Следене
Chiheb Ben Hammouda
Chiheb Ben Hammouda
Assistant Professor, Mathematical Institute, Utrecht University
Потвърден имейл адрес: uu.nl - Начална страница
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Позовавания
Позовавания
Година
Hierarchical adaptive sparse grids and quasi-Monte Carlo for option pricing under the rough Bergomi model
C Bayer, C Ben Hammouda, R Tempone
Quantitative Finance 20 (9), 1457-1473, 2020
322020
Multilevel hybrid split-step implicit tau-leap
C Ben Hammouda, A Moraes, R Tempone
Numerical Algorithms 74, 527-560, 2017
222017
Importance sampling for a robust and efficient multilevel Monte Carlo estimator for stochastic reaction networks
C Ben Hammouda, N Ben Rached, R Tempone
Statistics and Computing 30 (6), 1665-1689, 2020
182020
Numerical smoothing with hierarchical adaptive sparse grids and quasi-Monte Carlo methods for efficient option pricing
C Bayer, C Ben Hammouda, R Tempone
Quantitative Finance 23 (2), 209-227, 2023
122023
Multilevel Monte Carlo with Numerical Smoothing for Robust and Efficient Computation of Probabilities and Densities
C Bayer, CB Hammouda, R Tempone
arXiv preprint arXiv:2003.05708, 2020
10*2020
Optimal Damping with Hierarchical Adaptive Quadrature for Efficient Fourier Pricing of Multi-Asset Options in L\'evy Models
C Bayer, CB Hammouda, A Papapantoleon, M Samet, R Tempone
arXiv preprint arXiv:2203.08196, 2022
92022
Hierarchical approximation methods for option pricing and stochastic reaction networks
C Ben Hammouda
72020
Learning-based importance sampling via stochastic optimal control for stochastic reaction networks
C Ben Hammouda, N Ben Rached, R Tempone, S Wiechert
Statistics and Computing 33 (3), 58, 2023
5*2023
Hierarchical adaptive sparse grids for option pricing under the rough Bergomi model
C Bayer, CB Hammouda, R Tempone
arXiv preprint arXiv:1812.08533, 2018
42018
Automated importance sampling via optimal control for stochastic reaction networks: A Markovian projection–based approach
CB Hammouda, NB Rached, R Tempone, S Wiechert
Journal of Computational and Applied Mathematics, 115853, 2024
12024
Quasi-Monte Carlo for Efficient Fourier Pricing of Multi-Asset Options
C Bayer, CB Hammouda, A Papapantoleon, M Samet, R Tempone
arXiv preprint arXiv:2403.02832, 2024
2024
Lagrangian Relaxation for Continuous-Time Optimal Control of Coupled Hydrothermal Power Systems Including Storage Capacity and a Cascade of Hydropower Systems with Time Delays
CB Hammouda, E Rezvanova, E von Schwerin, R Tempone
arXiv preprint arXiv:2311.00794, 2023
2023
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