Adaptive Multilevel Stochastic Approximation of the Value-at-Risk

MaRDI QIDQ6740217arXivFDO

Authors Stéphane Crépey, Noufel Frikha, Azar Louzi, Jonathan Spence

Publication date 2024

Published in arXiv

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32) Stochastic approximation (62L20) Monte Carlo methods (65C05) Actuarial science and mathematical finance (91Gxx)

arXiv classification

q-fin.RM

This page was built for publication: Adaptive Multilevel Stochastic Approximation of the Value-at-Risk

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6740217)