Adaptive Multilevel Stochastic Approximation of the Value-at-Risk
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- O. Bardou & N. Frikha & G. Pagès, 2016. "CVaR HEDGING USING QUANTIZATION-BASED STOCHASTIC APPROXIMATION ALGORITHM," Mathematical Finance, Wiley Blackwell, vol. 26(1), pages 184-229, January.
- Michael B. Giles & Abdul-Lateef Haji-Ali & Jonathan Spence, 2023. "Efficient Risk Estimation for the Credit Valuation Adjustment," Papers 2301.05886, arXiv.org, revised May 2024.
- Stéphane Crépey & Noufel Frikha & Azar Louzi, 2024. "A Multilevel Stochastic Approximation Algorithm for Value-at-Risk and Expected Shortfall Estimation," Working Papers hal-04037328, HAL.
- Stéphane Crépey & Noufel Frikha & Azar Louzi & Gilles Pagès, 2023. "Asymptotic Error Analysis of Multilevel Stochastic Approximations for the Value-at-Risk and Expected Shortfall," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-04304985, HAL.
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Cited by:
- Martin Arnaiz Iglesias & Adil Rengim Cetingoz & Noufel Frikha, 2024. "Mirror Descent Algorithms for Risk Budgeting Portfolios," Papers 2411.12323, arXiv.org.
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