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q-fin.CP2026
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…
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…