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10 documents ordered by : Date Title first author name document type Submit date

Stochastic Local Intensity Loss Models with Interacting Particle Systems Alfonsi A., Labart C., Lelong J. [hal-00786239 - version 1] (08/02/2013)

A closed-form extension to the Black-Cox model Alfonsi A., Lelong J. International Journal of Theoretical and Applied Finance 15, 8 (2012) 1250053:1-30 [hal-00414280 - version 2]

Pathwise optimal transport bounds between a one-dimensional diffusion and its Euler scheme Alfonsi A., Jourdain B., Kohatsu-Higa A. [hal-00727430 - version 1] (2012-09-03)

Capacitary measures for completely monotone kernels via singular control Alfonsi A., Schied A. [hal-00659421 - version 2] (2012-01-19)

A Mean-Reverting SDE on Correlation matrices Ahdida A., Alfonsi A. [hal-00617111 - version 2] (13/02/2012)

Some estimates in extended stochastic volatility models of Heston type Bally V., De Marco S. Risk and Decision Analysis 2, 4 (2011) 195-206 [hal-00676429 - version 1]

Convenient Multiple Directions of Stratification Jourdain B., Lapeyre B., Sabino P. International Journal of Theoretical and Applied Finance 14, 6 (2011) 867-897 [hal-00477403 - version 1]

Exact and high order discretization schemes for Wishart processes and their affine extensions Ahdida A., Alfonsi A. [hal-00491371 - version 1] (11/06/2010)

Regularity of the Exercise Boundary for American Put Options on Assets with Discrete Dividends Jourdain B., Vellekoop M. [hal-00436327 - version 2] (03/06/2010)

High order discretization schemes for stochastic volatility models Jourdain B., Sbai M. [hal-00409861 - version 4] (2011-10-17)