Chiheb Ben Hammouda

Chiheb Ben Hammouda

Utrecht University - Utrecht / Netherlands
Natural Sciences / Mathematical Sciences
AD Scientific Index ID: 5177814
Universiteit Utrecht
person_outline Chiheb Ben Hammouda's MOST POPULAR ARTICLES
1-) Hierarchical adaptive sparse grids and quasi-Monte Carlo for option pricing under the rough Bergomi modelC Bayer, C Ben Hammouda, R TemponeQuantitative Finance 20 (9), 1457-1473, 2020322020
2-) Multilevel hybrid split-step implicit tau-leapC Ben Hammouda, A Moraes, R TemponeNumerical Algorithms 74, 527-560, 2017222017
3-) Importance sampling for a robust and efficient multilevel Monte Carlo estimator for stochastic reaction networksC Ben Hammouda, N Ben Rached, R TemponeStatistics and Computing 30 (6), 1665-1689, 2020182020
4-) Numerical smoothing with hierarchical adaptive sparse grids and quasi-Monte Carlo methods for efficient option pricingC Bayer, C Ben Hammouda, R TemponeQuantitative Finance 23 (2), 209-227, 2022142022
5-) Multilevel Monte Carlo with Numerical Smoothing for Robust and Efficient Computation of Probabilities and DensitiesC Bayer, C Ben Hammouda, R TemponeSIAM Journal on Scientific Computing 46 (3), A1514-A1548, 202412*2024