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Chiheb Ben Hammouda is a Ph.D. candidate at Stochastic Numerics Research Group (STOCHNUM) under the supervision of Professor Raul F. Tempone at King Abdullah University of Science and Technology (KAUST). Prior to joining Ph.D., Chiheb obtained a Master's degree in Applied Mathematics and Computational Sciences from KAUST, and a Bachelor's degree in multidisciplinary engineering from Ecole Polytechnique de Tunisie, Tunisia.
Research Interests
Chiheb's research interests include Stochastic modeling, Numerical simulation and analysis, Quantitative finance in particular option pricing, Stochastic networks theory and Computational biology.
Selected Publications
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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.
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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)
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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).
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C. Ben Hammouda, A. Moraes, R. Tempone, Multilevel hybrid split-step implicit tau-leap, Numerical Algorithms, pp 1-34, June 2017
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Chiheb Ben Hammouda, "Numerical Methods For Uncertainty Quantification In Option Pricing", Graduation Project Report, Tunisia Polytechnic School, Hosting Institution: KAUST, June 2013
Education Profile
- Bachelor's degree in multidisciplinary engineering, Ecole Polytechnique de Tunisie, Tunisia (2010-2013).
- 2015 Master of Applied Mathematics and Computational Science, KAUST, Saudia Arabia.
- 2020 Ph.D. degree in Applied Mathematics and Computational Science, KAUST, Saudia Arabia.
Professional Memberships
- Member, Society for Industrial and Applied Mathematics (SIAM).
Awards and Distinctions
- The Best poster award of SIAM Conference on Financial Mathematics (FM19) (2019)
- KAUST Fellowship, King Abdullah University of Science & Technology, Saudi Arabia (2013).
- EPT Scholarship, Ecole Polytechnique de Tunisie, Tunisia (2010-2013).
