PhD Student in Applied Mathematics

I am Azar Louzi, PhD student at LPSM, a joint CNRS, Sorbonne Université and Université Paris Cité laboratory. I am a member of the Financial and Actuarial Mathematics, Numerical Probability team. My thesis work revolves around Multilevel Learning Schemes and Financial Applications. I am co-advised by Noufel Frikha and Stéphane Crépey.

Publications

  • An Adaptive Multilevel Stochastic Approximation Algorithm for Value-at-Risk and Expected Shortfall Estimation. Stéphane Crépey, Noufel Frikha, Azar Louzi, Jonathan Spence. Working Paper.
  • Asymptotic Error Analysis of the Multilevel Stochastic Approximations of the Value-at-Risk and the Expected Shortfall. Stéphane Crépey, Noufel Frikha, Azar Louzi, Gilles Pagès. 2023. arXiv. Hal. Bib. Code.
  • A Multilevel Stochastic Approximation Algorithm for Value-at-Risk and Expected Shortfall Estimation. Stéphane Crépey, Noufel Frikha, Azar Louzi. 2023. arXiv. Hal. Bib. Code.