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20152026
most citedHierarchical adaptive sparse grids and quasi Monte Carlo for option pricing under the rough Bergomi model

17 citations · 48 across the 14 of their papers we have counts for

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q-fin.MF2026

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…