Henrik Hult: Four lectures on importance sampling

1) Importance sampling in rare event simulation

The first lecture gives an introduction to importance sampling with applications to rare event simulation. Examples include hitting probabilities of a random walk, including both the light-tailed and heavy-tailed case.

2) Importance sampling for computation of risk measures

In the second lecture we consider non-linear functions of the empirical measure. Examples include computation of financial risk measures such as Value-at-Risk and Expected Shortfall.

(This seminar is the first in a series of two seminars. The second seminar will be given on Thursday, June 10, at 10.15-12.00.)