I am Azar Louzi, PhD student at LPSM, a joint CNRS 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

  • Azar Louzi, Noufel Frikha, Stéphane Crépey. A Multilevel Stochastic Approximation Algorithm for Unbiased Value-at-Risk and Expected Shortfall Estimation. Working Paper.

Talks