85 citations · 207 across the 20 of their papers we have counts for
3 papers · 2 filters
Multilevel Path Branching for Digital Options
Michael B. Giles, Abdul-Lateef Haji-Ali
We propose a new Monte Carlo-based estimator for digital options with assets modelled by a stochastic differential equation (SDE). The new estimator is based on repeated path split…
Multilevel Importance Sampling for Rare Events Associated With the McKean--Vlasov Equation
Nadhir Ben Rached, Abdul-Lateef Haji-Ali, Shyam Mohan Subbiah Pillai +1
This work combines multilevel Monte Carlo (MLMC) with importance sampling to estimate rare-event quantities that can be expressed as the expectation of a Lipschitz observable of th…
Double-Loop Importance Sampling for McKean--Vlasov Stochastic Differential Equation
Nadhir Ben Rached, Abdul-Lateef Haji-Ali, Shyam Mohan Subbiah Pillai +1
This paper investigates Monte Carlo (MC) methods to estimate probabilities of rare events associated with solutions to the -dimensional McKean-Vlasov stochastic differential equ…