17 citations · 48 across the 14 of their papers we have counts for
15 papers
A Damped SWIFT Method for European Option Pricing: Coefficients Decay, Truncation, and Error Analysis
Davide Trevisani, José Germán López Salas, Chiheb Ben Hammouda +1
We introduce a damped variant of the Shannon Wavelet Inverse Fourier Technique (SWIFT) for pricing European options when the characteristic function of the underlying model is avai…
Data-Driven Stochastic Optimal Control for Intraday Electricity Trading by Renewable Producers
Chiheb Ben Hammouda, Michael Samet, Raul Tempone
The rapid growth of weather-dependent renewable generation increases price volatility and imbalance penalty risk in power markets, creating the need for advanced quantitative tradi…
Single- and Multi-Level Fourier-RQMC Methods for Multivariate Shortfall Risk
Chiheb Ben Hammouda, Truong Ngoc Nguyen
Multivariate shortfall risk measures provide a principled framework for quantifying systemic risk and determining capital allocations prior to aggregation in interconnected financi…
SigMA: Path Signatures and Multi-head Attention for Learning Parameters in fBm-driven SDEs
Xianglin Wu, Chiheb Ben Hammouda, Cornelis W. Oosterlee
Stochastic differential equations (SDEs) driven by fractional Brownian motion (fBm) are increasingly used to model systems with rough dynamics and long-range dependence, such as th…
Filtered Markovian Projection: Dimensionality Reduction in Filtering for Stochastic Reaction Networks
Chiheb Ben Hammouda, Maksim Chupin, Sophia Münker +1
Stochastic reaction networks (SRNs) model stochastic effects for various applications, including intracellular chemical or biological processes and epidemiology. A typical challeng…
Quasi-Monte Carlo with Domain Transformation for Efficient Fourier Pricing of Multi-Asset Options
Christian Bayer, Chiheb Ben Hammouda, Antonis Papapantoleon +2
Efficiently pricing multi-asset options poses a significant challenge in quantitative finance. Fourier methods leverage the regularity properties of the integrand in the Fourier do…
Lagrangian Relaxation for Continuous-Time Optimal Control of Coupled Hydrothermal Power Systems Including Storage Capacity and a Cascade of Hydropower Systems with Time Delays
Chiheb Ben Hammouda, Eliza Rezvanova, Erik von Schwerin +1
This work considers a short-term, continuous time setting characterized by a coupled power supply system controlled exclusively by a single provider and comprising a cascade of hyd…
Automated Importance Sampling via Optimal Control for Stochastic Reaction Networks: A Markovian Projection-based Approach
Chiheb Ben Hammouda, Nadhir Ben Rached, Raúl Tempone +1
We propose a novel alternative approach to our previous work (Ben Hammouda et al., 2023) to improve the efficiency of Monte Carlo (MC) estimators for rare event probabilities for s…
Optimal Damping with Hierarchical Adaptive Quadrature for Efficient Fourier Pricing of Multi-Asset Options in Lévy Models
Michael Samet, Christian Bayer, Chiheb Ben Hammouda +2
Efficiently pricing multi-asset options is a challenging problem in quantitative finance. When the characteristic function is available, Fourier-based methods are competitive compa…
Numerical Smoothing with Hierarchical Adaptive Sparse Grids and Quasi-Monte Carlo Methods for Efficient Option Pricing
Christian Bayer, Chiheb Ben Hammouda, Raúl Tempone
When approximating the expectations of a functional of a solution to a stochastic differential equation, the numerical performance of deterministic quadrature methods, such as spar…
Learning-Based Importance Sampling via Stochastic Optimal Control for Stochastic Reaction Networks
Chiheb Ben Hammouda, Nadhir Ben Rached, Raúl Tempone +1
We explore efficient estimation of statistical quantities, particularly rare event probabilities, for stochastic reaction networks. Consequently, we propose an importance sampling…
Multilevel Monte Carlo with Numerical Smoothing for Robust and Efficient Computation of Probabilities and Densities
Christian Bayer, Chiheb Ben Hammouda, Raul Tempone
The multilevel Monte Carlo (MLMC) method is highly efficient for estimating expectations of a functional of a solution to a stochastic differential equation (SDE). However, MLMC es…
Importance sampling for a robust and efficient multilevel Monte Carlo estimator for stochastic reaction networks
Chiheb Ben Hammouda, Nadhir Ben Rached, Raul Tempone
The multilevel Monte Carlo (MLMC) method for continuous-time Markov chains, first introduced by Anderson and Higham (SIAM Multiscal Model. Simul. 10(1), 2012), is a highly efficien…
Hierarchical adaptive sparse grids and quasi Monte Carlo for option pricing under the rough Bergomi model
Christian Bayer, Chiheb Ben Hammouda, Raul Tempone
The rough Bergomi (rBergomi) model, introduced recently in [5], is a promising rough volatility model in quantitative finance. It is a parsimonious model depending on only three pa…
Multilevel Hybrid Split-Step Implicit Tau-Leap
Chiheb Ben Hammouda, Alvaro Moraes, Raul Tempone
In biochemically reactive systems with small copy numbers of one or more reactant molecules, the dynamics is dominated by stochastic effects. To approximate those systems, discrete…