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01/07/2023
MLMC techniques for discontinuous functions
The Multilevel Monte Carlo (MLMC) approach usually works well when estim...
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09/07/2022
Multilevel Path Branching for Digital Options
We propose a new Monte Carlo-based estimator for digital options with as...
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12/11/2019
Sub-sampling and other considerations for efficient risk estimation in large portfolios
Computing risk measures of a financial portfolio comprising thousands of...
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11/08/2019
Generalised multilevel Picard approximations
It is one of the most challenging problems in applied mathematics to app...
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09/02/2019
Multilevel Monte Carlo estimation of the expected value of sample information
We study Monte Carlo estimation of the expected value of sample informat...
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05/04/2016