In this article, we present a review of the recent developments on the topic of Multilevel
Monte Carlo (MLMC) algorithms, in the paradigm of applications in financial engineering …

We consider the numerical approximation of PG∈Ω, where the d-dimensional random
variable G cannot be sampled directly, but there is a hierarchy of increasingly accurate …

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 …

We present a modified Euler-Maruyama scheme using approximate random variables,
produced by the inverse transform method, using cheap approximations to the inverse …

In this article, we present a review of the recent developments on the topic of Multilevel
Monte Carlo (MLMC) algorithm, in the paradigm of applications in financial engineering. We …

Practical systems that depend on unknown factors are frequently well-represented through a
stochastic model. By estimating statistics of the underlying model, critical features of the …

We analyze three different methods that can approximate the expected shortfall of a financial
portfolio in a nested simulation. In this simulation process, the outer simulation generates …