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Eric Benhamou
Eric Benhamou
Université Paris Dauphine, France
Adresse e-mail validée de dauphine.eu - Page d'accueil
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Année
Time dependent Heston model
E Benhamou, E Gobet, M Miri
SIAM Journal on Financial Mathematics 1 (1), 289-325, 2010
2022010
Fast Fourier transform for discrete Asian options
E Benhamou
Journal of Computational Finance 6 (1), 49-68, 2002
1112002
Smart expansion and fast calibration for jump diffusions
E Benhamou, E Gobet, M Miri
Finance and stochastics 13 (4), 563-589, 2009
1022009
A market model for inflation
N Belgrade, E Benhamou, E Koehler
692004
Optimal Malliavin weighting function for the computation of the Greeks
E Benhamou
Mathematical Finance: An International Journal of Mathematics, Statistics …, 2003
642003
Expansion formulas for European options in a local volatility model
E Benhamou, E Gobet, M Miri
International Journal of Theoretical and Applied Finance 13 (04), 603-634, 2010
602010
Smart Monte Carlo: various tricks using Malliavin calculus
E Benhamou
Quantitative finance 2 (5), 329, 2002
432002
Multilevel internetworking gateways: Architecture and applications
E Benhamou, J Estrin
Computer 16 (09), 27-34, 1983
401983
Explainable AI (XAI) models applied to the multi-agent environment of financial markets
JJ Ohana, S Ohana, E Benhamou, D Saltiel, B Guez
Explainable and Transparent AI and Multi-Agent Systems: Third International …, 2021
372021
Integrating bridges and routers in a large internetwork
EA Benhamou
IEEE Network 2 (1), 65-71, 1988
341988
Analytical formulas for a local volatility model with stochastic rates
E Benhamou, E Gobet, M Miri
Quantitative finance 12 (2), 185-198, 2012
302012
Pricing convexity adjustment with Wiener chaos
E Benhamou
Financial Markets Group, The London School of Economics and Political Science, 2000
292000
Deep Reinforcement Learning (DRL) for portfolio allocation
E Benhamou, D Saltiel, JJ Ohana, J Atif, R Laraki
The European Conference on Machine Learning and Principles and Practice of …, 2020
282020
Bridging the gap between Markowitz planning and deep reinforcement learning
E Benhamou, D Saltiel, S Ungari, A Mukhopadhyay
arXiv preprint arXiv:2010.09108, 2020
272020
On the competition between ECNs, stock markets and market makers
E Benhamou, T Serval
International Conference on Electronic Commerce and Web Technologies, 291-300, 2000
272000
Detecting and adapting to crisis pattern with context based Deep Reinforcement Learning
E Benhamou, D Saltiel, JJ Ohana, J Atif
2020 25th International Conference on Pattern Recognition (ICPR), 10050-10057, 2021
252021
Seven proofs of the Pearson Chi-squared independence test and its graphical interpretation
E Benhamou, V Melot
arXiv preprint arXiv:1808.09171, 2018
252018
Stochastic interest rates for local volatility hybrids models
E Benhamou, A Rivoira, A Gruz
Available at SSRN 1107711, 2008
252008
Small dimension PDE for discrete Asian options
E Benhamou, A Duguet
Journal of Economic Dynamics and Control 27 (11-12), 2095-2114, 2003
242003
An application of malliavin calculus to continuous time asian options greeks
E Benhamou
SSRN, 2001
242001
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