A. Haji-Ali

activity

20142026

most citedA Continuation Multilevel Monte Carlo algorithm

85 citations · 207 across the 20 of their papers we have counts for

collaborators

Showing 2023Show all

3 papers · 1 filter

q-fin.CP2023

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 $U_{0} = E [max {U_{1} (Y), π (Y)}]$ , where $U_{1} (Y) = E [X ∣ Y]$ . Terms of this form arise…

math.NA2023

Multi-index importance sampling for McKean--Vlasov stochastic differential equations

Nadhir Ben Rached, Abdul-Lateef Haji-Ali, Shyam Mohan Subbiah Pillai +1

This work addresses the estimation of rare-event quantities expressed as expectations of smooth observables of solutions to a broad class of McKean--Vlasov stochastic differential…

q-fin.CP2023

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…