Moallemi Ciamac C

Ciamac C Moallemi

Information about the author Ciamac C Moallemi will soon be added to the site.
Found 6 papers in total
Risk Estimation via Regression
Risk Estimation via Regression
2015
We introduce a regression‐based nested Monte Carlo simulation method for the...
Hidden Illiquidity with Multiple Central Counterparties
Hidden Illiquidity with Multiple Central Counterparties
2016
Regulatory changes are transforming the multitrillion dollar swaps market from a...
An Axiomatic Approach to Systemic Risk
An Axiomatic Approach to Systemic Risk
2013
Systemic risk refers to the risk of collapse of an entire complex system as a result...
Pathwise Optimization for Optimal Stopping Problems
Pathwise Optimization for Optimal Stopping Problems
2012
We introduce the pathwise optimization (PO) method, a new convex optimization...
Efficient Risk Estimation via Nested Sequential Simulation
Efficient Risk Estimation via Nested Sequential Simulation
2011
We analyze the computational problem of estimating financial risk in a nested...
Resource Allocation via Message Passing
Resource Allocation via Message Passing
2011
We propose a message‐passing paradigm for resource allocation problems. This...
Papers per page: