Spence, Jonathan
- Adaptive Multilevel Stochastic Approximation of the Value-at-Risk
2024/08/12 by Stéphane Crépey, Noufel Frikha, Crépey, Stéphane +5 · 2 citations
Decision Sciences · #62G32 #62L20 #65C05 #91Gxx #Computational Finance (q-fin.CP) #FOS: Economics and business #FOS: Mathematics #Probability (math.PR) #Risk Management (q-fin.RM) #Risk and Portfolio Optimization
- Nested Multilevel Monte Carlo with Biased and Antithetic Sampling
2023/08/15 by Haji-Ali, Abdul-Lateef, Spence, Jonathan · 1 citation
#62P05 #65C05 #Computational Finance (q-fin.CP) #FOS: Economics and business #FOS: Mathematics #Numerical Analysis (math.NA)
- Adaptive Multilevel Monte Carlo for Probabilities
2021/07/19 by Haji-Ali, Abdul-Lateef, Spence, Jonathan, Teckentrup, Aretha · 1 citation
#62P05 #65C05 #Computational Finance (q-fin.CP) #FOS: Economics and business #FOS: Mathematics #Numerical Analysis (math.NA)
- Efficient Risk Estimation for the Credit Valuation Adjustment
2023/01/14 by Michael B. Giles, Abdul-Lateef Haji-Ali, Giles, Michael B. +3 · 2 citations
Economics, Econometrics and Finance · Social Sciences · #Credit Risk and Financial Regulations #Insurance, Mortality, Demography, Risk Management #Stochastic processes and financial applications