News

August 2020

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  A talk by Dr. Chiheb Ben Hammouda in the Monte Carlo & Quasi-Monte Carlo (MCQMC) Methods in Scientific Computing Conference, in August 2020, University of Oxford

  1 min read · Tue, Aug 11 2020

  News

  Monte Carlo markov chains

  ​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.​​​​
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  Prof. Raul Tempone and Dr. Chiheb Ben Hammouda are organizing a minisymposia "Hierarchical Methods for Variance Reduction" at the MCQMC Conference, 10-14 August 2020, University of Oxford

  1 min read · Mon, Aug 3 2020

  News

  Monte carlo methods

  ​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.​​​

July 2020

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  Chiheb Ben Hammouda succesfully defended his PhD Thesis

  1 min read · Thu, Jul 2 2020

  News

  On July 2nd, 2020, Chiheb Ben Hammouda successfully defended his Ph.D. thesis entitled "Hierarchical Approximation Methods for Option Pricing and Stochastic Reaction Networks"

June 2020

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  Manuscript entitled "Pricing American options by exercise rate optimization" accepted in Quantitative Finance, and will be run as a feature

  1 min read · Mon, Jun 22 2020

  News

  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.
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  PhD Thesis Defense: Hierarchical Approximation Methods for Option Pricing and Stochastic Reaction Networks by Chiheb Ben Hammouda

  1 min read · Sun, Jun 21 2020

  News

  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).

February 2020

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  A series of seminar talks at RWTH Aachen University (Germany) by Chiheb Ben Hammouda

  1 min read · Mon, Feb 10 2020

  News

  ​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. ​

December 2019

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  Multilevel Monte Carlo Acceleration of Seismic Wave Propagation under Uncertainty

  1 min read · Sun, Dec 8 2019

  News

  Seismic Wave Propagation Multilevel Monte Carlo

  We interpret uncertainty in a model for seismic wave propagation by treating the model parameters as random variables and apply the Multilevel Monte Carlo method to reduce the cost of approximating expected values of selected, physically relevant, quantities of interest (QoI) with respect to the random variables.

August 2019

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

  1 min read · Wed, Aug 21 2019

  News Spotlight

  Stochastic Modeling Quantitative finance Numerical simulation and analysis

  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.

July 2019

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  A talk by Chiheb Ben Hammouda in the International Conference on Computational Finance 2019 (ICCF2019), Coruña, Spain

  1 min read · Mon, Jul 1 2019

  News

  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.

June 2019

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  Renzo Caballero succesfully defended his MS Thesis

  1 min read · Fri, Jun 21 2019

  News

  Uruguay is a pioneer in the use of renewable sources of energy and can usually satisfy its total demand from renewable sources. Control and optimization of the system are complicated by half of the installed power - wind and solar sources - being non-controllable with high uncertainty and variability. In this work, we present a novel optimization technique for efficient use of the production facilities.
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  Chiheb Ben Hammouda won the best poster award at the Society for Industrial and Applied Mathematics (SIAM) Conference on Financial Mathematics & Engineering (FM19)

  1 min read · Thu, Jun 6 2019

  News

  Chiheb Ben Hammouda 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, 2019.

February 2019

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  Soren Wolfers succesfully defended his PhD Thesis

  1 min read · Thu, Feb 7 2019

  News

  I​n the field of uncertainty quantification, the effects of parameter uncertainties on scientific simulations may be studied by integrating or approximating a quantity of interest as a function over the parameter space. If this is done numerically, using regular grids with a fixed resolution, the required computational work increases exponentially with respect to the number of uncertain parameters - a phenomenon known as the curse of dimensionality.
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  Stochastic Partial Differential Equations (SPDEs)

  1 min read · Thu, Feb 7 2019

  News

  SPDEs

  Mathematical models are widely used in physics and engineering applications as predictive tools. However, in many situations, the input parameters of the model are uncertain due to either a lack of knowledge or an intrinsic variability of the system. Examples are the study of subsurface phenomena, biological tissues, complex materials, whose properties are often heterogeneous, not perfectly characterized and, possibly, changing in time in an uncertain way. In this line of research we consider the case in which the uncertainty can be described reasonably well in a probabilistic setting and we

January 2019

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  Raphaël Huser’s article among the top downloaded articles in Springer’s Environmental Sciences Journals

  1 min read · Tue, Jan 22 2019

  News

  INLA statistics xstat research highlights

  Luigi Lombardo, Thomas Opitz, and Raphaël Huser’s article “Point process-based modeling of multiple debris flow landslides using INLA: an application to the 2009 Messina disaster”, published in the scientific journal Stochastic Environmental Research and Risk Assessment (SERRA), in July 2018, is among the top downloaded articles in Springer’s Environmental Sciences Journals for the year 2018. Huser is an Assistant Professor of statistics in the CEMSE division and principal investigator of the Extreme Statistics (extSTAT) Research Group at KAUST.

November 2018

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  Prof. Raul Tempone and his KAUST research group to visit the WIAS Institute in Berlin Germany

  1 min read · Mon, Nov 5 2018

  News

  Prof. Raul Tempone and his KAUST research group will visit the WIAS Institute in Berlin Germany to work with Dr. Christian Bayer and give a seminar.

October 2018

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  Prof. Raul Tempone will participate in a Humboldt colloquium Buenos Aires, Argentina

  1 min read · Thu, Oct 25 2018

  News

  Prof. Raul Tempone will participate in a Humboldt colloquium (Buenos Aires, Argentina), presenting his KAUST work developed with the KAUST Ph.D. student Soeren Wolfers "Stochastic Control for multivariate American Options".
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  Prof. Tempone to give two research seminars in Montevideo, Uruguay

  1 min read · Mon, Oct 22 2018

  News

  Prof. Tempone will give two research seminars in Montevideo, Uruguay. One at the Facultad de Ingenieria and another at the Facultad de Ciencias.
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  Nadhir Ben Rached succesfully defended his PhD Thesis

  1 min read · Tue, Oct 9 2018

  News

  The probability that a sum of random variables (RVs) exceeds (respectively falls below) a given threshold, is often encountered in the performance analysis of wireless communication systems. Generally, a closed-form expression of the sum distribution does not exist and a naive Monte Carlo (MC) simulation is computationally expensive when dealing with rare events.
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  Prof. Raul Tempone is a Keynote speaker at the next edition of the annual Woudschoten Conference

  1 min read · Wed, Oct 3 2018

  News

  Prof Raul Tempone is a Keynote Speaker at the next edition of the annual Woudschoten Conference in the Netherlands, Zeist, Netherlands.

September 2018

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  Zaid Sawlan successfully defended his PhD thesis

  1 min read · Thu, Sep 27 2018

  News

  On September 26th, 2018, Zaid Sawlan successfully defended his Ph.D. thesis entitled "Statistical analysis and Bayesian methods for fatigue life prediction and inverse problems in linear time-dependent PDEs with uncertainties."
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  AMCS Seminar: Sparse-grids-based Uncertainty Quantification of geochemical compaction of sedimentary basins

  1 min read · Tue, Sep 18 2018

  News

  Date: Tuesday 18 th Sep 2018 Time:10:00 AM - 11:00 AM Location: Building 1, Level 4, Room 4214 Lorenzo Tamellini is a researcher at CNR-IMATI, Pavia (Italy). His research topics are numerical methods for PDEs (in particular, Isogeometric Analysis) and Uncertainty Quantification (UQ). In details, he works on polynomial approximation methods for UQ (mostly stochastic collocation on sparse grids and multi-index stochastic collocation), with applications to groundwater flows and geochemical compaction problems, for both direct and inverse UQ problems. He maintains the Matlab library Sparse Grids

August 2018

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  Prof.  Raul Tempone gives a research seminar on his ongoing research at the Department of Mathematics in KTH Stockholm

  1 min read · Sat, Aug 4 2018

  News

  Prof. Raul Tempone gives a research seminar on his ongoing research at the Department of Mathematics in KTH Stockholm, Sweden, and will work with Prof. Szepessy and Prof. Oppelstrup.

July 2018

• 

  Prof. Raul Tempone is invited to give a mini-course at the workshop "Stochastic Methods in Finance and Physics", Crete, Greece

  1 min read · Mon, Jul 23 2018

  News

  Prof Raul Tempone is invited to give a mini-course at the workshop "Stochastic Methods in Finance and Physics" that will take place in Heraklion, Crete, Greece, organized by Peter Friz (TU Berlin), Michalis Loulakis (NTU Athens) and Antonios Papapantoleon ( University of Athens).​​
• 

  Prof. Raul Tempone is co-chair of the International Conference in Monte Carlo & Quasi-Monte Carlo Methods

  1 min read · Sun, Jul 1 2018

  News

  Prof. Raul Tempone is co-chair of the International Conference in Monte Carlo & Quasi-Monte Carlo Methods in Scientific Computing and Minisymposium co-organizer (Multilevel Monte Carlo) in Rennes, France.

May 2018

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  Professor Raul Tempone awarded Germany’s most endowed research award

  1 min read · Tue, May 8 2018

  News

  RWTH Aachen uncertainty quantification computational predictions

  On May 8, Italian-Uruguayan KAUST Professor Raul Fidel Tempone received the Alexander von Humboldt professorship at RWTH Aachen at a ceremony in Berlin, Germany. The award recognizes Tempone as an international leader in mathematics for uncertainty quantification, a fairly new mathematical specialization that is currently making a breakthrough. Tempone teaches and performs research in the University's Applied Mathematics and Computational Science program.

April 2018

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  Dr. Alexander Litvinenko is co-organizing a Minisymposium at the SIAM UQ18 meeting

  1 min read · Mon, Apr 16 2018

  News

  In the spring of next year, at the SIAM UQ18 meeting in Orange County, California, Dr. Alexander Litvinenko is co-organizing a Minisymposium called "Low-rank approximations for the forward and the inverse problem."

March 2018

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  Alexander Litvinenko is presenting his collaboration work on Likelihood Approximation With Hierarchical Matrices For Large Spatial Datasets at 2018 SIAM PP conference in Tokyo Japan

  1 min read · Sun, Mar 4 2018

  News

  Alexander Litvinenko is presenting his collaboration work at the SIAM PP conference in Tokyo, Japan, March 7-10, 2018. This work is done between the stochastic numerics group, Extreme Computing Research Center, and two statistical groups (led by Prof. M. Genton and Prof. Y. Sun) at KAUST.

February 2018

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  Prof. Tempone visits KTH Stockholm

  1 min read · Tue, Feb 20 2018

  News

  Prof. Tempone visited Prof. Szepessy and Prof. Oppelstrup. Here in the picture with Prof. Tempone, Prof. Oppelstrup and Prof. Melinder.
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  Evangelia Kalligiannaki's proposed research is ranked, in the first round, 7th out of the 11 projects that will be funded, in the field of Mathematics and Information Science in Greece

  1 min read · Tue, Feb 20 2018

  News

  Evangelia Kalligiannaki's proposed research is ranked, in the first round, 7th out of the 11 projects that will be funded, in the field of Mathematics and Information Science in Greece.
• 

  Evangelia Kalligiannaki has joined the Complex Systems research group at the Institute of Applied and Computational Mathematics

  1 min read · Sat, Feb 10 2018

  News

  Evangelia Kalligiannaki has joined the Complex Systems research group at the Institute of Applied and Computational Mathematics, Foundation for Research and Technology – Hellas.
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  Prof. Raul Tempone will give a talk at "Surrogate models for UQ in complex systems Workshop"

  1 min read · Mon, Feb 5 2018

  News

  Prof. Raul Tempone will give a talk at "Surrogate models for UQ in complex systems Workshop", which will be held at the Isaac Newton Institute (INI) for Mathematical Sciences, in Cambridge UK. February 5-9, 2018.

December 2017

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  Alexander Litvinenko will give an invited talk at the Institute of Computational Science, Lugano, Switzerland

  1 min read · Wed, Dec 20 2017

  News

  Alexander Litvinenko will give an invited talk “Likelihood Approximation With Hierarchical Matrices For Large Spatial Datasets”, at the Institute of Computational Science, Lugano - Switzerland, December 20th, 2017.

November 2017

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  Prof. Raul Tempone is a plenary speaker at CILAMCE 2017

  1 min read · Sun, Nov 5 2017

  News

  Prof. Raul Tempone is a plenary speaker at CILAMCE 2017 (XXXVIII Ibero-Latin American Congress on Computational Methods in Engineering), Florianopolis, Brazil, 5 - 8 November 2017.

October 2017

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  Prof. Raul Tempone is co-organizer of the workshop "Computational Uncertainty Quantification"

  1 min read · Sun, Oct 8 2017

  News

  Prof. Raul Tempone is a co-organizer of the workshop "Computational Uncertainty Quantification". Banff International Research Station for Mathematical Innovation and Discovery (BIRS), Canada, October 8-14, 2017.

September 2017

• 

  Direct numerical simulation of bi-disperse particle-laden gravity currents in the channel configuration

  1 min read · Fri, Sep 15 2017

  News

  numerical simulations

  ​We present a numerical investigation of bi-disperse particle-laden gravity currents in the lock-exchange configuration. Previous results, based on numerical simulation and laboratory experiments, are used to establish comparisons.
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  Welcome New Research Scientist: Dr. Erik von Schwerin

  1 min read · Fri, Sep 1 2017

  News

  Erik von Schwerin has joined the Stochastic Numerics Research Group as a research scientist. Erik is an applied mathematician with an M.Sc. in Engineering Physics and a Ph.D. in Numerical Analysis, both from the Royal Institute of Technology (KTH) in Stockholm, Sweden.

August 2017

• 

  Juho Häppölä successfully defended his PhD thesis

  1 min read · Fri, Aug 25 2017

  News

  Stochastic Differential Equations (SDE) offer a rich framework to model the probabilistic evolution of the state of a system. Numerical approximation methods are typically needed in evaluating relevant Quantities of Interest arising from such models. In this dissertation, we present novel effective methods for evaluating Quantities of Interest relevant to computational finance when the state of the system is described by an SDE.
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  Prof. Raul Tempone gave a seminar talk at the EU Regional School, AICES, RWTH Aachen University

  1 min read · Tue, Aug 8 2017

  News

  Prof. Raul Tempone gave a seminar talk at the EU Regional School, AICES, RWTH Aachen University, Germany on Aug. 8, 2017.

July 2017

• 

  Prof. Raul Tempone gave a talk entitled "Multilevel and multi-index sampling methods with applications" in the summer school CEMRACS 2017

  1 min read · Fri, Jul 21 2017

  News

  uncertainty quantification

  Prof. Raul Tempone gave a talk entitled "Multilevel and multi-index sampling methods with applications" in the summer school CEMRACS 2017, Numerical methods for stochastic models: control, uncertainty quantification, mean-field, July 21, 2017, CIRM, Marseille, France.
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  Prof. Raul Tempone is a semi-plenary speaker at the 14th U.S. National Congress on Computational Mechanics

  1 min read · Mon, Jul 17 2017

  News

  Prof. Raul Tempone is a semi-plenary speaker at the 14th U.S. National Congress on Computational Mechanics (USNCCM14) in Montreal, Canada, July 17-20, 2017.
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  Prof. Raul Tempone gave a talk entitled "A Potpourri of Results from the KAUST Uncertainty Quantification Center" at I³MS Seminar Series SS 2017

  1 min read · Mon, Jul 10 2017

  News

  Prof. Raul Tempone gave a talk entitled "A Potpourri of Results from the KAUST Uncertainty Quantification Center" at I³MS Seminar Series SS 2017, Seminar Series of the Institute for Modeling and Simulation. July 10, 2017, Aachen Institute for Advanced Study in Computational Engineering Science, Aachen, Germany.

June 2017

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  Dr. Evangelia Kalligiannaki is invited to present her joint work with Soumaya El Kantassi and Prof. Raul Tempone on predictive wind power modeling in the UNCECOMP 2017

  1 min read · Thu, Jun 15 2017

  News

  Dr. Evangelia Kalligiannaki is invited to present her joint work with Soumaya El Kantassi and Prof. Raul Tempone on predictive wind power modeling in the UNCECOMP 2017, 15-17 June, Rhodes Island, Greece.

May 2017

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  Prof. Raul Tempone is an invited speaker at INdAM Workshop

  1 min read · Mon, May 15 2017

  News

  Prof. Raul Tempone is an invited speaker at INdAM Workshop on Innovative Mathematical Models and Methods for Industrial Applications, Rome, Italy, May 15-19 2017.

April 2017

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  Soumaya ElKantassi successfully defended her MS Thesis

  1 min read · Sun, Apr 16 2017

  News

  On April 12th, 2017, Soumaya ElKantassi successfully defended her MS Thesis entitled "Probabilistic Forecast of Wind Power Generation by Stochastic Differential Equation Models".

March 2017

• 

  Prof. Tempone will give a talk at Stochastic PDEs: Analysis and Computation Workshop

  1 min read · Mon, Mar 27 2017

  News

  Prof. Tempone will give a talk at Stochastic PDEs: Analysis and Computation Workshop, University of Warwick, on March 27-31, 2017.
• 

  A. Litvinenko presented his KAUST research work at Nottingham University

  1 min read · Fri, Mar 24 2017

  News

  This talk consists of two parts. In the first part, we use low-rank tensor methods to solve elliptic PDE with uncertain coefficients. We start with discretization, applying the Karhunen-Loeve Expansion (KLE) to separate spatial and stochastic variables and applying (generalized ) Polynomial Chaos Expansion (PCE).
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  Prof. Raul Tempone will be doing research collaboration with Dr. Abdul-Lateef Haji-Ali and Dr. Joakim Beck at the Mathematical Institute

  1 min read · Thu, Mar 23 2017

  News

  Prof. Raul Tempone will be doing research collaboration with Dr. Abdul-Lateef Haji-Ali and Dr. Joakim Beck at the Mathematical Institute, University of Oxford, UK, March 23 - 26, 2017.
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  Prof. Tempone will attend the workshop "Advances in Computational Science and Engineering" honoring 80th birthday of Prof. J. Tinsley Oden

  1 min read · Mon, Mar 20 2017

  News

  Prof. Tempone will attend the workshop "Advances in Computational Science and Engineering" honoring 80th birthday of Prof. J. Tinsley Oden, ICES, University of Texas. March 20 - 21, 2017.
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  Alexander Litvinenko is a co-organizer of the HPC Saudi 2017 Conference

  1 min read · Mon, Mar 13 2017

  News

  Alexander Litvinenko is a co-organizer of the HPC Saudi 2017 Conference, to be held at KAUST, on March 13-15, 2017.
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  Dr. Joakim Beck will visit and give a seminar talk at NADA Department, KTH Royal Institute of Technology

  1 min read · Fri, Mar 10 2017

  News

  Dr. Joakim Beck will visit and give a seminar talk at NADA Department, KTH Royal Institute of Technology, and KAUST Student exchange program talk, Karolinska Institute - Stockholm, Sweden, March 10 - 19, 2017.