17 citations · 48 across the 14 of their papers we have counts for
6 papers · 1 filter
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…
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…
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…
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…
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…