We study the notion of learning in an oblivious changing environment. Existing online learning algorithms which minimize regret are shown to converge to the average of all locally...
In this paper, we consider approximation algorithms for optimizing a generic multi-variate homogeneous polynomial function, subject to homogeneous quadratic constraints. Such opti...
A credit derivative is a path dependent contingent claim on the aggregate loss in a portfolio of credit sensitive securities. We estimate the value of a credit derivative by Monte...
Our focus is on efficient estimation of tail probabilities of sums of correlated lognormals. This problem is motivated by the tail analysis of portfolios of assets driven by corre...
Jose Blanchet, Sandeep Juneja, Leonardo Rojas-Nand...
Portfolio credit risk models as well as models for operational risk can often be treated analogously to the collective risk model coming from insurance. Applying the classical Panj...