Access Statistics for Eric Benhamou

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A 2 DIMENSIONAL PDE FOR DISCRETE ASIAN OPTIONS 0 1 4 2,456 0 2 7 5,144
A Generalisation of Malliavin Weighted Scheme for Fast Computation of the Greeks 0 0 0 410 0 0 0 675
A Generalisation of Malliavin Weighted Scheme for Fast Computation of the Greeks 0 0 0 307 0 0 0 633
A Martingale Result for Convexity Adjustment in the Black Pricing Model 0 1 7 2,499 0 1 10 4,566
A market model for inflation 0 0 10 1,270 2 5 23 2,629
AAMDRL: Augmented Asset Management with Deep Reinforcement Learning 0 0 0 12 1 2 4 32
Bridging the gap between Markowitz planning and deep reinforcement learning 0 0 1 23 0 2 6 59
Connecting Sharpe ratio and Student t-statistic, and beyond 0 0 1 34 0 1 6 58
Connecting Sharpe ratio and Student t-statistic, and beyond 0 0 0 9 1 1 5 72
Detecting and adapting to crisis pattern with context based Deep Reinforcement Learning 0 0 1 6 0 0 1 16
Expansion formulas for European options in a local volatility model 0 0 0 50 0 0 0 168
Fast Fourier Transform for discrete Asian Options 0 0 1 965 0 0 1 1,695
Incremental Sharpe and other performance ratios 0 0 0 7 0 0 0 23
Incremental Sharpe and other performance ratios 0 0 0 8 0 0 0 15
Kalman filter demystified: from intuition to probabilistic graphical model to real case in financial markets 0 0 3 43 1 2 12 65
Kalman filter demystified: from intuition to probabilistic graphical model to real case in financial markets 0 1 1 75 1 2 2 60
Omega and Sharpe ratio 0 0 0 9 0 0 2 27
Omega and Sharpe ratio 0 0 1 22 1 2 21 94
On the Competition Between ECNs, Stock Markets and Market Makers 0 0 0 551 0 0 2 1,829
Option pricing with Levy Process 1 2 7 3,823 1 2 10 7,089
Pricing Convexity Adjustment with Wiener Chaos 0 0 0 1,611 0 0 0 3,373
Smart Monte Carlo: Various tricks using Malliavin calculus 0 0 1 1,010 1 1 5 1,735
Smart expansion and fast calibration for jump diffusion 0 0 0 14 0 2 3 52
Smart expansion and fast calibration for jump diffusion 0 0 0 39 0 0 1 160
Testing Sharpe ratio: luck or skill? 0 0 1 24 0 2 3 36
Testing Sharpe ratio: luck or skill? 0 0 0 93 0 3 4 62
Time your hedge with Deep Reinforcement Learning 0 0 0 5 0 0 1 24
Trade Selection with Supervised Learning and OCA 0 0 0 6 0 1 2 26
Trend without hiccups: a Kalman filter approach 0 0 3 13 1 3 12 48
Total Working Papers 1 5 42 15,394 10 34 143 30,465

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Analytical formulas for a local volatility model with stochastic rates 0 0 1 10 1 2 5 59
EXPANSION FORMULAS FOR EUROPEAN OPTIONS IN A LOCAL VOLATILITY MODEL 0 1 1 3 0 1 1 15
Incremental Sharpe and other performance ratios 0 0 0 9 0 0 2 52
Optimal Malliavin Weighting Function for the Computation of the Greeks 0 0 3 63 0 0 5 118
Small dimension PDE for discrete Asian options 0 0 1 4 0 0 1 53
Small dimension PDE for discrete Asian options 0 0 0 90 0 0 0 239
Smart Monte Carlo: various tricks using Malliavin calculus 0 0 1 5 0 0 1 36
Smart expansion and fast calibration for jump diffusions 0 0 0 14 0 1 2 66
T-statistic for Autoregressive process 0 0 1 6 1 2 6 37
Total Journal Articles 0 1 8 204 2 6 23 675

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Statistics updated 2025-05-12