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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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Showing 2025Show all

2 papers · 1 filter

cs.LG2025

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…

math.NA2025

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…