Publications
Preprints
- Haji-Ali, A.-L., & Stein, A. (2023). An Antithetic Multilevel Monte Carlo-Milstein Scheme for Stochastic Partial Differential Equations.
- Giles, M. B., Haji-Ali, A.-L., & Spence, J. (2023). Efficient Risk Estimation for the Credit Valuation Adjustment.
- Rached, N. B., Haji-Ali, A.-L., Shyam, M., & Tempone, R. (2022). Multilevel Importance Sampling for McKean-Vlasov Stochastic Differential Equation.
- Rached, N. B., Haji-Ali, A.-L., Shyam, M., & Tempone, R. (2022). Single Level Importance Sampling for McKean-Vlasov Stochastic Differential Equations.
- Giles, M. B., & Haji-Ali, A.-L. (2022). Multilevel Path Branching for Digital Options. Submitted.
- Haji-Ali, A.-L., Hoel, H., & Tempone, R. (2021). A simple approach to proving the existence, uniqueness, and strong and weak convergence rates for a broad class of McKean–Vlasov equations.
2023
- Ben Amar, E., Ben Rached, N., Haji-Ali, A.-L., & Tempone, R. (2023). State-dependent importance sampling for estimating expectations of functionals of sums of independent random variables. Statistics and Computing, 33(2). https://doi.org/10.1007/s11222-022-10202-2
2022
- Giles, M. B., & Haji-Ali, A.-L. (2022). Subsampling and other considerations for efficient risk estimation in large portfolios. Journal of Computational Finance, 26(1). https://doi.org/10.21314/jcf.2022.019
- Haji-Ali, A.-L., Spence, J., & Teckentrup, A. L. (2022). Adaptive Multilevel Monte Carlo for Probabilities. SIAM Journal on Numerical Analysis, 60(4), 2125–2149. https://doi.org/10.1137/21m1447064
2021
- Ben Rached, N., Haji-Ali, A.-L., Rubino, G., & Tempone, R. (2021). Efficient importance sampling for large sums of independent and identically distributed random variables. Statistics and Computing, 31(6). https://doi.org/10.1007/s11222-021-10055-1
2020
- Haji-Ali, A.-L., Nobile, F., Tempone, R., & Wolfers, S. (2020). Multilevel weighted least squares polynomial approximation. ESAIM: Mathematical Modelling and Numerical Analysis, 54(2), 649–677. https://doi.org/10.1051/m2an/2019045
2019
- Giles, M. B., & Haji-Ali, A.-L. (2019). Multilevel Nested Simulation for Efficient Risk Estimation. SIAM/ASA Journal on Uncertainty Quantification, 7(2), 497–525. https://doi.org/10.1137/18m1173186
2018
- Haji-Ali, A.-L., Harbrecht, H., Peters, M. D., & Siebenmorgen, M. (2018). Novel results for the anisotropic sparse grid quadrature. Journal of Complexity, 47, 62–85. https://doi.org/10.1016/j.jco.2018.02.003
2017
- Haji-Ali, A.-L., & Tempone, R. (2017). Multilevel and Multi-index Monte Carlo methods for the McKean–Vlasov equation. Statistics and Computing, 28(4), 923–935. https://doi.org/10.1007/s11222-017-9771-5
2016
- Haji-Ali, A.-L., Nobile, F., Tamellini, L., & Tempone, R. (2016). Multi-index Stochastic Collocation Convergence Rates for Random PDEs with Parametric Regularity. Foundations of Computational Mathematics, 16(6), 1555–1605. https://doi.org/10.1007/s10208-016-9327-7
- Haji-Ali, A.-L., Nobile, F., Tamellini, L., & Tempone, R. (2016). Multi-Index Stochastic Collocation for random PDEs. Computer Methods in Applied Mechanics and Engineering, 306, 95–122. https://doi.org/10.1016/j.cma.2016.03.029
2015
- Haji-Ali, A.-L., Nobile, F., & Tempone, R. (2015). Multi-index Monte Carlo: When sparsity meets sampling. Numerische Mathematik, 132(4), 767–806. https://doi.org/10.1007/s00211-015-0734-5
- Haji-Ali, A.-L., Nobile, F., von Schwerin, E., & Tempone, R. (2015). Optimization of mesh hierarchies in multilevel Monte Carlo samplers. Stochastics and Partial Differential Equations Analysis and Computations, 4(1), 76–112. https://doi.org/10.1007/s40072-015-0049-7
2014
- Collier, N., Haji-Ali, A.-L., Nobile, F., von Schwerin, E., & Tempone, R. (2014). A continuation multilevel Monte Carlo algorithm. BIT Numerical Mathematics, 55(2), 399–432. https://doi.org/10.1007/s10543-014-0511-3