Abdul-Lateef Haji-Ali

Heriot-Watt University

Abdul-Lateef Haji-Ali is an Assistant Professor in the department of Actuarial Mathematics and Statistics at Heriot-Watt University. He has received a second-place Leslie Fox Prize for Numerical Analysis for his work on adaptive Multilevel Monte Carlo (MLMC). His most cited work is on Multi-Index Monte Carlo which generalizes MLMC in multi-dimensions. Dr. Haji-Ali’s others works and research interests include stochastic analysis, machine learning, particle systems and their applications in finance and other areas.

Articles by Abdul-Lateef Haji-Ali

Original research

Subsampling and other considerations for efficient risk estimation in large portfolios

The authors apply multilevel Monte Carlo simulation to the problems inherent in computing risk measures of a financial portfolio with large numbers of derivatives.

13 Jul 2022