3 papers
math.NA2026
Nested Multilevel Monte Carlo with Preintegration for Efficient Risk Estimation
Yu Xu, Xiaoqun Wang
Nested Monte Carlo is widely used for risk estimation, but its efficiency is limited by the discontinuity of the indicator function and high computational cost. This paper proposes…
math.NA2025
Randomized Quasi-Monte Carlo and Importance Sampling for Super-Fast Growing Functions with Applications to Finance
Jianlong Chen, Yu Xu, Jiarui Du +1
Many problems can be formulated as high-dimensional integrals of discontinuous functions that exhibit significant boundary growth, challenging the error analysis and applications o…
q-fin.PM2025
A Dynamic Model of Private Asset Allocation
Hui Chen, Giovanni Gambarotta, Simon Scheidegger +1
We build a state-of-the-art dynamic model of private asset allocation that considers five key features of private asset markets: (1) the illiquid nature of private assets, (2) timi…