output
20142026
most citedFinite-Size Scaling of a First-Order Dynamical Phase Transition: Adaptive Population Dynamics and an Effective Model

84 citations

researchers with a paper here
collaborating institutions
Showing q-fin.CPShow all

3 papers · 1 filter

q-fin.CP2024

CVA Sensitivities, Hedging and Risk

Stéphane Crépey, Botao Li, Hoang Nguyen +1

We present a unified framework for computing CVA sensitivities, hedging the CVA, and assessing CVA risk, using probabilistic machine learning meant as refined regression tools on s…

q-fin.CP2023

A Multilevel Stochastic Approximation Algorithm for Value-at-Risk and Expected Shortfall Estimation

Stéphane Crépey, Noufel Frikha, Azar Louzi

We propose a multilevel stochastic approximation (MLSA) scheme for the computation of the value-at-risk (VaR) and expected shortfall (ES) of a financial loss, which can only be com…

q-fin.CP2014★ 3 cited

Ramsey Rule with Progressive Utility in Long Term Yield Curves Modeling

Nicole El Karoui, Caroline Hillairet, Mohamed Mrad

The purpose of this paper relies on the study of long term yield curves modeling. Inspired by the economic litterature, it provides a financial interpretation of the Ramsey rule th…