Graduation Project Reports

​Soumaya Elkantassi, Fourier Transform Methods for Option Pricing, Graduation Project Report​, Hosting Institution: KAUST, June 2015
Chiheb Ben Hammouda, "Numerical Methods For Uncertainty Quantification In Option Pricing", Graduation Project Report, Tunisia Polytechnic School, Hosting Institution: KAUST, June 2013
Chaouki Ben Issaid, "Uncertainty quantification in European type contingent claims", Graduation Project Report​, Tunisia Polytechnic School, Hosting Institution: KAUST, June 2013

Nadhir Ben Rached, "Adaptive Monte Carlo Euler Method For Options With Low Regularity Payoffs", Graduation Project Report​, Tunisia Polytechnic School, Hosting Institution: KAUST, June 2012

Master Thesis

Soumaya Elkantassi, "Probabilistic Forecast of Wind Power Generation by Stochastic Differential Equation Models", MS-Thesis, KAUST, April 2017.
Marco Ballesio, "Indirect Inference for Scalar Time-homogeneous Stochastic Differential Equations Based on Moment Expansions", Master Thesis,  Politecnico of Torino and Real Collegio Carlo Alberto - KAUST, January 2016.
A. Iania, Basket option pricing for processes with jumps using sparse grids and Fourier transforms,  Master Thesis, Politecnico di Torino - KAUST, Dec 2015.
Chaouki Ben Issaid, "Bayesian Optimal Experimental Design Using Multilevel Monte Carlo", MS Thesis, KAUST, April 2015.
​Chiheb Ben Hammouda, "Drift-Implicit Multi-Level Monte Carlo Tau-Leap Methods for Stochastic Reaction Networks", MS Thesis, KAUST, April 2015.
​Nathan Quadrio, "Multilevel Monte Carlo method for PDEs with fluid dynamic applications", Master Thesis, KAUST, October 2014.
Nadhir Ben Rached, "Hybrid Adaptive Multilevel Monte Carlo Algorithm for Non-Smooth Observables of Itoˆ Stochastic Differential Equations", Master Thesis, KAUST, November, 2013

PhD Thesis

Juho Häppölä, "Efficient Numerical Methods for Stochastic Differential Equations in Computational Finance", ​PhD thesis, KAUST August 2017.
​Abdul-Lateef Haji-Ali, “Efficient Multilevel and Multi-index Sampling Methods for Stochastic Differential Equations”, PhD thesis, KAUST, May 2016.
​Pedro Vilanova, "Multilevel Approximations of Markovian Jump Processes with Applications in Communication Networks", PhD thesis, KAUST, May 2015.
​Alvaro Moraes, “Simulation and Statistical Inference of Stochastic Reaction Networks with Applications to Epidemic Models”, PhD thesis, KAUST, Jan  2015.
Chiheb Ben Hammouda, "Hierarchical Approximation Methods for Option Pricing and Stochastic Reaction Networks", July 2020

Sören Wolfers, "Efficient Numerical Methods for High-Dimensional Approximation Problems", February 2019

​Zaid Sawlan, "Statistical analysis and Bayesian methods for fatigue life prediction and inverse problems in linear time dependent PDEs with uncertainties", September 2018
​Nadhir Ben Rached, "Rare Events Simulations with Applications to the Performance Evaluation of Wireless Communication Systems", October 2018