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 3 9 13 5,155
A Generalisation of Malliavin Weighted Scheme for Fast Computation of the Greeks 0 0 0 307 1 4 5 638
A Generalisation of Malliavin Weighted Scheme for Fast Computation of the Greeks 0 0 0 410 1 5 6 681
A Martingale Result for Convexity Adjustment in the Black Pricing Model 0 0 4 2,501 0 1 8 4,572
A market model for inflation 0 1 2 1,272 2 10 17 2,641
AAMDRL: Augmented Asset Management with Deep Reinforcement Learning 0 0 1 13 2 2 8 37
Bridging the gap between Markowitz planning and deep reinforcement learning 0 0 0 23 0 2 9 66
Connecting Sharpe ratio and Student t-statistic, and beyond 0 0 0 9 2 2 6 76
Connecting Sharpe ratio and Student t-statistic, and beyond 0 0 1 35 1 1 5 61
Detecting and adapting to crisis pattern with context based Deep Reinforcement Learning 0 0 1 6 1 4 6 21
Expansion formulas for European options in a local volatility model 0 0 0 50 2 6 7 175
Fast Fourier Transform for discrete Asian Options 0 0 0 965 0 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 0 1 8 4 4 5 28
Kalman filter demystified: from intuition to probabilistic graphical model to real case in financial markets 0 0 2 44 3 3 9 70
Kalman filter demystified: from intuition to probabilistic graphical model to real case in financial markets 0 0 1 75 3 5 9 67
Omega and Sharpe ratio 0 0 0 9 0 4 6 33
Omega and Sharpe ratio 0 0 2 24 15 19 34 125
On the Competition Between ECNs, Stock Markets and Market Makers 0 0 0 551 1 3 4 1,833
Option pricing with Levy Process 1 1 7 3,828 3 9 15 7,102
Pricing Convexity Adjustment with Wiener Chaos 0 0 0 1,611 1 1 2 3,375
Smart Monte Carlo: Various tricks using Malliavin calculus 0 0 0 1,010 2 2 5 1,738
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 2 3 6 56
Testing Sharpe ratio: luck or skill? 0 0 0 24 1 1 4 38
Testing Sharpe ratio: luck or skill? 0 0 0 93 8 8 12 71
Time your hedge with Deep Reinforcement Learning 0 0 1 6 3 3 5 29
Trade Selection with Supervised Learning and OCA 0 0 0 6 2 4 7 31
Trend without hiccups: a Kalman filter approach 0 1 2 15 10 11 19 63
Total Working Papers 1 4 28 15,414 73 137 246 30,666

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 6 6 9 66
EXPANSION FORMULAS FOR EUROPEAN OPTIONS IN A LOCAL VOLATILITY MODEL 0 0 1 3 2 5 6 20
Incremental Sharpe and other performance ratios 0 0 0 9 1 3 5 57
Optimal Malliavin Weighting Function for the Computation of the Greeks 1 1 1 64 5 5 6 123
Small dimension PDE for discrete Asian options 0 0 0 90 1 3 3 242
Small dimension PDE for discrete Asian options 0 0 0 4 1 7 7 60
Smart Monte Carlo: various tricks using Malliavin calculus 0 1 1 6 0 3 5 41
Smart expansion and fast calibration for jump diffusions 0 0 0 14 1 1 3 67
T-statistic for Autoregressive process 0 0 0 6 0 0 3 38
Total Journal Articles 1 2 3 206 17 33 47 714

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Statistics updated 2026-01-09