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 2,455 0 0 5 5,142
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 1 410 0 0 1 675
A Martingale Result for Convexity Adjustment in the Black Pricing Model 1 3 7 2,498 1 3 11 4,565
A market model for inflation 0 1 11 1,270 0 3 22 2,624
AAMDRL: Augmented Asset Management with Deep Reinforcement Learning 0 0 0 12 1 2 2 30
Bridging the gap between Markowitz planning and deep reinforcement learning 0 0 2 23 0 2 6 57
Connecting Sharpe ratio and Student t-statistic, and beyond 0 0 1 34 1 1 5 57
Connecting Sharpe ratio and Student t-statistic, and beyond 0 0 0 9 1 2 5 71
Detecting and adapting to crisis pattern with context based Deep Reinforcement Learning 1 1 1 6 1 1 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 7 0 0 1 23
Incremental Sharpe and other performance ratios 0 0 0 8 0 0 0 15
Kalman filter demystified: from intuition to probabilistic graphical model to real case in financial markets 0 0 0 74 0 0 2 58
Kalman filter demystified: from intuition to probabilistic graphical model to real case in financial markets 1 2 4 43 2 3 11 63
Omega and Sharpe ratio 0 0 1 9 0 0 3 27
Omega and Sharpe ratio 0 0 1 22 1 3 20 92
On the Competition Between ECNs, Stock Markets and Market Makers 0 0 0 551 0 1 2 1,829
Option pricing with Levy Process 0 0 8 3,821 0 0 17 7,087
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 1 1 1,010 1 2 4 1,734
Smart expansion and fast calibration for jump diffusion 0 0 0 39 0 0 1 160
Smart expansion and fast calibration for jump diffusion 0 0 0 14 0 0 1 50
Testing Sharpe ratio: luck or skill? 0 0 0 93 0 1 4 59
Testing Sharpe ratio: luck or skill? 0 1 1 24 0 1 1 34
Time your hedge with Deep Reinforcement Learning 0 0 0 5 0 1 1 24
Trade Selection with Supervised Learning and OCA 0 0 0 6 1 1 1 25
Trend without hiccups: a Kalman filter approach 0 1 3 13 1 5 10 45
Total Working Papers 3 10 46 15,389 11 32 138 30,431

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 3 10 0 0 6 57
EXPANSION FORMULAS FOR EUROPEAN OPTIONS IN A LOCAL VOLATILITY MODEL 0 0 1 2 0 0 1 14
Incremental Sharpe and other performance ratios 0 0 0 9 0 0 4 52
Optimal Malliavin Weighting Function for the Computation of the Greeks 0 2 3 63 1 3 6 118
Small dimension PDE for discrete Asian options 0 0 0 90 0 0 0 239
Small dimension PDE for discrete Asian options 0 0 1 4 0 0 1 53
Smart Monte Carlo: various tricks using Malliavin calculus 0 0 1 5 0 0 1 36
Smart expansion and fast calibration for jump diffusions 0 0 0 14 1 1 1 65
T-statistic for Autoregressive process 0 0 1 6 0 0 4 35
Total Journal Articles 0 2 10 203 2 4 24 669

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Statistics updated 2025-02-05