Ph.D. student Yang Liu attended the WCCM-APCOM Yokohama 2022 and presented the work Goal-oriented adaptive MLMC method for elliptic random PDEs by Joakim Beck, Yang Liu, Erik von Schwerin, and Prof. Raul Tempone.
PhD candidate Gaukhar Shaimerdenova attended the conference SIAM UQ in person held between April 12-15, 2022 in Atlanta, Georgia, U.S.
Dr. Chiheb Ben Hammouda gave, on August 11, 2020, a talk entitled "Importance sampling for a robust and efficient multilevel Monte Carlo estimator for stochastic reaction networks" in the Monte Carlo & Quasi-Monte Carlo (MCQMC) Methods in Scientific Computing Conference, 10-14 August 2020, University of Oxford.
Prof. Raul Tempone and Dr. Chiheb Ben Hammouda are organizing a mini-symposia "Hierarchical Methods for Variance Reduction" at the Monte Carlo & Quasi-Monte Carlo Methods in Scientific Computing Conference, 10-14 August 2020, University of Oxford.
On July 2nd, 2020, Chiheb Ben Hammouda successfully defended his Ph.D. thesis entitled "Hierarchical Approximation Methods for Option Pricing and Stochastic Reaction Networks"
The manuscript entitled "Pricing American options by exercise rate optimization" is accepted in Quantitative Finance, and will be run as a feature. The manuscript is authored by Christian Bayer, Raul Tempone, and Soren Wolfers.
In biochemically reactive systems with small copy numbers of one or more reactant molecules, stochastic effects dominate the dynamics. In the first part of this thesis, we design novel efficient simulation techniques for a reliable and robust estimation of various statistical quantities for stochastic biological and chemical systems under the framework of Stochastic Reaction Networks (SRNs).
Chiheb Ben Hammouda will give a series of seminar talks at RWTH Aachen University (Germany) between 14 and 27 February. The talks will be related to the following manuscripts 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.
Chiheb Ben Hammouda, a KAUST Ph.D. student in the University's Stochastic Numerics Research Group, recently won the best poster award at the Society for Industrial and Applied Mathematics (SIAM) Conference on Financial Mathematics & Engineering (FM19) held at the University of Toronto from June 4 to 7. His winning poster, titled "Hierarchical adaptive sparse grids and quasi-Monte Carlo for option pricing under the rough Bergomi model," is one of several research projects carried out by Ben Hammouda under the supervision of KAUST Professor Raul Tempone.
Chiheb Ben Hammouda will give, on July 12, 2019, a talk entitled "Adaptive sparse grids and quasi-Monte Carlo for option pricing under the rough Bergomi model" at the International Conference on Computational Finance 2019 (ICCF2019), Coruña, Spain.