Multilevel Nested Simulation for Efficient Risk Estimation

DOI10.1137/18M1173186zbMath1457.91416arXiv1802.05016OpenAlexW2962965244WikidataQ127931403 ScholiaQ127931403MaRDI QIDQ5228366

Abdul-Lateef Haji-Ali, Michael B. Giles

Publication date: 12 August 2019

Published in: SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1802.05016

zbMATH Keywords

Monte Carlomultilevel Monte Carlonested simulationrisk estimation

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Monte Carlo methods (65C05) Portfolio theory (91G10)

Related Items (14)

Sample recycling method -- a new approach to efficient nested Monte Carlo simulations ⋮ Variance reduction for risk measures with importance sampling in nested simulation ⋮ Adaptive Multilevel Monte Carlo for Probabilities ⋮ Multi-index antithetic stochastic gradient algorithm ⋮ Multilevel Monte Carlo Approximation of Functions ⋮ Multilevel Monte Carlo Estimation of the Expected Value of Sample Information ⋮ Multilevel Monte Carlo estimation of expected information gains ⋮ Multilevel Monte Carlo for computing the SCR with the standard formula and other stress tests ⋮ Antithetic multilevel sampling method for nonlinear functionals of measure ⋮ Numerical approximations of McKean anticipative backward stochastic differential equations arising in initial margin requirements ⋮ Multilevel Monte Carlo methods and lower-upper bounds in initial margin computations ⋮ Decision-making under uncertainty: using MLMC for efficient estimation of EVPPI ⋮ An efficient estimation of nested expectations without conditional sampling ⋮ Constructing unbiased gradient estimators with finite variance for conditional stochastic optimization

Cites Work

• Multi-level stochastic approximation algorithms
• Multilevel simulation of functionals of Bernoulli random variables with application to basket credit derivatives
• Limit theorems for weighted and regular multilevel estimators
• Antithetic multilevel Monte Carlo estimation for multi-dimensional SDEs without Lévy area simulation
• Multilevel Monte Carlo Methods
• Nested Simulation in Portfolio Risk Measurement
• Multilevel Monte Carlo Path Simulation
• Computing VaR and CVaR using stochastic approximation and adaptive unconstrained importance sampling
• Martingale Transforms
• Efficient Risk Estimation via Nested Sequential Simulation
• Monte Carlo Methods for Value-at-Risk and Conditional Value-at-Risk
• A Stochastic Approximation Method

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