1 citations · 1 across the 5 of their papers we have counts for
7 papers
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…
Quasi-Monte Carlo with Domain Transformation for Efficient Fourier Pricing of Multi-Asset Options
Christian Bayer, Chiheb Ben Hammouda, Antonis Papapantoleon +2
Efficiently pricing multi-asset options poses a significant challenge in quantitative finance. Fourier methods leverage the regularity properties of the integrand in the Fourier do…
Data-Driven Stochastic Optimal Control for Intraday Electricity Trading by Renewable Producers
Chiheb Ben Hammouda, Michael Samet, Raúl 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…
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…
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…
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…