Stochastic Numerics Research Group

Alexander von Humboldt professorship
Professor Raul Tempone awarded Germany’s most endowed research award
SRI UQ Annual Workshop
Advances in Uncertainty Quantification Methods, Algorithms and Applications (UQAW 2016)
Soeren Wolfers
"Efficient Numerical Methods for High-Dimensional Approximation Problems"
Chiheb Ben Hammouda
"Hierarchical Approximation Methods for Option Pricing and Stochastic Reaction Networks"
The role of applied mathematics in finance
Error analysis in Fourier methods for option pricing
Congratulations to Dr. Abdul Lateef Haji Ali
the new Hooke fellow at Oxford University.
MIMClib:
new open source library for UQ problems
Zaid Sawlan
Statistical analysis and Bayesian methods for fatigue life prediction and inverse problems in linear time dependent PDEs
Nadhir Ben Rached
Rare Events Simulations with Applications to the Performance Evaluation of Wireless Communication Systems
Stochastic Partial Differential Equations (SPDEs)
SPDEs are partial differential equations with random components. They arise in many physical problems.
Multi Index Method
Multi Index Monte Carlo: When Sparsity Meets Sampling
Juho Häppölä
PhD thesis entitled "Efficient Numerical Methods for Stochastic Differential Equations in Computational Finance"
Soumaya ElKantassi - April 2017
“Probabilistic Forecast of Wind Power Generation by Stochastic Differential Equation Models”
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
Efficient Multilevel and Multi-index Sampling Methods for Stochastic Differential Equations
Alessandro Iania - Dec. 2015
“Basket option pricing for processes with jumps using sparse grids and Fourier transforms”
Multiscale Inference for Pure Jump Processes
We are interested in developing a multiscale inference framework for pure jump processes.
Forward-Reverse EM algorithm
Key ingredient for efficient inference of Stochastic Reaction Networks.
Marco Ballesio - March 2016
"Indirect Inference for Scalar Time-Homogeneous Stochastic Differential Equations Based on Moment Expansions"
KAUST UQ School 2016
Organizers: Raul Tempone - KAUST & Fabio Nobile - EPFL

Overview

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 mechanics, mathematical finance, biological modeling and network theory which are involved with stochastics.

News

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.

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.

2020

Chiheb Ben Hammouda succesfully defended his PhD Thesis

2020

Manuscript entitled "Pricing American options by exercise rate optimization" accepted in Quantitative Finance, and will be run as a feature.

2020

PhD Thesis Defense: Hierarchical Approximation Methods for Option Pricing and Stochastic Reaction Networks By Chiheb Ben Hammouda, PhD candidate of Professor Raul Tempone

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