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 2 2,457 0 0 4 5,146
A Generalisation of Malliavin Weighted Scheme for Fast Computation of the Greeks 0 0 0 307 1 1 1 634
A Generalisation of Malliavin Weighted Scheme for Fast Computation of the Greeks 0 0 0 410 0 0 1 676
A Martingale Result for Convexity Adjustment in the Black Pricing Model 1 1 8 2,501 2 3 11 4,571
A market model for inflation 1 1 3 1,271 1 1 11 2,631
AAMDRL: Augmented Asset Management with Deep Reinforcement Learning 0 0 1 13 0 1 7 35
Bridging the gap between Markowitz planning and deep reinforcement learning 0 0 0 23 1 3 9 64
Connecting Sharpe ratio and Student t-statistic, and beyond 0 0 0 9 1 1 5 74
Connecting Sharpe ratio and Student t-statistic, and beyond 0 1 1 35 0 1 5 60
Detecting and adapting to crisis pattern with context based Deep Reinforcement Learning 0 0 1 6 0 1 2 17
Expansion formulas for European options in a local volatility model 0 0 0 50 0 1 1 169
Fast Fourier Transform for discrete Asian Options 0 0 0 965 0 1 1 1,696
Incremental Sharpe and other performance ratios 1 1 1 8 1 1 1 24
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 1 75 0 1 4 62
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 1 2 2 24 5 10 19 106
Omega and Sharpe ratio 0 0 0 9 1 2 2 29
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 2 6 3,827 0 2 6 7,093
Pricing Convexity Adjustment with Wiener Chaos 0 0 0 1,611 0 1 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 14 0 1 3 53
Smart expansion and fast calibration for jump diffusion 0 0 0 39 0 2 2 162
Testing Sharpe ratio: luck or skill? 0 0 0 93 0 1 5 63
Testing Sharpe ratio: luck or skill? 0 0 1 24 0 1 4 37
Time your hedge with Deep Reinforcement Learning 0 0 1 6 0 1 3 26
Trade Selection with Supervised Learning and OCA 0 0 0 6 1 1 3 27
Trend without hiccups: a Kalman filter approach 0 0 2 14 1 3 13 52
Total Working Papers 4 8 34 15,410 15 42 137 30,529

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 4 60
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 3 54
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 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 0 5 0 0 2 38
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 4 204 0 3 20 681

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Statistics updated 2025-10-06