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. arXiv. Hal. Bib. Code.

Talks

• QuantMinds. November 15, 2023. London, UK. Poster.
• ICSP. July 26, 2023. Davis, California, USA. Slides.
• MCM. June 27, 2023. Paris, France. Poster.
• MathRisk. June 15, 2023. Udine, Italy. Slides.
• MCQMC. July 20, 2022. Linz, Austria. Slides.

Teaching

2022 – 2023

• PR7 (M1). Cours de Probabilités de Cyril Labbé.
  • TD4, TD5, TD6.
• Mathématiques Financières (M1 ISIFAR). Cours d’Alexandre Pannier.
  • Feuilles de TD: TD1, TD2, TD3, TD4, TD5, TD6, TD7, TD8.
  • Examens: Partiel, Examen, Rattrapage.