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