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 0 3 2,458 5 9 18 5,160
A Generalisation of Malliavin Weighted Scheme for Fast Computation of the Greeks 0 0 0 307 1 3 6 639
A Generalisation of Malliavin Weighted Scheme for Fast Computation of the Greeks 0 0 0 410 1 4 7 682
A Martingale Result for Convexity Adjustment in the Black Pricing Model 0 0 3 2,501 5 6 12 4,577
A market model for inflation 0 0 2 1,272 4 9 21 2,645
AAMDRL: Augmented Asset Management with Deep Reinforcement Learning 0 0 1 13 1 3 8 38
Bridging the gap between Markowitz planning and deep reinforcement learning 0 0 0 23 0 1 9 66
Connecting Sharpe ratio and Student t-statistic, and beyond 0 0 1 35 9 10 13 70
Connecting Sharpe ratio and Student t-statistic, and beyond 0 0 0 9 1 3 6 77
Detecting and adapting to crisis pattern with context based Deep Reinforcement Learning 0 0 0 6 2 3 7 23
Expansion formulas for European options in a local volatility model 0 0 0 50 2 4 9 177
Fast Fourier Transform for discrete Asian Options 0 0 0 965 2 3 13 1,708
Incremental Sharpe and other performance ratios 0 0 0 8 1 1 2 17
Incremental Sharpe and other performance ratios 0 0 1 8 3 7 8 31
Kalman filter demystified: from intuition to probabilistic graphical model to real case in financial markets 1 1 2 45 6 9 13 76
Kalman filter demystified: from intuition to probabilistic graphical model to real case in financial markets 0 0 1 75 1 4 10 68
Omega and Sharpe ratio 0 0 2 24 11 28 44 136
Omega and Sharpe ratio 0 0 0 9 3 5 9 36
On the Competition Between ECNs, Stock Markets and Market Makers 0 0 0 551 2 5 6 1,835
Option pricing with Levy Process 1 2 8 3,829 5 10 20 7,107
Pricing Convexity Adjustment with Wiener Chaos 0 0 0 1,611 2 3 4 3,377
Smart Monte Carlo: Various tricks using Malliavin calculus 0 0 0 1,010 4 6 8 1,742
Smart expansion and fast calibration for jump diffusion 0 0 0 14 2 4 8 58
Smart expansion and fast calibration for jump diffusion 0 0 0 39 1 1 3 163
Testing Sharpe ratio: luck or skill? 0 0 0 93 5 13 17 76
Testing Sharpe ratio: luck or skill? 0 0 0 24 2 3 6 40
Time your hedge with Deep Reinforcement Learning 0 0 1 6 2 5 7 31
Trade Selection with Supervised Learning and OCA 0 0 0 6 1 4 7 32
Trend without hiccups: a Kalman filter approach 0 0 2 15 2 12 20 65
Total Working Papers 2 3 27 15,416 86 178 321 30,752

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 3 9 12 69
EXPANSION FORMULAS FOR EUROPEAN OPTIONS IN A LOCAL VOLATILITY MODEL 0 0 1 3 2 6 8 22
Incremental Sharpe and other performance ratios 0 0 0 9 2 5 7 59
Optimal Malliavin Weighting Function for the Computation of the Greeks 0 1 1 64 4 9 9 127
Small dimension PDE for discrete Asian options 0 0 0 4 3 8 10 63
Small dimension PDE for discrete Asian options 0 0 0 90 3 6 6 245
Smart Monte Carlo: various tricks using Malliavin calculus 0 1 1 6 2 3 7 43
Smart expansion and fast calibration for jump diffusions 0 0 0 14 0 1 2 67
T-statistic for Autoregressive process 0 0 0 6 11 11 14 49
Total Journal Articles 0 2 3 206 30 58 75 744

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Statistics updated 2026-02-12