This paper introduces new variance reduction techniques and computational improvements to Monte Carlo methods for pricing American-style options. For simulation algorithms that compute lower bounds of American option values, we apply martingale control variates and introduce the local policy...

This paper develops a method for selecting and analysing stress scenarios for financial risk assessment, with particular emphasis on identifying sensible combinations of stresses to multiple factors. We focus primarily on reverse stress testing - finding the most likely scenarios leading to...

Financial risk measurement relies on models of prices and other market variables, but models inevitably rely on imperfect assumptions and estimates, creating model risk. Moreover, optimization decisions, such as portfolio selection, amplify the effect of model error. In this work, we develop a...