B. Arouna, Adaptative Monte Carlo Method, A Variance Reduction Technique, Monte Carlo Methods and Applications, vol.10, issue.1, pp.1-24, 2004.
DOI : 10.1515/156939604323091180

P. Artzner, F. Delbaen, J. Eber, and D. Heath, Coherent Measures of Risk, Mathematical Finance, vol.9, issue.3, pp.203-228, 1999.
DOI : 10.1111/1467-9965.00068

B. Arouna and O. Bardou, Efficient variance reduction for functionals of diffusions by relative entropy, technical report, 2004.

A. Benveniste, M. Métivier, and P. Priouret, Algorithmes adaptatifs et approximations stochastiques : théorie et applications l'identification, au traitement du signal et la reconnaissance des formes, 1987.

V. S. Borkar, Stochastic approximation with two time scales, Systems & Control Letters, vol.29, issue.5, pp.291-294, 1997.
DOI : 10.1016/S0167-6911(97)90015-3

C. Bouton, Approximation gaussienne d'algorithmes stochastiques, Annales de l'I.H.P., section B, pp.131-155, 1998.

M. Britten-jones and S. M. Schaefer, Non-Linear Value-at-Risk, Review of Finance, vol.2, issue.2, pp.161-187, 1999.
DOI : 10.1023/A:1009779322802

D. D. Pan and J. , Analytical Value-At-Risk with Jumps and Credit Risk, Finance and Stochastics, vol.5, issue.2, pp.155-180, 2001.

M. Duflo, Iterative random models, transl. from French, p.385, 1997.

M. Duflo, Algorithmes Stochastiques, p.319, 1996.

D. Dufresne and F. J. Vázquez-abad, Accelerated simulation for pricing Asian options, Proceedings of the 1998 Winter Simulation Conference. Piscataway, NJ, pp.1493-1500, 1998.

D. Egloff and M. Leippold, Quantile estimation with adaptive importance sampling, Electronic copy: http://ssrn, 2007.

M. C. Fu and Y. Su, Optimal importance sampling in securities pricing, Journal of Computational Finance, vol.5, issue.4, pp.27-50, 2000.

P. Glasserman, P. Heidelberger, and P. Shahabuddin, Portfolio Value-at-Risk with Heavy-Tailed Risk Factors, Mathematical Finance, vol.1, issue.2, pp.239-270, 2002.
DOI : 10.1111/1467-9965.00141

P. Glasserman, P. Heidelberger, and P. Shahabuddin, Variance reduction techniques for estimating Value-at-Risk, Management Science, pp.1349-1364, 1999.

P. Glasserman, P. Heidelberger, and P. Shahabuddin, Importance Sampling and Stratification for Value-at-Risk, Computational Finance, pp.7-24, 1999.

P. Glasserman and Y. Wang, Counterexamples in importance sampling for large deviations probabilities, The Annals of Applied Probability, vol.7, issue.3, pp.731-746, 1997.
DOI : 10.1214/aoap/1034801251

A. B. Juditsky and B. T. Polyak, Acceleration of Stochastic Approximation by Averaging, Journal on Control and optimization, vol.30, issue.4, pp.838-855, 1992.

R. Kawai, Optimal Importance Sampling Parameter Search for L??vy Processes via Stochastic Approximation, SIAM Journal on Numerical Analysis, vol.47, issue.1, pp.293-307, 2008.
DOI : 10.1137/070680564

V. R. Konda and J. N. Tsitsiklis, Convergence rate of linear two-time-scale stochastic approximation, Ann. Appl. Probab, vol.14, issue.2, pp.796-819, 2004.

D. P. Kroese and R. Y. Rubinstein, The Cross-Entropy Method: A Unified Approach to Combinatorial Optimization, Monte Carlo Simulation and Machine Learning, 2004.

H. J. Kushner and D. S. Clark, Stochastic Approximation Methods for Constrained and Unconstrained Systems, 1978.
DOI : 10.1007/978-1-4684-9352-8

H. J. Kushner and G. G. Yin, Stochastic Approximation with Averaging of the Iterates: Optimal Asymptotic Rate of Convergence for General Processes, SIAM Journal on Control and Optimization, vol.31, issue.4, pp.31-1045, 1993.
DOI : 10.1137/0331047

B. Lapeyre, G. Pagès, and K. Sab, Sequences with low discrepancy generalisation and application to bobbins-monbo algorithm, Statistics, vol.6, issue.2, pp.251-272, 1990.
DOI : 10.1214/aoms/1177729586

J. Lelong, Algorithmes stochastiques et Options parisiennes, 2007.
URL : https://hal.archives-ouvertes.fr/pastel-00003310

V. Lemaire and G. Pagès, Unconstrained recursive importance sampling, The Annals of Applied Probability, vol.20, issue.3, 2008.
DOI : 10.1214/09-AAP650

URL : https://hal.archives-ouvertes.fr/hal-00497551

L. Ljung, Strong Convergence of a Stochastic Approximation Algorithm, The Annals of Statistics, vol.6, issue.3, pp.680-696, 1978.
DOI : 10.1214/aos/1176344212

W. Margrabe, THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER, The Journal of Finance, vol.24, issue.1, pp.177-186, 1978.
DOI : 10.1111/j.1540-6261.1978.tb03397.x

A. Mokkadem and M. Pelletier, Convergence rate and averaging of non linear two-timescale stochastic approximation algorithms, The Annals of Applied Probability, pp.1671-1702, 2006.

G. Pflug and . Ch, Some Remarks on the Value-at-Risk and the Conditional Value-at-Risk, Probabilistic Constrained Optimization: Methodology and Applications, 2000.
DOI : 10.1007/978-1-4757-3150-7_15

R. T. Rockafellar and S. Uryasev, Conditional value-at-risk for general loss distributions, Journal of Banking & Finance, vol.26, issue.7, pp.1443-1471, 2002.
DOI : 10.1016/S0378-4266(02)00271-6

R. T. Rockafellar and S. Uryasev, Optimization of conditional value-at-risk, The Journal of Risk, vol.2, issue.3, pp.21-41, 2000.
DOI : 10.21314/JOR.2000.038

C. Rouvinez, Going Greek with VaR, Risk, pp.57-65, 1997.

D. Ruppert, Stochastic Approximation. Handbook of Sequential Analysis, pp.503-529, 1991.

R. J. Serfling, Approximation Theorems for Mathematical Statistics, 1980.

S. Uryasev, Conditional Value-at-Risk: Optimization Algorithms and Applications, Financial Engineering News, pp.1-5, 2000.