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Publicaties
2024
Wetenschappelijke publicaties
Hammouda, C. B., Rezvanova, E., Schwerin, E. V., & Tempone, R. (2024). Lagrangian relaxation for continuous‐time optimal control of coupled hydrothermal power systems including storage capacity and a cascade of hydropower systems with time delays. Optimal Control Applications and Methods. https://doi.org/10.1002/oca.3155
Bayer, C., Hammouda, C. B., & Tempone, R. (2024). Multilevel Monte Carlo with Numerical Smoothing for Robust and Efficient Computation of Probabilities and Densities. SIAM Journal on Scientific Computing, 46(3), A1373-B330. https://doi.org/10.1137/22M1495718
Bayer, C., Hammouda, C. B., Papapantoleon, A., Samet, M., & Tempone, R. (2024). Quasi-Monte Carlo for Efficient Fourier Pricing of Multi-Asset Options. arXiv. https://doi.org/10.48550/ARXIV.2403.02832
https://dspace.library.uu.nl/bitstream/handle/1874/437872/2403.02832.pdf?sequence=1
https://dspace.library.uu.nl/bitstream/handle/1874/437872/2403.02832.pdf?sequence=1
Hammouda, C. B., Ben Rached, N., Tempone, R., & Wiechert, S. (2024). Automated importance sampling via optimal control for stochastic reaction networks: A Markovian projection–based approach. Journal of Computational and Applied Mathematics, 446, Article 115853. Advance online publication. https://doi.org/10.1016/j.cam.2024.115853
https://dspace.library.uu.nl/bitstream/handle/1874/436733/1-s2.0-S037704272400102X-main.pdf?sequence=1
https://dspace.library.uu.nl/bitstream/handle/1874/436733/1-s2.0-S037704272400102X-main.pdf?sequence=1
2023
Wetenschappelijke publicaties
Bayer, C., Ben Hammouda, C., Papapantoleon, A., Samet, M., & Tempone, R. (2023). Optimal damping with a hierarchical adaptive quadrature for efficient Fourier pricing of multi-asset options in Lévy models. Journal of Computational Finance, 27(3), 43-86. https://doi.org/10.21314/jcf.2023.012
Ben Hammouda, C., Bayer, C., & Tempone, R. (2023). Multilevel Monte Carlo combined with numerical smoothing for robust and efficient option pricing and density estimation. (pp. 1-39). arXiv. https://doi.org/10.48550/ARXIV.2003.05708
https://dspace.library.uu.nl/bitstream/handle/1874/436016/2003.05708.pdf?sequence=1
https://dspace.library.uu.nl/bitstream/handle/1874/436016/2003.05708.pdf?sequence=1
Hammouda, C. B., Rezvanova, E., von Schwerin, E., & Tempone, R. (2023). Lagrangian Relaxation for Continuous-Time Optimal Control of Coupled Hydrothermal Power Systems Including Storage Capacity and a Cascade of Hydropower Systems with Time Delays. (pp. 1-38). arXiv. https://doi.org/10.48550/arXiv.2311.00794
https://dspace.library.uu.nl/bitstream/handle/1874/435983/2311.00794v1.pdf?sequence=1
https://dspace.library.uu.nl/bitstream/handle/1874/435983/2311.00794v1.pdf?sequence=1
Ben Hammouda, C., Tempone, R., Wiechert, S., & Ben Rached, N. (2023). Learning-Based Importance Sampling via Stochastic Optimal Control for Stochastic Reaction Networks. Statistics and Computing, 33(3), Article 58. https://doi.org/10.1007/s11222-023-10222-6
https://dspace.library.uu.nl/bitstream/handle/1874/433202/s11222-023-10222-6.pdf?sequence=1
https://dspace.library.uu.nl/bitstream/handle/1874/433202/s11222-023-10222-6.pdf?sequence=1
2022
Wetenschappelijke publicaties
Ben Hammouda, C., Bayer, C., Samet, M., Papapantoleon, A., & Tempone, R. (2022). Optimal Damping with Hierarchical Adaptive Quadrature for Efficient Fourier Pricing of Multi-Asset Options in Lévy Models. (pp. 1-36). arXiv. https://doi.org/10.48550/ARXIV.2203.08196
https://dspace.library.uu.nl/bitstream/handle/1874/436017/2203.08196.pdf?sequence=1
https://dspace.library.uu.nl/bitstream/handle/1874/436017/2203.08196.pdf?sequence=1
Bayer, C., Ben Hammouda, C., & Tempone, R. (2022). Numerical smoothing with hierarchical adaptive sparse grids and quasi-Monte Carlo methods for efficient option pricing. Quantitative Finance, 23(2). https://doi.org/10.1080/14697688.2022.2135455
2020
Wetenschappelijke publicaties
Ben Hammouda, C., Ben Rached, N., & Tempone, R. (2020). Importance sampling for a robust and efficient multilevel Monte Carlo estimator for stochastic reaction networks. Statistics and Computing. https://doi.org/10.1007/s11222-020-09965-3
Ben Hammouda, C., Tempone, R., & Bayer, C. (2020). Hierarchical adaptive sparse grids and quasi-Monte Carlo for option pricing under the rough Bergomi model. Quantitative Finance. https://doi.org/10.1080/14697688.2020.1744700
2017
Wetenschappelijke publicaties
Ben Hammouda, C., Moraes, A., & Tempone, R. (2017). Multilevel hybrid split-step implicit tau-leap. Numerical Algorithms. https://doi.org/10.1007/s11075-016-0158-z