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