Chiheb Ben Hammouda

Publication Activity (10 Years)

Years Active: 2017-2024
Publications (10 Years): 12

Top Topics

Particle Filter

Importance Sampling

Variance Reduction

Top Venues

J. Comput. Appl. Math.

Numer. Algorithms

Publications

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) (2024)
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 (2024)
Christian Bayer, Chiheb Ben Hammouda, Antonis Papapantoleon, Michael Samet, Raúl Tempone
Quasi-Monte Carlo for Efficient Fourier Pricing of Multi-Asset Options. CoRR (2024)
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 (2023)
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) (2023)
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 (2022)
Christian Bayer, Chiheb Ben Hammouda, Raúl Tempone
Numerical Smoothing with Hierarchical Adaptive Sparse Grids and Quasi-Monte Carlo Methods for Efficient Option Pricing. CoRR (2021)
Chiheb Ben Hammouda, Nadhir Ben Rached, Raúl Tempone, Sophia Wiechert
Optimal Importance Sampling via Stochastic Optimal Control for Stochastic Reaction Networks. CoRR (2021)
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) (2020)
Christian Bayer, Chiheb Ben Hammouda, Raúl Tempone
Multilevel Monte Carlo with Numerical Smoothing for Robust and Efficient Computation of Probabilities and Densities. CoRR (2020)
Chiheb Ben Hammouda, Nadhir Ben Rached, Raúl Tempone
Importance sampling for a robust and efficient multilevel Monte Carlo estimator for stochastic reaction networks. CoRR (2019)
Chiheb Ben Hammouda, Alvaro Moraes, Raúl Tempone
Multilevel hybrid split-step implicit tau-leap. Numer. Algorithms 74 (2) (2017)