83 citations · 225 across the 11 of their papers we have counts for
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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…
q-fin.CP2018
Multilevel nested simulation for efficient risk estimation
Michael B. Giles, Abdul-Lateef Haji-Ali
We investigate the problem of computing a nested expectation of the form where is t…
q-fin.CP2012★ 83 cited
Antithetic multilevel Monte Carlo estimation for multi-dimensional SDEs without Lévy area simulation
Michael B. Giles, Lukasz Szpruch
In this paper we introduce a new multilevel Monte Carlo (MLMC) estimator for multi-dimensional SDEs driven by Brownian motions. Giles has previously shown that if we combine a nume…