Computing VaR and CVaR using stochastic approximation and adaptive unconstrained importance sampling. - Olivier Bardou; Noufel Frikha; Gilles Pagès (Monte Carlo Methods Appl., 2009)

Quantization based recursive importance sampling. - Noufel Frikha; Abass Sagna (Monte Carlo Methods Appl., 2012)

Shortfall Risk Minimization in Discrete Time Financial Market Models. - Noufel Frikha (SIAM J. Financial Math., 2014)

A learning scheme by sparse grids and Picard approximations for semilinear parabolic PDEs. - Jean-François Chassagneux; Junchao Chen 004; Noufel Frikha; Chao Zhou (CoRR, 2021)

Deep Runge-Kutta schemes for BSDEs. - Jean-François Chassagneux; Junchao Chen 004; Noufel Frikha (CoRR, 2022)

On the convergence of the Euler-Maruyama scheme for McKean-Vlasov SDEs. - Noufel Frikha; Xuanye Song (CoRR, 2025)