Eric Benhamou : Citation Profile


Are you Eric Benhamou?

Université Paris-Dauphine (Paris IX) (50% share)

8

H index

5

i10 index

132

Citations

RESEARCH PRODUCTION:

7

Articles

13

Papers

EDITOR:

1

Books edited

RESEARCH ACTIVITY:

   12 years (2000 - 2012). See details.
   Cites by year: 11
   Journals where Eric Benhamou has often published
   Relations with other researchers
   Recent citing documents: 19.    Total self citations: 6 (4.35 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pbe39
   Updated: 2020-02-22    RAS profile: 2018-07-26    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Eric Benhamou.

Is cited by:

Pascucci, Andrea (6)

Jacquier, Antoine (4)

TANKOV, PETER (3)

Wu, Liuren (2)

Ewald, Christian-Oliver (2)

Joshi, Mark (2)

Recchioni, Maria (2)

Urga, Giovanni (2)

Witzany, Jiří (2)

Ramos, Sofia (1)

Tedeschi, Gabriele (1)

Cites to:

Scholes, Myron (7)

Jarrow, Robert (7)

White, Alan (7)

Vorst, Ton (6)

merton, robert (5)

White, Alan (3)

Melino, Angelo (3)

Stein, Jeremy (3)

Kreps, David (3)

Economides, Nicholas (3)

Aase, Knut (3)

Main data


Where Eric Benhamou has published?


Journals with more than one article published# docs
Quantitative Finance2
Journal of Economic Dynamics and Control2

Working Papers Series with more than one paper published# docs
Finance / University Library of Munich, Germany4
Post-Print / HAL2

Recent works citing Eric Benhamou (2018 and 2017)


YearTitle of citing document
2017Hedging in L\evy Models and the Time Step Equivalent of Jumps. (2017). Cerny, Ales ; Denkl, Stephan ; Kallsen, Jan. In: Papers. RePEc:arx:papers:1309.7833.

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2018Expansion formulas for European quanto options in a local volatility FX-LIBOR model. (2018). Papapantoleon, Antonis ; Ngare, Philip ; Hok, Julien. In: Papers. RePEc:arx:papers:1801.01205.

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2018Rational Models for Inflation-Linked Derivatives. (2018). Sloth, David ; Skovmand, David ; Macrina, Andrea ; Dam, Henrik. In: Papers. RePEc:arx:papers:1801.08804.

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2018Sum of all Black-Scholes-Merton models: An efficient pricing method for spread, basket, and Asian options. (2018). Choi, Jaehyuk. In: Papers. RePEc:arx:papers:1805.03172.

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2018Computation of option greeks under hybrid stochastic volatility models via Malliavin calculus. (2018). Yilmaz, Bilgi. In: Papers. RePEc:arx:papers:1806.06061.

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2017On a one time-step Monte Carlo simulation approach of the SABR model: Application to European options. (2017). Oosterlee, Cornelis W ; Leitao, Alvaro ; Grzelak, Lech A. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:293:y:2017:i:c:p:461-479.

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2017Computation of Greeks in jump-diffusion models using discrete Malliavin calculus. (2017). Muroi, Yoshifumi ; Suda, Shintaro . In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:140:y:2017:i:c:p:69-93.

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2017Weak approximations for arithmetic means of geometric Brownian motions and applications to Basket options. (2017). Bompis, Romain . In: Working Papers. RePEc:hal:wpaper:hal-01502886.

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2017The affine styled-facts price dynamics for the natural gas: evidence from daily returns and option prices. (2017). Hsu, Chih-Chen ; Chen, Ting-Fu ; Lin, Shih-Kuei. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:48:y:2017:i:3:d:10.1007_s11156-016-0569-x.

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2018Computation of the Delta of European options under stochastic volatility models. (2018). Yolcu-Okur, Yeliz ; Inkaya, Alper B ; Yilmaz, Bilgi ; Sayer, Tilman. In: Computational Management Science. RePEc:spr:comgts:v:15:y:2018:i:2:d:10.1007_s10287-018-0316-y.

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2019Calibration of local volatility model with stochastic interest rates by efficient numerical PDE methods. (2019). Tan, Shih-Hau ; Hok, Julien. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:42:y:2019:i:2:d:10.1007_s10203-019-00232-3.

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2019Asymptotic expansion for some local volatility models arising in finance. (2019). Persio, Luca ; Cordoni, Francesco ; Albeverio, Sergio ; Pellegrini, Gregorio . In: Decisions in Economics and Finance. RePEc:spr:decfin:v:42:y:2019:i:2:d:10.1007_s10203-019-00247-w.

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2017Computing deltas without derivatives. (2017). Baos, D ; Duedahl, S ; Proske, F ; Meyer-Brandis, T. In: Finance and Stochastics. RePEc:spr:finsto:v:21:y:2017:i:2:d:10.1007_s00780-016-0321-3.

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2017The exact Taylor formula of the implied volatility. (2017). Pascucci, Andrea ; Pagliarani, Stefano. In: Finance and Stochastics. RePEc:spr:finsto:v:21:y:2017:i:3:d:10.1007_s00780-017-0330-x.

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2018Sensitivity analysis of long-term cash flows. (2018). Park, Hyungbin. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:4:d:10.1007_s00780-018-0370-x.

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2017On an efficient multiple time step Monte Carlo simulation of the SABR model. (2017). Leitao, Alvaro ; Oosterlee, Cornelis W ; Grzelak, Lech A. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:10:p:1549-1565.

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2017ANALYTIC PRICING OF CoCo BONDS. (2017). Turfus, Colin ; Shubert, Alexander. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:05:n:s0219024917500340.

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2018EXPANSION FORMULAS FOR EUROPEAN QUANTO OPTIONS IN A LOCAL VOLATILITY FX-LIBOR MODEL. (2018). Hok, Julien ; Papapantoleon, Antonis ; Ngare, Philip. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:21:y:2018:i:02:n:s0219024918500176.

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2018ALGORITHMIC DIFFERENTIATION FOR DISCONTINUOUS PAYOFFS. (2018). Daluiso, Roberto ; Facchinetti, Giorgio. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:21:y:2018:i:04:n:s021902491850019x.

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Eric Benhamou has edited the books:


YearTitleTypeCited

Works by Eric Benhamou:


YearTitleTypeCited
2008Smart expansion and fast calibration for jump diffusion In: Papers.
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paper25
2009Smart expansion and fast calibration for jump diffusions.(2009) In: Finance and Stochastics.
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This paper has another version. Agregated cites: 25
article
2003Optimal Malliavin Weighting Function for the Computation of the Greeks In: Mathematical Finance.
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article17
2003Small dimension PDE for discrete Asian options In: Journal of Economic Dynamics and Control.
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article2
2003Small dimension PDE for discrete Asian options.(2003) In: Journal of Economic Dynamics and Control.
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This paper has another version. Agregated cites: 2
article
2000On the Competition Between ECNs, Stock Markets and Market Makers In: FMG Discussion Papers.
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paper4
2000A Generalisation of Malliavin Weighted Scheme for Fast Computation of the Greeks In: FMG Discussion Papers.
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paper0
2002A Generalisation of Malliavin Weighted Scheme for Fast Computation of the Greeks.(2002) In: Finance.
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This paper has another version. Agregated cites: 0
paper
2000Pricing Convexity Adjustment with Wiener Chaos In: FMG Discussion Papers.
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paper3
2009Smart expansion and fast calibration for jump diffusion In: Post-Print.
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paper17
2010Expansion formulas for European options in a local volatility model In: Post-Print.
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paper11
2004A market model for inflation. In: Cahiers de la Maison des Sciences Economiques.
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paper9
2000A 2 DIMENSIONAL PDE FOR DISCRETE ASIAN OPTIONS In: Computing in Economics and Finance 2000.
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paper0
2001Fast Fourier Transform for discrete Asian Options In: Computing in Economics and Finance 2001.
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paper8
2012Analytical formulas for a local volatility model with stochastic rates In: Quantitative Finance.
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article11
2002Smart Monte Carlo: various tricks using Malliavin calculus In: Quantitative Finance.
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article6
2002Smart Monte Carlo: Various tricks using Malliavin calculus.(2002) In: Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6
paper
2002A Martingale Result for Convexity Adjustment in the Black Pricing Model In: Finance.
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paper4
2002Option pricing with Levy Process In: Finance.
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paper6
2010EXPANSION FORMULAS FOR EUROPEAN OPTIONS IN A LOCAL VOLATILITY MODEL In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]
article9

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