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Publications
2025
Scholarly publications
2024
Scholarly publications
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, 45(5), 2279-2311. [DOI] [Portal]
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), A1514-A1548. [DOI] [Repository]
Bayer, C., Hammouda, C. B., Papapantoleon, A., Samet, M., & Tempone, R. (2024). Quasi-Monte Carlo for Efficient Fourier Pricing of Multi-Asset Options. arXiv. [DOI] [Repository]
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. [DOI] [Repository]
2023
Scholarly publications
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. [DOI]
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. [DOI] [Repository]
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. [DOI] [Repository]
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. [DOI] [Repository]
2022
Scholarly publications
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. [DOI] [Repository]
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). [DOI]
2020
Scholarly publications
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, 30, 1665-1689. [DOI]
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. [DOI]
2017
Scholarly publications
Ben Hammouda, C., Moraes, A., & Tempone, R. (2017). Multilevel hybrid split-step implicit tau-leap. Numerical Algorithms. [DOI]