Aurélien Alfonsi

2.3k total citations
47 papers, 1.2k citations indexed

About

Aurélien Alfonsi is a scholar working on Finance, Economics and Econometrics and Applied Mathematics. According to data from OpenAlex, Aurélien Alfonsi has authored 47 papers receiving a total of 1.2k indexed citations (citations by other indexed papers that have themselves been cited), including 28 papers in Finance, 12 papers in Economics and Econometrics and 8 papers in Applied Mathematics. Recurrent topics in Aurélien Alfonsi's work include Stochastic processes and financial applications (25 papers), Financial Markets and Investment Strategies (7 papers) and Economic theories and models (5 papers). Aurélien Alfonsi is often cited by papers focused on Stochastic processes and financial applications (25 papers), Financial Markets and Investment Strategies (7 papers) and Economic theories and models (5 papers). Aurélien Alfonsi collaborates with scholars based in France, Germany and Canada. Aurélien Alfonsi's co-authors include Alexander Schied, Antje Fruth, Damiano Brigo, Alla Slynko, Benjamin Jourdain, Barbara Di Ventura, Wilhelm Huisinga, Éric Cancès, Gabriel Turinici and Arturo Kohatsu‐Higa and has published in prestigious journals such as Mathematics of Computation, Numerische Mathematik and Mathematics of Operations Research.

In The Last Decade

Aurélien Alfonsi

45 papers receiving 1.1k citations

Peers — A (Enhanced Table)

Peers by citation overlap · career bar shows stage (early→late) cites · hero ref

Name h Career Trend Papers Cites
Aurélien Alfonsi France 16 907 452 214 92 89 47 1.2k
Yu. M. Kabanov Russia 14 583 0.6× 293 0.6× 149 0.7× 79 0.9× 109 1.2× 28 823
Francesca Biagini Germany 14 939 1.0× 489 1.1× 173 0.8× 118 1.3× 161 1.8× 57 1.3k
Goran Peškir Denmark 23 1.0k 1.2× 389 0.9× 344 1.6× 264 2.9× 150 1.7× 93 1.4k
Wolfgang J. Runggaldier Italy 17 580 0.6× 246 0.5× 175 0.8× 82 0.9× 128 1.4× 76 950
Yuri Kabanov France 18 1.2k 1.3× 607 1.3× 417 1.9× 122 1.3× 220 2.5× 50 1.4k
Mingshang Hu China 13 815 0.9× 192 0.4× 379 1.8× 135 1.5× 237 2.7× 45 978
Ernesto Mordecki Uruguay 13 463 0.5× 152 0.3× 149 0.7× 89 1.0× 115 1.3× 51 723
Uwe Küchler Germany 13 633 0.7× 176 0.4× 200 0.9× 147 1.6× 70 0.8× 44 1.0k
Huyên Pham France 21 807 0.9× 268 0.6× 303 1.4× 79 0.9× 120 1.3× 62 1.1k
Giulia Di Nunno Norway 11 627 0.7× 206 0.5× 169 0.8× 136 1.5× 157 1.8× 54 783

Countries citing papers authored by Aurélien Alfonsi

Since Specialization
Citations

This map shows the geographic impact of Aurélien Alfonsi's research. It shows the number of citations coming from papers published by authors working in each country. You can also color the map by specialization and compare the number of citations received by Aurélien Alfonsi with the expected number of citations based on a country's size and research output (numbers larger than one mean the country cites Aurélien Alfonsi more than expected).

Fields of papers citing papers by Aurélien Alfonsi

Since Specialization
Physical SciencesHealth SciencesLife SciencesSocial Sciences

This network shows the impact of papers produced by Aurélien Alfonsi. Nodes represent research fields, and links connect fields that are likely to share authors. Colored nodes show fields that tend to cite the papers produced by Aurélien Alfonsi. The network helps show where Aurélien Alfonsi may publish in the future.

Co-authorship network of co-authors of Aurélien Alfonsi

This figure shows the co-authorship network connecting the top 25 collaborators of Aurélien Alfonsi. A scholar is included among the top collaborators of Aurélien Alfonsi based on the total number of citations received by their joint publications. Widths of edges represent the number of papers authors have co-authored together. Node borders signify the number of papers an author published with Aurélien Alfonsi. Aurélien Alfonsi is excluded from the visualization to improve readability, since they are connected to all nodes in the network.

All Works

20 of 20 papers shown
1.
Alfonsi, Aurélien. (2024). Nonnegativity preserving convolution kernels. Application to Stochastic Volterra Equations in closed convex domains and their approximation. Stochastic Processes and their Applications. 181. 104535–104535. 1 indexed citations
2.
Alfonsi, Aurélien, et al.. (2024). A stochastic volatility model for the valuation of temperature derivatives. IMA Journal of Management Mathematics. 35(4). 737–785. 1 indexed citations
3.
Alfonsi, Aurélien, et al.. (2023). How Many Inner Simulations to Compute Conditional Expectations with Least-square Monte Carlo?. Methodology And Computing In Applied Probability. 25(3). 1 indexed citations
4.
Alfonsi, Aurélien, et al.. (2023). High order approximations of the Cox–Ingersoll–Ross process semigroup using random grids. IMA Journal of Numerical Analysis. 44(4). 2277–2322. 1 indexed citations
5.
Alfonsi, Aurélien & Vlad Bally. (2021). A generic construction for high order approximation schemes of semigroups using random grids. Numerische Mathematik. 148(4). 743–793. 1 indexed citations
6.
Alfonsi, Aurélien, et al.. (2020). Multilevel Monte-Carlo for computing the SCR with the standard formula\n and other stress tests. arXiv (Cornell University). 2 indexed citations
7.
Alfonsi, Aurélien, et al.. (2020). A synthetic model for asset-liability management in life insurance, and analysis of the SCR with the standard formula. European Actuarial Journal. 10(2). 457–498. 3 indexed citations
8.
Alfonsi, Aurélien, et al.. (2019). Approximation of Optimal Transport problems with marginal moments\n constraints. arXiv (Cornell University). 9 indexed citations
9.
Alfonsi, Aurélien & Benjamin Jourdain. (2018). Lifted and geometric differentiability of the squared quadratic Wasserstein distance. arXiv (Cornell University). 1 indexed citations
10.
Alfonsi, Aurélien & Benjamin Jourdain. (2018). Squared quadratic Wasserstein distance : optimal couplings and Lions\n differentiability. arXiv (Cornell University). 8 indexed citations
11.
Alfonsi, Aurélien, et al.. (2015). Dynamic optimal execution in a mixed-market-impact Hawkes price model. Finance and Stochastics. 20(1). 183–218. 25 indexed citations
12.
Alfonsi, Aurélien, et al.. (2013). Optimal Execution and Price Manipulations in Time-varying Limit Order Books. Applied Mathematical Finance. 21(3). 201–237. 13 indexed citations
13.
Alfonsi, Aurélien, et al.. (2012). A mean-reverting SDE on correlation matrices. Stochastic Processes and their Applications. 123(4). 1472–1520. 8 indexed citations
14.
Alfonsi, Aurélien. (2012). Strong order one convergence of a drift implicit Euler scheme: Application to the CIR process. Statistics & Probability Letters. 83(2). 602–607. 54 indexed citations
15.
Alfonsi, Aurélien & Alexander Schied. (2010). Optimal Trade Execution and Absence of Price Manipulations in Limit Order Book Models. SSRN Electronic Journal. 24 indexed citations
16.
Alfonsi, Aurélien. (2009). High order discretization schemes for the CIR process: Application to affine term structure and Heston models. Mathematics of Computation. 79(269). 209–209. 100 indexed citations
17.
Alfonsi, Aurélien, Antje Fruth, & Alexander Schied. (2007). Optimal execution strategies in limit order books with general shape\n functions. arXiv (Cornell University). 230 indexed citations
18.
Alfonsi, Aurélien, Éric Cancès, Gabriel Turinici, Barbara Di Ventura, & Wilhelm Huisinga. (2005). Adaptive simulation of hybrid stochastic and deterministic models for biochemical systems. ESAIM Proceedings. 14. 1–13. 90 indexed citations
19.
Brigo, Damiano & Aurélien Alfonsi. (2005). Credit Default Swaps Calibration and Option Pricing with the SSRD Stochastic Intensity and Interest-Rate Model. 21 indexed citations
20.
Alfonsi, Aurélien. (2005). On the discretization schemes for the CIR (and Bessel squared) processes. Monte Carlo Methods and Applications. 11(4). 134 indexed citations

Rankless uses publication and citation data sourced from OpenAlex, an open and comprehensive bibliographic database. While OpenAlex provides broad and valuable coverage of the global research landscape, it—like all bibliographic datasets—has inherent limitations. These include incomplete records, variations in author disambiguation, differences in journal indexing, and delays in data updates. As a result, some metrics and network relationships displayed in Rankless may not fully capture the entirety of a scholar's output or impact.

Explore authors with similar magnitude of impact

Breakdown of academic impact, for papers by Yu. M. Kabanov Breakdown of academic impact, for papers by Francesca Biagini Breakdown of academic impact, for papers by Goran Peškir Breakdown of academic impact, for papers by Wolfgang J. Runggaldier Breakdown of academic impact, for papers by Yuri Kabanov Breakdown of academic impact, for papers by Mingshang Hu Breakdown of academic impact, for papers by Ernesto Mordecki Breakdown of academic impact, for papers by Uwe Küchler Breakdown of academic impact, for papers by Huyên Pham Breakdown of academic impact, for papers by Giulia Di Nunno
Rankless by CCL
2026