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Stochastic Numerics Research Group
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  •  Alexander von Humboldt professorship

    Alexander von Humboldt professorship

    Professor Raul Tempone awarded Germany’s most endowed research award

  • SRI UQ Annual Workshop

    SRI UQ Annual Workshop

    Advances in Uncertainty Quantification Methods, Algorithms and Applications (UQAW 2016)

  • Soeren Wolfers

    Soeren Wolfers

    "Efficient Numerical Methods for High-Dimensional Approximation Problems"

  • Chiheb Ben Hammouda

    Chiheb Ben Hammouda

    "Hierarchical Approximation Methods for Option Pricing and Stochastic Reaction Networks"

  • The role of applied mathematics in finance

    The role of applied mathematics in finance

    Error analysis in Fourier methods for option pricing

  • Congratulations to Dr. Abdul Lateef Haji Ali

    Congratulations to Dr. Abdul Lateef Haji Ali

    the new Hooke fellow at Oxford University.

  • MIMClib:

    MIMClib:

    new open source library for UQ problems

  • Zaid Sawlan

    Zaid Sawlan

    Statistical analysis and Bayesian methods for fatigue life prediction and inverse problems in linear time dependent PDEs

  • Nadhir Ben Rached

    Nadhir Ben Rached

    Rare Events Simulations with Applications to the Performance Evaluation of Wireless Communication Systems

  • Stochastic Partial Differential Equations (SPDEs)

    Stochastic Partial Differential Equations (SPDEs)

    SPDEs are partial differential equations with random components. They arise in many physical problems.

  • Multi Index Method

    Multi Index Method

    Multi Index Monte Carlo: When Sparsity Meets Sampling

  • Juho Häppölä

    Juho Häppölä

    PhD thesis entitled "Efficient Numerical Methods for Stochastic Differential Equations in Computational Finance"

  • Soumaya ElKantassi  - April 2017

    Soumaya ElKantassi - April 2017

    “Probabilistic Forecast of Wind Power Generation by Stochastic Differential Equation Models”

  • Adaptive Multi Level Monte Carlo (MLMC)

    Adaptive Multi Level Monte Carlo (MLMC)

    The MLMC method is a systematic form of variance reduction to improve the convergence rate of Monte Carlo simulations.

  • Abdul-Lateef Haji-Ali  - May 2016

    Abdul-Lateef Haji-Ali - May 2016

    Efficient Multilevel and Multi-index Sampling Methods for Stochastic Differential Equations

  • Alessandro Iania - Dec. 2015

    Alessandro Iania - Dec. 2015

    “Basket option pricing for processes with jumps using sparse grids and Fourier transforms”

  • Multiscale Inference for Pure Jump Processes

    Multiscale Inference for Pure Jump Processes

    We are interested in developing a multiscale inference framework for pure jump processes.

  • Forward-Reverse EM algorithm

    Forward-Reverse EM algorithm

    Key ingredient for efficient inference of Stochastic Reaction Networks.

  • Marco Ballesio - March 2016

    Marco Ballesio - March 2016

    "Indirect Inference for Scalar Time-Homogeneous Stochastic Differential Equations Based on Moment Expansions"

  • KAUST UQ School 2016

    KAUST UQ School 2016

    Organizers: Raul Tempone - KAUST & Fabio Nobile - EPFL

Overview

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The main research focus of the group is on developing efficient and robust numerical methods for solving stochastic differential equations in engineering and sciences. Our work expands in numerical analysis, computational me​chanics, mathematical finance, biological modeling and network theory which are involved with stochastics.  







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News

11
Aug
2020
A talk by Dr. Chiheb Ben Hammouda in the Monte Carlo & Quasi-Monte Carlo (MCQMC) Methods in Scientific Computing Conference, 10-14 August 2020, University of Oxford.​​​​
03
Aug
2020
​Prof. Raul Tempone and Dr. Chiheb Ben Hammouda are organizing a minisymposia "Hierarchical Methods for Variance Reduction" at the MCQMC Conference, 10-14 August 2020, University of Oxford.​​​​
02
Jul
2020
Chiheb Ben Hammouda succesfully defended his PhD Thesis
22
Jun
2020
Manuscript entitled "Pricing American options by exercise rate optimization" accepted in Quantitative Finance, and will be run as a feature.
21
Jun
2020
PhD Thesis Defense: Hierarchical Approximation Methods for Option Pricing and Stochastic Reaction Networks By Chiheb Ben Hammouda, PhD candidate of Professor Raul Tempone
More News
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Stochastic Numerics Research Group
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