4. Mathematics
  5. Probability

Aurélien Alfonsi

Mathematics – Probability

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CERMICS

A Call-Put Duality for Perpetual American Options

Mathematics – Probability
Scientific paper

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A Mean-Reverting SDE on Correlation matrices

Mathematics – Probability
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Capacitary measures for completely monotone kernels via singular control

Mathematics – Optimization and Control
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Exact and high order discretization schemes for Wishart processes and their affine extensions

Mathematics – Probability
Scientific paper

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General Duality for Perpetual American Options

Mathematics – Probability
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