I really don't think you can save weight with foam. Since it is inherently weaker, you need more glass to achieve the same strength. If you want lighter with wood, use less wood by using thinner wood. The result will not be as strong as thicker wood, but it will be stronger than foam of the same weight.

You could make rounded shapes with plywood by using narrower panels of plywood, i.e. 3/4" wide strips, and then sanding. Plywood can be stronger than solid wood because of the different grain orientation of the plies. But Okoume plywood is heavier than cedar, when you make it thin enough to be the same weight, I believe most of the strength gain goes with it.

I suspect that you would find that you can not easily make compound curves with foam. The potential advantage of being able to use wider panels to make a rounded hull would likely be overcome by the difficulty in handling and forming. As Rob mentioned, wood bends in fair curves, however this doesn't always hold true if you heat it. If you heat one spot, you can make a kink. The same holds true for foam.

Attempting to make a smooth, fair surface using selective heating may be harder than you imagine. Using thinner foam and then laminating could work, but how do you bond the layers together. You could try staples as clamps, but the pressure will be uneven. Plus the glue between the layers would probably eliminate any weight savings from selecting foam over wood.

But don't let us talk you out of some fun experimentation. If you want to give it a go, stop asking our opinion and have at it.