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ORCIDChiheb Ben Hammouda
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2020 – today
- 2024
[j5]Chiheb Ben Hammouda
, Nadhir Ben Rached, Raúl Tempone, Sophia Wiechert:
Automated importance sampling via optimal control for stochastic reaction networks: A Markovian projection-based approach. J. Comput. Appl. Math. 446: 115853 (2024)- [j4]Christian Bayer, Chiheb Ben Hammouda, Raúl Tempone:
Multilevel Monte Carlo with Numerical Smoothing for Robust and Efficient Computation of Probabilities and Densities. SIAM J. Sci. Comput. 46(3): 1514- (2024) - [i7]Christian Bayer, Chiheb Ben Hammouda, Antonis Papapantoleon, Michael Samet, Raúl Tempone:
Quasi-Monte Carlo for Efficient Fourier Pricing of Multi-Asset Options. CoRR abs/2403.02832 (2024) - 2023
- [j3]Chiheb Ben Hammouda, Nadhir Ben Rached, Raúl Tempone, Sophia Wiechert:
Learning-based importance sampling via stochastic optimal control for stochastic reaction networks. Stat. Comput. 33(3): 58 (2023) - [i6]Chiheb Ben Hammouda, Nadhir Ben Rached, Raúl Tempone, Sophia Wiechert:
Automated Importance Sampling via Optimal Control for Stochastic Reaction Networks: A Markovian Projection-based Approach. CoRR abs/2306.02660 (2023) - 2022
- [i5]Christian Bayer, Chiheb Ben Hammouda, Antonis Papapantoleon, Michael Samet, Raúl Tempone:
Optimal Damping with Hierarchical Adaptive Quadrature for Efficient Fourier Pricing of Multi-Asset Options in Lévy Models. CoRR abs/2203.08196 (2022) - 2021
- [i4]Chiheb Ben Hammouda, Nadhir Ben Rached, Raúl Tempone, Sophia Wiechert:
Optimal Importance Sampling via Stochastic Optimal Control for Stochastic Reaction Networks. CoRR abs/2110.14335 (2021) - [i3]Christian Bayer, Chiheb Ben Hammouda, Raúl Tempone:
Numerical Smoothing with Hierarchical Adaptive Sparse Grids and Quasi-Monte Carlo Methods for Efficient Option Pricing. CoRR abs/2111.01874 (2021) - 2020
- [j2]Chiheb Ben Hammouda, Nadhir Ben Rached, Raúl Tempone:
Importance sampling for a robust and efficient multilevel Monte Carlo estimator for stochastic reaction networks. Stat. Comput. 30(6): 1665-1689 (2020) - [i2]Christian Bayer, Chiheb Ben Hammouda, Raúl Tempone:
Multilevel Monte Carlo with Numerical Smoothing for Robust and Efficient Computation of Probabilities and Densities. CoRR abs/2003.05708 (2020)
2010 – 2019
- 2019
- [i1]Chiheb Ben Hammouda, Nadhir Ben Rached, Raúl Tempone:
Importance sampling for a robust and efficient multilevel Monte Carlo estimator for stochastic reaction networks. CoRR abs/1911.06286 (2019) - 2017
- [j1]Chiheb Ben Hammouda, Alvaro Moraes, Raúl Tempone:
Multilevel hybrid split-step implicit tau-leap. Numer. Algorithms 74(2): 527-560 (2017)
Coauthor Index
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