEM), Inria de Paris, Institut National de Recherche en Informatique et en Automatique (Inria)-Institut National de Recherche en Informatique et en Automatique (Inria)-École des Ponts ParisTech (ENPC)-Université Paris-Est Marne-la-Vallée (UPEM)
المصدر: Numerische Mathematik
Numerische Mathematik, 2021, ⟨10.1007/s00211-021-01219-2⟩
Numerische Mathematik, Springer Verlag, 2021, ⟨10.1007/s00211-021-01219-2⟩مصطلحات موضوعية: Approximation schemes, Parametrix, Semigroup, Applied Mathematics, 010102 general mathematics, 60H35, 65C30, 65C05, 65C20, Monte-Carlo methods, Order (ring theory), Random grid, Random grids, Finite variance, AMS: 60H35, 65C30, 65C05, 65C20, 01 natural sciences, Omega, Combinatorics, [MATH.MATH-PR]Mathematics [math]/Probability [math.PR], 010104 statistics & probability, Computational Mathematics, Approximation operators, Mathematics - Numerical Analysis, 0101 mathematics, High order, Mathematics - Probability, Mathematics
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5Academic Journal
المؤلفون: Aurélien Alfonsi, Céline Labart, Jérôme Lelong
المساهمون: The Pennsylvania State University CiteSeerX Archives
مصطلحات موضوعية: Stochastic local intensity model, Interacting particle systems, Loss modelling, Credit derivatives, Monte-Carlo Algorithm, Fokker-Planck equation, Martingale problem
وصف الملف: application/pdf
Relation: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.392.6079; http://hal.inria.fr/docs/00/78/62/39/PDF/sli_particle.pdf
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6
المساهمون: Mathematical Risk Handling (MATHRISK), Université Paris-Est Marne-la-Vallée (UPEM)-École des Ponts ParisTech (ENPC)-Inria de Paris, Institut National de Recherche en Informatique et en Automatique (Inria)-Institut National de Recherche en Informatique et en Automatique (Inria), Centre d'Enseignement et de Recherche en Mathématiques et Calcul Scientifique (CERMICS), École des Ponts ParisTech (ENPC), GIE AXA, This research benefited from the Joint Research Initiative 'Numerical methods for ' of AXA Research Fund. A. A. has also benefited from the support of the 'Chaire Risques Financiers', Fondation du Risque.
المصدر: Insurance: Mathematics and Economics
Insurance: Mathematics and Economics, Elsevier, 2021, ⟨10.1016/j.insmatheco.2021.05.005⟩
Insurance: Mathematics and Economics, 2021, ⟨10.1016/j.insmatheco.2021.05.005⟩مصطلحات موضوعية: Statistics and Probability, Economics and Econometrics, 050208 finance, 05 social sciences, Monte Carlo method, Estimator, Computational Finance (q-fin.CP), Context (language use), Conditional expectation, 01 natural sciences, Least squares, FOS: Economics and business, [MATH.MATH-PR]Mathematics [math]/Probability [math.PR], 010104 statistics & probability, Quantitative Finance - Computational Finance, Risk Management (q-fin.RM), Life insurance, 0502 economics and business, Convergence (routing), Applied mathematics, 0101 mathematics, Statistics, Probability and Uncertainty, Complement (set theory), Mathematics, Quantitative Finance - Risk Management
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7Academic Journal
المؤلفون: Aurélien Alfonsi, Alexander Schied
المساهمون: The Pennsylvania State University CiteSeerX Archives
مصطلحات موضوعية: Singular control, verification argument, capacity theory, optimal order execution, transient price impact, infinite-dimensional Riccati differential equation
وصف الملف: application/pdf
Relation: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.393.2929; http://hal.inria.fr/docs/00/66/15/31/PDF/verification19wa.pdf
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8Academic Journal
المؤلفون: Aurélien Alfonsi, José Infante Acevedo
المساهمون: The Pennsylvania State University CiteSeerX Archives
مصطلحات موضوعية: Key words
وصف الملف: application/pdf
Relation: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.635.7576; http://hal-enpc.archives-ouvertes.fr/docs/00/68/71/93/PDF/papier_lob_time.pdf
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9Academic Journal
المؤلفون: Abdelkoddousse Ahdida, Aurélien Alfonsi
المساهمون: The Pennsylvania State University CiteSeerX Archives
مصطلحات موضوعية: Key words, Correlation, Wright-Fisher diffusions, Multi-allele Wright-Fisher model, Jacobi processes, Wishart processes, Discretization schemes, Multi-asset model
وصف الملف: application/pdf
Relation: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.396.335; http://hal-enpc.archives-ouvertes.fr/docs/00/66/93/90/PDF/MRC_v2.pdf
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10Academic Journal
المؤلفون: Aurélien Alfonsi
المساهمون: The Pennsylvania State University CiteSeerX Archives
Time: 2
وصف الملف: application/pdf
Relation: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.395.1061; http://hal.inria.fr/docs/00/70/92/02/PDF/drift_implicit.pdf
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11Academic Journal
المؤلفون: Aurélien Alfonsi, Alexander Schied
المساهمون: The Pennsylvania State University CiteSeerX Archives
وصف الملف: application/pdf
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12Academic Journal
المؤلفون: Aurélien Alfonsi, Antje Fruth, Alexander Schied
المساهمون: The Pennsylvania State University CiteSeerX Archives
وصف الملف: application/pdf
Relation: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.321.515; http://hal.archives-ouvertes.fr/docs/00/45/29/24/PDF/OE19.pdf
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13Academic Journal
المؤلفون: Abdelkoddousse Ahdida, Aurélien Alfonsi
المساهمون: The Pennsylvania State University CiteSeerX Archives
مصطلحات موضوعية: Key words, Wishart processes, affine processes, exact simulation, discretization schemes, weak error
وصف الملف: application/pdf
Relation: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.395.5388; http://hal-enpc.archives-ouvertes.fr/docs/00/49/13/71/PDF/Wishart_Simulation.pdf
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14Academic Journal
المؤلفون: Aurélien Alfonsi, Jérôme Lelong
المساهمون: The Pennsylvania State University CiteSeerX Archives
مصطلحات موضوعية: Credit Risk, Intensity Model, Structural Model, Black-Cox Model, Parisian
وصف الملف: application/pdf
Relation: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.369.9476; http://hal.archives-ouvertes.fr/docs/00/41/42/80/PDF/BC_extension_hal.pdf
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15Academic Journal
المؤلفون: Aurélien Alfonsi, Alexander Schied
المساهمون: The Pennsylvania State University CiteSeerX Archives
وصف الملف: application/pdf
Relation: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.335.8411; http://www.alexschied.de/AuctionExecutionReprint.pdf
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16Academic Journal
المؤلفون: Heston Models, Aurélien Alfonsi
المساهمون: The Pennsylvania State University CiteSeerX Archives
مصطلحات موضوعية: simulation, discretization scheme, squared Bessel process, Cox-Ingersoll- Ross model, Heston model, Affine Term Structure Models (ATSM
وصف الملف: application/pdf
Relation: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.405.1929; http://hal.archives-ouvertes.fr/docs/00/28/88/11/PDF/2nd_order_ATSM.pdf
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17Academic Journal
المؤلفون: Aurélien Alfonsi, Alexander Schied, Antje Schulz
المساهمون: The Pennsylvania State University CiteSeerX Archives
وصف الملف: application/pdf
Relation: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.337.2947; http://hal.archives-ouvertes.fr/docs/00/17/48/31/PDF/Optimal_Execution_Strategies_2.pdf
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18Academic Journal
المؤلفون: Aurélien Alfonsi, Benjamin Jourdain
المساهمون: The Pennsylvania State University CiteSeerX Archives
مصطلحات موضوعية: Perpetual American options, Dupire’s formula, Call-Put Duality, Calibration of volatility
وصف الملف: application/pdf
Relation: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.411.3247; http://cermics.enpc.fr/reports/CERMICS-2006/CERMICS-2006-307.pdf
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19Academic Journal
المؤلفون: Aurélien Alfonsi
المساهمون: The Pennsylvania State University CiteSeerX Archives
وصف الملف: application/pdf
Relation: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.411.2726; http://cermics.enpc.fr/reports/CERMICS-2005/CERMICS-2005-279.pdf
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20Academic Journal
المؤلفون: Aurélien Alfonsi, Damiano Brigo
المساهمون: The Pennsylvania State University CiteSeerX Archives
المصدر: http://cermics.enpc.fr/~alfonsi/CERMICS-2003-250.pdf.
مصطلحات موضوعية: Key words, Dependence Modeling, Copula Functions, Gaussian Copula, Archimedean Copula, Periodic Copula, Simulation New families of Copulas based on periodic functions 2
وصف الملف: application/pdf
Relation: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.139.2912; http://cermics.enpc.fr/~alfonsi/CERMICS-2003-250.pdf
الاتاحة: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.139.2912
http://cermics.enpc.fr/~alfonsi/CERMICS-2003-250.pdf