C. (Chiheb) Ben Hammouda

Universitair docent
Mathematical Modeling

Dr. Chiheb Ben Hammouda is currently an Assistant Professor in the Mathematical Institute at Utrecht University. Prior to that, he served as a Postdoc within the Chair of Mathematics for Uncertainty Quantification at RWTH Aachen University in Germany, from 2020 to 2023. He obtained my PhD in Applied Mathematics and Computational Science in 2020 from KAUST.

His scientific expertise blends numerical analysis, mathematical (stochastic) modeling, and the design and implementation of computational simulation methods. He focuses on numerical analysis to develop and analyze efficient and robust numerical methods for solving problems in engineering and sciences that involve stochastic models and stochastic differential equations. His research is driven by applications from areas such as quantitative finance (e.g., efficient pricing of financial derivatives), stochastic biological and chemical systems (e.g.,  reliable estimation of statistical quantities, including rare events), and more recently, the modeling of hybrid energy power systems (including renewables), and developing efficient numerical methods for the optimal management of these systems and the design of optimal trading strategies in energy markets.

The developed methods in his research are based on a variety of techniques: Monte Carlo (MC), multilevel MC, Quasi-MC, (adaptive) sparse grids' quadrature, Fourier methods, stochastic optimal control, importance sampling, and polynomial chaos expansion.


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