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 1 1 3 2,457 2 2 7 5,146
A Generalisation of Malliavin Weighted Scheme for Fast Computation of the Greeks 0 0 0 410 0 1 1 676
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 1 1 7 2,500 2 2 10 4,568
A market model for inflation 0 0 4 1,270 0 3 16 2,630
AAMDRL: Augmented Asset Management with Deep Reinforcement Learning 1 1 1 13 1 3 6 34
Bridging the gap between Markowitz planning and deep reinforcement learning 0 0 1 23 2 2 8 61
Connecting Sharpe ratio and Student t-statistic, and beyond 0 0 1 34 1 1 6 59
Connecting Sharpe ratio and Student t-statistic, and beyond 0 0 0 9 0 2 4 73
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 8 0 0 0 15
Incremental Sharpe and other performance ratios 0 0 0 7 0 0 0 23
Kalman filter demystified: from intuition to probabilistic graphical model to real case in financial markets 0 0 1 75 0 2 3 61
Kalman filter demystified: from intuition to probabilistic graphical model to real case in financial markets 0 1 4 44 1 3 12 67
Omega and Sharpe ratio 0 0 0 9 0 0 0 27
Omega and Sharpe ratio 0 0 0 22 0 3 12 96
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 3 7 3,825 1 3 8 7,091
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 0 2 6 1,736
Smart expansion and fast calibration for jump diffusion 0 0 0 39 0 0 0 160
Smart expansion and fast calibration for jump diffusion 0 0 0 14 0 0 2 52
Testing Sharpe ratio: luck or skill? 0 0 1 24 0 0 3 36
Testing Sharpe ratio: luck or skill? 0 0 0 93 0 0 4 62
Time your hedge with Deep Reinforcement Learning 1 1 1 6 1 1 2 25
Trade Selection with Supervised Learning and OCA 0 0 0 6 0 0 2 26
Trend without hiccups: a Kalman filter approach 1 1 4 14 1 2 12 49
Total Working Papers 6 9 38 15,402 12 32 128 30,487

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 0 1 5 59
EXPANSION FORMULAS FOR EUROPEAN OPTIONS IN A LOCAL VOLATILITY MODEL 0 0 1 3 0 0 1 15
Incremental Sharpe and other performance ratios 0 0 0 9 0 1 2 53
Optimal Malliavin Weighting Function for the Computation of the Greeks 0 0 2 63 0 0 4 118
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 2 3 38
Smart expansion and fast calibration for jump diffusions 0 0 0 14 0 0 2 66
T-statistic for Autoregressive process 0 0 1 6 0 1 5 37
Total Journal Articles 0 0 7 204 0 5 23 678

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Statistics updated 2025-07-04