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
- Stéphane Crépey, Noufel Frikha, Azar Louzi, Gilles Pagès. Asymptotic Error Analysis of the Multilevel Stochastic Approximations of the Value-at-Risk and the Expected Shortfall. Working Paper.
- Stéphane Crépey, Noufel Frikha, Azar Louzi. A Multilevel Stochastic Approximation Algorithm for Value-at-Risk and Expected Shortfall Estimation. 2023. code
Talks
- A Multilevel Stochastic Approximation Algorithm for Unbiased Value-at-Risk and Expected Shortfall Estimation. MCQMC 2022, July 20, 2022.