9 citations · 13 across the 15 of their papers we have counts for
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Single- and Multilevel Quadrature with Error Control for Fourier Pricing under the Rough Heston Model
Chiheb Ben Hammouda, Abderrahmene Ben Romdhane, Michael Samet +1
Unlike the classical Heston model, Fourier pricing under the rough Heston model requires solving a fractional Riccati equation at every quadrature point. Since the required resolut…
Pontryagin-Based Solver with Smoothed Hamiltonian, Adaptive , and PA-Bundle Refinement
Salim Ksous, Sebastian Lalvay Segovia, Mattias Sandberg +3
We present a Pontryagin-based numerical solver for deterministic optimal control problems in Bolza form. The solver regularizes the generally nonsmooth Hamiltonian using a log-sum-…
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…