Chiheb Ben Hammouda

According to our database, Chiheb Ben Hammouda authored at least 12 papers between 2017 and 2026.

Collaborative distances:

• Dijkstra number of four.
• Erdős number of four.

2026

Single- and Multi-Level Fourier-RQMC Methods for Multivariate Shortfall Risk.

Chiheb Ben Hammouda, Truong Ngoc Nguyen

CoRR, February, 2026

SigMA: Path signatures and multi-head attention for learning parameters in fBm-driven SDEs.

Xianglin Wu, Chiheb Ben Hammouda, Cornelis W. Oosterlee

Neurocomputing, 2026

2025

Filtered Markovian Projection: Dimensionality Reduction in Filtering for Stochastic Reaction Networks.

Chiheb Ben Hammouda, Maksim Chupin, Sophia Münker, Raúl Tempone

CoRR, February, 2025

2024

Multilevel Monte Carlo with Numerical Smoothing for Robust and Efficient Computation of Probabilities and Densities.

Christian Bayer, Chiheb Ben Hammouda, Raúl Tempone

SIAM J. Sci. Comput., 2024

Automated importance sampling via optimal control for stochastic reaction networks: A Markovian projection-based approach.

Chiheb Ben Hammouda, Nadhir Ben Rached, Raúl Tempone, Sophia Wiechert

J. Comput. Appl. Math., 2024

Quasi-Monte Carlo for Efficient Fourier Pricing of Multi-Asset Options.

Christian Bayer, Chiheb Ben Hammouda, Antonis Papapantoleon, Michael Samet, Raúl Tempone

CoRR, 2024

2023

Learning-based importance sampling via stochastic optimal control for stochastic reaction networks.

Chiheb Ben Hammouda, Nadhir Ben Rached, Raúl Tempone, Sophia Wiechert

Stat. Comput., June, 2023

2022

Optimal Damping with Hierarchical Adaptive Quadrature for Efficient Fourier Pricing of Multi-Asset Options in Lévy Models.

Christian Bayer, Chiheb Ben Hammouda, Antonis Papapantoleon, Michael Samet, Raúl Tempone

CoRR, 2022

2021

Numerical Smoothing with Hierarchical Adaptive Sparse Grids and Quasi-Monte Carlo Methods for Efficient Option Pricing.

Christian Bayer, Chiheb Ben Hammouda, Raúl Tempone

CoRR, 2021

Optimal Importance Sampling via Stochastic Optimal Control for Stochastic Reaction Networks.

Chiheb Ben Hammouda, Nadhir Ben Rached, Raúl Tempone, Sophia Wiechert

CoRR, 2021

2020

Importance sampling for a robust and efficient multilevel Monte Carlo estimator for stochastic reaction networks.

Chiheb Ben Hammouda, Nadhir Ben Rached, Raúl Tempone

Stat. Comput., 2020

2017

Multilevel hybrid split-step implicit tau-leap.

Chiheb Ben Hammouda, Alvaro Moraes, Raúl Tempone

Numer. Algorithms, 2017