Chiheb Ben Hammouda

Research Interests

Stochastic modeling, Quantitative finance, Option pricing, Numerical simulation and analysis, Stochastic networks theory and Computational biology.

Selected Publications

Chiheb Ben Hammouda, Nadhir Ben Rached, and Raul Tempone. "Importance sampling for a robust and efficient multilevel Monte Carlo estimator for stochastic reaction networks." Statistics and Computing (2020): 1-25. https://doi.org/10.1007/s11222-020-09965-3
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)
C. Ben Hammouda, A. Moraes, R. Tempone, Multilevel hybrid split-step implicit tau-leap, Numerical Algorithms, pp 1-34, June 2017
Chiheb Ben Hammouda, " Numerical Methods For Uncertainty Quantification In Option Pricing", Graduation Project Report, Tunisia Polytechnic School, Hosting Institution: KAUST, June 2013

Education

-2013 Bachelor degree in multidisciplinary engineering, Ecole Polytechnique de Tunisie, Tunisia.
-2015 Master degree in Applied Mathematics and Computational Science, KAUST, Saudia Arabia.

-2020 PhD degree in Applied Mathematics and Computational Science, KAUST, Saudia Arabia.

Scientific and Professional Membership

Member, Society for Industrial and Applied Mathematics (SIAM)

Awards

-2010-2013: EPT Scholarship, Ecole Polytechnique de Tunisie, Tunisia

-2013: KAUST Fellowship, King Abdullah University of Science & Technology, Saudi Arabia.

-2019: Best poster award of SIAM Conference on Financial Mathematics (FM19).