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I’m a quantitative finance researcher with a focus on volatility modeling, tail risk, and robustness of Monte Carlo methods.
- New York
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18:13
(UTC -08:00) - in/aditriaditri
- https://arxiv.org/abs/2601.09927
- https://www.hackerrank.com/profile/thataditri
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Efficiency-versus-Robustness-under-Tail-Misspecification
Efficiency-versus-Robustness-under-Tail-Misspecification PublicImportance Sampling vs Discrete Moment Matching for Value-at-Risk estimation under tail misspecification
Jupyter Notebook
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