This is an advanced guide to optimal stopping and control, focusing on advanced Monte Carlo simulation and its application to finance. Written for quantitative finance practitioners and researchers in academia, the book looks at the classical simulation based algorithms before introducing some...

Abstract We apply a suitable modification of the functional delta method to statistical functionals that arise from law-invariant coherent risk measures. To this end we establish differentiability of the statistical functional in a relaxed Hadamard sense, namely with respect to a suitably chosen...

When estimating the risk of a P&L from historical data or Monte Carlo simulation, the robustness of the estimate is important. We argue here that Hampel’s classical notion of qualitative robustness is not suitable for risk measurement, and we propose and analyze a refined notion of robustness...