SRI Uncertainty Quantification Annual Workshop - 2016
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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 mechanics, mathematical finance, biological modeling and network theory which are involved with stochastics.
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A series of seminar talks at RWTH Aachen University (Germany) by Chiheb Ben Hammouda
10 February, 2020
Chiheb Ben Hammouda will give a series of seminar talks at RWTH Aachen University (Germany) between 14 and 27 February. The talks will be related to the following manuscripts
Bayer, Christian, Chiheb Ben Hammouda, and Raul Tempone. "Hierarchical adaptive sparse grids and quasi Monte Carlo for option pricing under the rough Bergomi model." Quantitative Finance Journal (2020), DOI: 10.1080/14697688.2020.1744700.
Bayer, Christian, Chiheb Ben Hammouda, and Raul Tempone. "Numerical smoothing and hierarchical approximations for efficient option pricing and density estimation." arXiv preprint arXiv:2003.05708 (2020)
Chiheb Ben Hammouda, Nadhir Ben Rached, and Raul Tempone. "Importance sampling for a robust and efficient multilevel Monte Carlo estimator for stochastic reaction networks." arXiv preprint arXiv:1911.06286 (2019).
C. Ben Hammouda, A. Moraes, R. Tempone, Multilevel hybrid split-step implicit tau-leap, Numerical Algorithms, pp 1-34, June 2017