1 citations · 1 across the 5 of their papers we have counts for
9 papers
Adaptive Multilevel Stochastic Approximation of the Value-at-Risk
Stéphane Crépey, Noufel Frikha, Azar Louzi +1
Crépey, Frikha, and Louzi (2025) introduced a multilevel stochastic approximation scheme to compute the value-at-risk of a financial loss that is only simulatable by Monte Carlo.…
Asymptotic Error Analysis of Multilevel Stochastic Approximations for the Value-at-Risk and Expected Shortfall
Stéphane Crépey, Noufel Frikha, Azar Louzi +1
Crépey, Frikha, and Louzi (2025) introduced a nested stochastic approximation algorithm and its multilevel acceleration to compute the value-at-risk and expected shortfall of a ra…
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…
Entropy-regularized penalization schemes and reflected BSDEs with singular generators
Daniel Chee, Noufel Frikha, Libo Li
This paper extends our previous work to continuous-time optimal stopping, focusing on American options in an exploratory setting. Our first contribution is an entropy-regularized p…
A Monotone Limit Approach to Entropy-Regularized American Options
Daniel Chee, Noufel Frikha, Libo Li
Recent advances in continuous-time optimal stopping have been driven by entropy-regularized formulations of randomized stopping problems, with most existing approaches relying on p…
An Entropy Regularized BSDE Approach to Bermudan Options and Games
Noufel Frikha, Libo Li, Daniel Chee
In this paper, we investigate optimal stopping problems in a continuous-time framework where only a discrete set of stopping dates is admissible, corresponding to the Bermudan opti…