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Eric Benhamou
Eric Benhamou
Université Paris Dauphine
Adresse e-mail validée de dauphine.eu - Page d'accueil
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Time dependent Heston model
E Benhamou, E Gobet, M Miri
SIAM Journal on Financial Mathematics 1 (1), 289-325, 2010
1902010
Fast Fourier transform for discrete Asian options
E Benhamou
Journal of Computational Finance 6 (1), 49-68, 2002
1072002
Smart expansion and fast calibration for jump diffusions
E Benhamou, E Gobet, M Miri
Finance and stochastics 13 (4), 563-589, 2009
982009
A market model for inflation
N Belgrade, E Benhamou, E Koehler
Cahiers de la Maison des Sciences Economiques, 2004
662004
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
652010
Optimal Malliavin weighting function for the computation of the Greeks
E Benhamou
Mathematical Finance: An International Journal of Mathematics, Statistics …, 2003
642003
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
421983
Integrating bridges and routers in a large internetwork
EA Benhamou
IEEE Network 2 (1), 65-71, 1988
331988
Analytical formulas for a local volatility model with stochastic rates
E Benhamou, E Gobet, M Miri
Quantitative finance 12 (2), 185-198, 2012
302012
On the competition between ECNs, stock markets and market makers
E Benhamou, T Serval
Electronic Commerce and Web Technologies: First International Conference, EC …, 2000
292000
Stochastic interest rates for local volatility hybrids models
E Benhamou, A Rivoira, A Gruz
Available at SSRN 1107711, 2008
272008
Pricing convexity adjustment with Wiener chaos
E Benhamou
Financial Markets Research Centre, London School of Economics, 2000
272000
Small dimension PDE for discrete Asian options
E Benhamou, A Duguet
Journal of Economic Dynamics and Control 27 (11-12), 2095-2114, 2003
232003
An application of Malliavin calculus to continuous time asian options Greeks
E Benhamou
SSRN, 2001
232001
Option pricing with Lévy process
E Benhamou
SSRN, 2001
222001
Seven proofs of the Pearson Chi-squared independence test and its graphical interpretation
E Benhamou, V Melot
arXiv preprint arXiv:1808.09171, 2018
202018
Global derivatives: products, theory and practice
E Benhamou
192007
A martingale result for convexity adjustment in the black pricing model
E Benhamou
SSRN, 2001
192001
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
172021
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