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Total result(s) found: 15
  • Christian Bayer and Eric Joseph Hall and Raúl Tempone​. "Weak error rates for option pricing under the rough Bergomi model.​​" arXiv preprint arXiv:2009.01219​
Keywords:
Rough Bergomi, Weak error rate
  • Chiara Piazzola and Lorenzo Tamellini and Raúl Tempone,  "A note on tools for prediction under uncertainty and identifiability of SIR-like dynamical systems for epidemiology", arXiv preprint arXiv:2008.01400
Keywords:
Dynamical Systems, Mathematical Epidemiology, Uncertainty Quantification, Model Identifiability, Bayesian Inversion, Fisher Approximation
  • ​Chiheb Ben Hammouda,  Nadhir Ben Rached, and Raul Tempone. "Importance sampling for a robust and efficient multilevel Monte Carlo estimator for stochastic reaction networks.​"​ Statistics and Computing (2020): 1-25.​​​
Keywords:
Multilevel Monte Carlo. Continuous time Markov chains. Stochastic reaction networks. Stochastic biological systems. Importance sampling
Refereed Journals
  • Litvinenko, Alexander, Dimitry Logashenko, Raúl Tempone, Gabriel Wittum, and David Keyes. . "Solution of the 3D density-driven groundwater flow problem with uncertain porosity and permeability". Int J Geomath 11, 10 (2020)
Keywords:
Uncertainty quantification·ug4·Multigrid·Density-driven flow· Reservoir·Groundwater·Salt formations
Refereed Journals
  • Beck, Joakim, Ben Mansour Dia, Luis Espath, Raúl Tempone. "Multilevel double loop Monte Carlo and stochastic collocation methods with importance sampling for Bayesian optimal experimental design". Int J Numer Methods Eng. (2020); 121: 34823503
Keywords:
Electrical impedance tomography, Expected information gain, Importance sampling, Multilevel, Stochastic collocation
Refereed Journals
  • Bayer, Christian, Raúl Tempone, and Sören Wolfers, "Pricing American Options by Exercise Rate Optimization", Quantitative Finance, (2020)
Keywords:
Computational finance, American option pricing, stochastic optimization problem, Monte Carlo, multivariateapproximation, rough volatility
Refereed Journals
  • Hoel, Håkon, Gaukhar Shaimerdenova, and Raúl Tempone, "Multilevel Ensemble Kalman Filtering with local-level Kalman Gains", arXiv preprint 2002.00480
Keywords:
Stochastic differential and integral equations, Complexity and performance of numerical algorithms
  • Haji-Ali, Abdul-Lateef, Fabio Nobile, Raúl Tempone, and Sören Wolfers, "Multilevel weighted least squares polynomial approximation", ESAIM: M2AN, Volume 54, no. 2, (2020): 649–677

Keywords:
Multilevel methods, least squares approximation, multivariate approximation, polynomial approximation, convergence rates, error analysis
Refereed Journals
  • Ben Rached, Nadhir, Daniel MacKinlay, Zdravko Botev, Raúl Tempone, and Mohamed-Slim Alouini, "A Universal Splitting Estimator for the Performance Evaluation of Wireless Communications Systems", IEEE Transactions on Wireless Communications, 2020​
Keywords:
Rare event, performance evaluation, multilevel splitting algorithm, variance reduction
Refereed Journals
  • Ben Rached, Nadhir, Abla Kammoun, Mohamed-Slim Alouini, and Raúl Tempone, ​"An Accurate Sample Rejection Estimator of the Outage Probability With Equal Gain Combining"IEEE Open Journal of the Communications Society, Volume 1 (2020), Pages 1022-1034.
Keywords:
Outage probability, equal gain combining, importance sampling, sample rejection, generalised selection combining, bounded relative error.
Refereed Journals
  • ​Renzo Caballero, Ahmed Kebaier, Marco Scavino, and Raúl Tempone, "A Derivative Tracking Model for Wind Power Forecast Error", arXiv, 2006.15907​, 2020
Keywords:
Wind power, probabilistic forecasting, stochastic differential equations, Lamperti transform, numerical optimization, model selection, time-inhomogeneous Jacobi diffusion
  • Ballesio, Marco, Ajay Jasra, Erik von Schwerin, and Raúl Tempone; "A Wasserstein Coupled Particle Filter for Multilevel Estimation", arXiv, 2004.03981, 2020.
Keywords:
Filtering, Diffusions, Multilevel Monte Carlo, Particle Filters
  • Carlon, André Gustavo, Ben Mansour Dia, Luis Espath, Rafael Holdorf Lopez, Raúl Tempone, "Nesterov-aided stochastic gradient methods using Laplace approximation for Bayesian design optimization", Computer Methods in Applied Mechanics and Engineering, Volume 363, (2020).
Keywords:
Optimal experimental design, Bayesian inference, Laplace approximation, Stochastic optimization, Accelerated gradient descent, Importance sampling
Refereed Journals
Keywords:
Rough volatility, Monte Carlo, Adaptive sparse grids, Quasi Monte Carlo, Brownian bridge construction, Richardson extrapolation.
Refereed Journals
  • 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).​
Keywords:
Deterministic quadrature methods, Hierarchical variance reduction methods, Multilevel Monte Carlo, Numerical smoothing, Adaptive sparse grids quadrature, Brownian bridge, Richardson extrapolation, Option pricing, Monte Carlo