10 February, 2020
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