85 citations · 207 across the 20 of their papers we have counts for
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Nested Multilevel Monte Carlo with Biased and Antithetic Sampling
Abdul-Lateef Haji-Ali, Jonathan Spence
We consider the problem of estimating a nested structure of two expectations taking the form , where . Terms of this form arise…
Efficient Risk Estimation for the Credit Valuation Adjustment
Michael B. Giles, Abdul-Lateef Haji-Ali, Jonathan Spence
The valuation of over-the-counter derivatives is subject to a series of valuation adjustments known as xVA, which pose additional risks for financial institutions. Associated risk…
Adaptive Multilevel Monte Carlo for Probabilities
Abdul-Lateef Haji-Ali, Jonathan Spence, Aretha Teckentrup
We consider the numerical approximation of where the -dimensional random variable cannot be sampled directly, but there is a hierarchy of increasingly a…
Multilevel nested simulation for efficient risk estimation
Michael B. Giles, Abdul-Lateef Haji-Ali
We investigate the problem of computing a nested expectation of the form where is t…