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 3 2,458 1 6 10 5,152
A Generalisation of Malliavin Weighted Scheme for Fast Computation of the Greeks 0 0 0 307 1 4 4 637
A Generalisation of Malliavin Weighted Scheme for Fast Computation of the Greeks 0 0 0 410 2 4 5 680
A Martingale Result for Convexity Adjustment in the Black Pricing Model 0 1 4 2,501 1 3 8 4,572
A market model for inflation 0 2 3 1,272 3 9 16 2,639
AAMDRL: Augmented Asset Management with Deep Reinforcement Learning 0 0 1 13 0 0 6 35
Bridging the gap between Markowitz planning and deep reinforcement learning 0 0 0 23 1 3 10 66
Connecting Sharpe ratio and Student t-statistic, and beyond 0 0 1 35 0 0 4 60
Connecting Sharpe ratio and Student t-statistic, and beyond 0 0 0 9 0 1 5 74
Detecting and adapting to crisis pattern with context based Deep Reinforcement Learning 0 0 1 6 0 3 5 20
Expansion formulas for European options in a local volatility model 0 0 0 50 0 4 5 173
Fast Fourier Transform for discrete Asian Options 0 0 0 965 1 10 11 1,706
Incremental Sharpe and other performance ratios 0 0 0 8 0 1 1 16
Incremental Sharpe and other performance ratios 0 1 1 8 0 1 1 24
Kalman filter demystified: from intuition to probabilistic graphical model to real case in financial markets 0 0 3 44 0 0 7 67
Kalman filter demystified: from intuition to probabilistic graphical model to real case in financial markets 0 0 1 75 0 2 6 64
Omega and Sharpe ratio 0 0 0 9 2 5 6 33
Omega and Sharpe ratio 0 1 2 24 2 9 20 110
On the Competition Between ECNs, Stock Markets and Market Makers 0 0 0 551 2 2 4 1,832
Option pricing with Levy Process 0 0 6 3,827 2 6 12 7,099
Pricing Convexity Adjustment with Wiener Chaos 0 0 0 1,611 0 0 1 3,374
Smart Monte Carlo: Various tricks using Malliavin calculus 0 0 0 1,010 0 0 3 1,736
Smart expansion and fast calibration for jump diffusion 0 0 0 39 0 0 2 162
Smart expansion and fast calibration for jump diffusion 0 0 0 14 0 1 4 54
Testing Sharpe ratio: luck or skill? 0 0 0 93 0 0 4 63
Testing Sharpe ratio: luck or skill? 0 0 0 24 0 0 3 37
Time your hedge with Deep Reinforcement Learning 0 0 1 6 0 0 3 26
Trade Selection with Supervised Learning and OCA 0 0 0 6 1 3 5 29
Trend without hiccups: a Kalman filter approach 0 1 2 15 0 2 9 53
Total Working Papers 0 7 29 15,413 19 79 180 30,593

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 0 10 0 0 3 60
EXPANSION FORMULAS FOR EUROPEAN OPTIONS IN A LOCAL VOLATILITY MODEL 0 0 1 3 2 3 4 18
Incremental Sharpe and other performance ratios 0 0 0 9 2 2 4 56
Optimal Malliavin Weighting Function for the Computation of the Greeks 0 0 2 63 0 0 3 118
Small dimension PDE for discrete Asian options 0 0 0 90 2 2 2 241
Small dimension PDE for discrete Asian options 0 0 0 4 4 6 6 59
Smart Monte Carlo: various tricks using Malliavin calculus 1 1 1 6 1 3 5 41
Smart expansion and fast calibration for jump diffusions 0 0 0 14 0 0 2 66
T-statistic for Autoregressive process 0 0 0 6 0 0 3 38
Total Journal Articles 1 1 4 205 11 16 32 697

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Statistics updated 2025-12-06