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 2,458 5 5 9 5,151
A Generalisation of Malliavin Weighted Scheme for Fast Computation of the Greeks 0 0 0 307 2 3 3 636
A Generalisation of Malliavin Weighted Scheme for Fast Computation of the Greeks 0 0 0 410 2 2 3 678
A Martingale Result for Convexity Adjustment in the Black Pricing Model 0 1 6 2,501 0 3 9 4,571
A market model for inflation 1 2 3 1,272 5 6 15 2,636
AAMDRL: Augmented Asset Management with Deep Reinforcement Learning 0 0 1 13 0 0 7 35
Bridging the gap between Markowitz planning and deep reinforcement learning 0 0 0 23 1 3 10 65
Connecting Sharpe ratio and Student t-statistic, and beyond 0 0 0 9 0 1 5 74
Connecting Sharpe ratio and Student t-statistic, and beyond 0 0 1 35 0 0 4 60
Detecting and adapting to crisis pattern with context based Deep Reinforcement Learning 0 0 1 6 3 3 5 20
Expansion formulas for European options in a local volatility model 0 0 0 50 4 5 5 173
Fast Fourier Transform for discrete Asian Options 0 0 0 965 9 9 10 1,705
Incremental Sharpe and other performance ratios 0 0 0 8 1 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 1 75 2 2 6 64
Kalman filter demystified: from intuition to probabilistic graphical model to real case in financial markets 0 0 3 44 0 0 7 67
Omega and Sharpe ratio 0 1 2 24 2 10 19 108
Omega and Sharpe ratio 0 0 0 9 2 3 4 31
On the Competition Between ECNs, Stock Markets and Market Makers 0 0 0 551 0 1 2 1,830
Option pricing with Levy Process 0 1 6 3,827 4 5 10 7,097
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 1 1,010 0 0 4 1,736
Smart expansion and fast calibration for jump diffusion 0 0 0 39 0 2 2 162
Smart expansion and fast calibration for jump diffusion 0 0 0 14 1 1 4 54
Testing Sharpe ratio: luck or skill? 0 0 1 24 0 0 4 37
Testing Sharpe ratio: luck or skill? 0 0 0 93 0 0 5 63
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 2 4 28
Trend without hiccups: a Kalman filter approach 1 1 3 15 1 4 13 53
Total Working Papers 3 8 34 15,413 45 72 175 30,574

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 1 3 60
EXPANSION FORMULAS FOR EUROPEAN OPTIONS IN A LOCAL VOLATILITY MODEL 0 0 1 3 1 1 2 16
Incremental Sharpe and other performance ratios 0 0 0 9 0 1 2 54
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 0 0 0 239
Small dimension PDE for discrete Asian options 0 0 0 4 2 2 2 55
Smart Monte Carlo: various tricks using Malliavin calculus 0 0 0 5 2 2 4 40
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 1 3 38
Total Journal Articles 0 0 3 204 5 8 21 686

logo

LogEc Home

Top Working Papers
Top Journal Articles
Top Books
Top Chapters
Top Software Items

Top Authors

Top Working Paper series and Journals

About LogEc

Authors with papers registered in the RePEc Author Service.

Register yourself as an author or register more papers in the RePEc Author Service.

Authors with no registered papers

RePEc
LogEc provides access and usage statistics for services based on the RePEc data set.

Örebro UniversityLogEc is hosted by the Örebro University School of Business.

Questions or comments? Please see our explanation of how the statistics are collected or e-mail

Statistics updated 2025-11-08