17 citations · 48 across the 14 of their papers we have counts for
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q-fin.CP2021★ 9 cited
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…
math.NA2021★ 4 cited
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…