Monte Carlo

Multi-Index Monte Carlo: when sparsity meets sampling by Prof. Raul Tempone

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B9 R2322 H1

Last year I provided a quick glance into the research of my KAUST Stochastic Numerics group, giving particular emphasis on the activities of my KAUST students. There I also connected our KAUST research and our educational activities, including the Numerical Methods for Stochastic Differential Equations (AMCS 336) and Stochastic Methods for Engineers (AMCS 308) KAUST courses.

Chaouki Ben Issaid successfully defended his MS Thesis

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On April 30th, 2015, Chaouki Ben Issaid successfully defended his MS Thesis entitled "Bayesian Optimal Experimental Design Using Multilevel Monte Carlo".

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

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​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.​​​​

Manuscript accepted by Journal of Computational Physics

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The manuscript entitled " Multi-index ensemble Kalman filtering" by Håkon A. Hoel, Gaukhar Shaimerdenova, and Raul Tempone has been accepted by the Journal of Computational Physics (JCP). The JCP is a bimonthly scientific journal covering original scientific contributions in advanced mathematical and numerical modeling reflecting a combination of concepts, methods, and principles of physics, mechanics, applied mathematics, statistics, applied geometry, computer science, chemistry, and other scientific disciplines as well. It was established in 1966 and is published by Elsevier. According to

New publication in Quantitative Finance Journal

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At the end of October, the paper Numerical smoothing with hierarchical adaptive sparse grids and quasi-Monte Carlo methods for efficient option pricing by Christian Bayer ( Weierstrass Institute for Applied Analysis and Stochastics - WIAS) , Chiheb Ben Hammouda ( RWTH Aachen University ) , and Raul Tempone ( King Abdullah University of Science and Technology - KAUST; RWTH Aachen University ), was published in the Quantitative Finance Journal and is available at Taylor & Francis Online. Abstract: When approximating the expectations of a functional of a solution to a stochastic differential

Nadhir Ben Rached

Introduction Nadhir went to RWTH Aachen University, Aachen, Germany as a ​​Postdoctoral Research Fellow​. Education and early career Nadhir obtained his M.S and Ph.D. degree in Applied Mathematics and Computational Science, King Abdullah University of Science and Technology (KAUST), Thuwal, Saudi Arabia between 2012 - 2018. Research Interest Efficient Monte Carlo approach for rare event simulation Accurate Performance Analysis of Wireless Communication Systems Computational Finance Stochastic Differential Equations Numerical Analysis Selected Publications Graduation Project, Adaptive Monte