18 citations · 63 across the 38 of their papers we have counts for
4 papers · 1 filter
Non-asymptotic estimation of risk measures using stochastic gradient Langevin dynamics
Jiarui Chu, Ludovic Tangpi
In this paper we will study the approximation of arbitrary law invariant risk measures. As a starting point, we approximate the average value at risk using stochastic gradient Lang…
Non-asymptotic convergence rates for the plug-in estimation of risk measures
Daniel Bartl, Ludovic Tangpi
Let be a general law--invariant convex risk measure, for instance the average value at risk, and let be a financial loss, that is, a real random variable. In practice, eith…
Concentration of dynamic risk measures in a Brownian filtration
Ludovic Tangpi
Motivated by liquidity risk in mathematical finance, D. Lacker introduced concentration inequalities for risk measures, i.e. upper bounds on the \emph{liquidity risk profile} of a…
Computational aspects of robust optimized certainty equivalents and option pricing
Daniel Bartl, Samuel Drapeau, Ludovic Tangpi
Accounting for model uncertainty in risk management and option pricing leads to infinite dimensional optimization problems which are both analytically and numerically intractable.…