2 papers
q-fin.CP2020
Deep Importance Sampling
Benjamin Virrion
We present a generic path-dependent importance sampling algorithm where the Girsanov induced change of probability on the path space is represented by a sequence of neural networks…
q-fin.CP2020
Computation of Expected Shortfall by fast detection of worst scenarios
Bruno Bouchard, Adil Reghai, Benjamin Virrion
We consider a multi-step algorithm for the computation of the historical expected shortfall such as defined by the Basel Minimum Capital Requirements for Market Risk. At each step…