activity
20082026
most citedWell-Posedness for Some Non-Linear Diffusion Processes and Related PDE on the Wasserstein Space

24 citations · 53 across the 26 of their papers we have counts for

collaborators
Showing 2008Show all

1 paper · 1 filter

q-fin.CP2008★ 5 cited

Computation of VaR and CVaR using stochastic approximations and unconstrained importance sampling

Olivier Aj Bardou, Noufel Frikha, G. Pagès

Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR) are two risk measures which are widely used in the practice of risk management. This paper deals with the problem of comput…