Quantitative finance

Statistical Modeling of Financial Extremes and Volatility Dynamics

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B2 R5220

This thesis provides comprehensive statistical tools for understanding and modeling extreme risks and volatility dynamics in financial markets.

Christian Bayer

Christian Bayer's research focuses on financial mathematics and stochastic numerics, including modelling stock indices and numerical approximation of stochastic optimal control problems.

KAUST Ph.D. student wins Society for Industrial and Applied Mathematics award

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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.

Junshu Jiang

Ph.D. Student, Statistics

Chiheb Ben Hammouda

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