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 2,457 0 2 7 5,146
A Generalisation of Malliavin Weighted Scheme for Fast Computation of the Greeks 0 0 0 307 0 0 0 633
A Generalisation of Malliavin Weighted Scheme for Fast Computation of the Greeks 0 0 0 410 0 1 1 676
A Martingale Result for Convexity Adjustment in the Black Pricing Model 0 1 7 2,500 0 2 10 4,568
A market model for inflation 0 0 3 1,270 0 1 13 2,630
AAMDRL: Augmented Asset Management with Deep Reinforcement Learning 0 1 1 13 1 3 7 35
Bridging the gap between Markowitz planning and deep reinforcement learning 0 0 0 23 1 3 8 62
Connecting Sharpe ratio and Student t-statistic, and beyond 1 1 1 35 1 2 6 60
Connecting Sharpe ratio and Student t-statistic, and beyond 0 0 0 9 0 1 4 73
Detecting and adapting to crisis pattern with context based Deep Reinforcement Learning 0 0 1 6 1 1 2 17
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 1 1 2 1,696
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 1 4 44 0 2 11 67
Kalman filter demystified: from intuition to probabilistic graphical model to real case in financial markets 0 0 1 75 1 2 4 62
Omega and Sharpe ratio 0 0 0 9 1 1 1 28
Omega and Sharpe ratio 1 1 1 23 2 4 13 98
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 3,826 1 3 7 7,092
Pricing Convexity Adjustment with Wiener Chaos 0 0 0 1,611 1 1 1 3,374
Smart Monte Carlo: Various tricks using Malliavin calculus 0 0 1 1,010 0 1 4 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 1 1 3 53
Testing Sharpe ratio: luck or skill? 0 0 0 93 1 1 5 63
Testing Sharpe ratio: luck or skill? 0 0 1 24 1 1 4 37
Time your hedge with Deep Reinforcement Learning 0 1 1 6 1 2 3 26
Trade Selection with Supervised Learning and OCA 0 0 0 6 0 0 2 26
Trend without hiccups: a Kalman filter approach 0 1 3 14 0 1 11 49
Total Working Papers 3 11 36 15,405 15 37 131 30,502

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 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 0 4 37
Total Journal Articles 0 0 6 204 0 3 20 678

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Statistics updated 2025-08-05