| Optimal execution strategies in limit order books with general shape functions A Alfonsi, A Fruth, A Schied Quantitative finance 10 (2), 143-157, 2010 | 508 | 2010 |
| On the discretization schemes for the CIR (and Bessel squared) processes A Alfonsi Monte Carlo Methods Appl. 11 (4), 355-384, 2005 | 318 | 2005 |
| Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model D Brigo, A Alfonsi Finance and stochastics 9 (1), 29-42, 2005 | 235 | 2005 |
| High order discretization schemes for the CIR process: application to affine term structure and Heston models A Alfonsi Mathematics of computation 79 (269), 209-237, 2010 | 225 | 2010 |
| Adaptive simulation of hybrid stochastic and deterministic models for biochemical systems A Alfonsi, E Cances, G Turinici, B Di Ventura, W Huisinga ESAIM: proceedings 14, 1-13, 2005 | 179 | 2005 |
| Order book resilience, price manipulation, and the positive portfolio problem A Alfonsi, A Schied, A Slynko SIAM Journal on Financial Mathematics 3 (1), 511-533, 2012 | 164 | 2012 |
| Optimal trade execution and absence of price manipulations in limit order book models A Alfonsi, A Schied SIAM Journal on Financial Mathematics 1 (1), 490-522, 2010 | 144 | 2010 |
| Strong order one convergence of a drift implicit Euler scheme: Application to the CIR process A Alfonsi Statistics & Probability Letters 83 (2), 602-607, 2013 | 123 | 2013 |
| Constrained portfolio liquidation in a limit order book model A Alfonsi, A Fruth, A Schied Banach Center Publ 83, 9-25, 2008 | 100 | 2008 |
| Affine diffusions and related processes: simulation, theory and applications A Alfonsi Springer International Publishing, 2015 | 90 | 2015 |
| Dynamic optimal execution in a mixed-market-impact Hawkes price model A Alfonsi, P Blanc Finance and Stochastics 20 (1), 183-218, 2016 | 87 | 2016 |
| Exact and high-order discretization schemes for Wishart processes and their affine extensions A Ahdida, A Alfonsi | 56 | 2013 |
| Pathwise optimal transport bounds between a one-dimensional diffusion and its Euler scheme A Alfonsi, B Jourdain, A Kohatsu-Higa | 55 | 2014 |
| A multifractal mass transference principle for Gibbs measures with applications to dynamical Diophantine approximation AH Fan, J Schmeling, S Troubetzkoy Proceedings of the London Mathematical Society 107 (5), 1173-1219, 2013 | 53 | 2013 |
| New families of copulas based on periodic functions A Alfonsi, D Brigo Communications in Statistics-Theory and Methods 34 (7), 1437-1447, 2005 | 49 | 2005 |
| Exact simulation of hybrid stochastic and deterministic models for biochemical systems A Alfonsi, E Cances, G Turinici, B Di Ventura, W Huisinga INRIA, 2004 | 42 | 2004 |
| Sampling of probability measures in the convex order by Wasserstein projection A Alfonsi, J Corbetta, B Jourdain | 37 | 2020 |
| Sampling of one-dimensional probability measures in the convex order and computation of robust option price bounds A Alfonsi, J Corbetta, B Jourdain International Journal of Theoretical and Applied Finance 22 (03), 1950002, 2019 | 36 | 2019 |
| Optimal transport bounds between the time-marginals of a multidimensional diffusion and its Euler scheme A Alfonsi, B Jourdain, A Kohatsu-Higa | 35 | 2015 |
| Optimal execution and price manipulations in time-varying limit order books A Alfonsi, JI Acevedo Applied Mathematical Finance 21 (3), 201-237, 2014 | 32 | 2014 |
