Eric Benhamou : Citation Profile


Are you Eric Benhamou?

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

6

H index

5

i10 index

126

Citations

RESEARCH PRODUCTION:

9

Articles

29

Papers

EDITOR:

1

Books edited

RESEARCH ACTIVITY:

   20 years (2000 - 2020). See details.
   Cites by year: 6
   Journals where Eric Benhamou has often published
   Relations with other researchers
   Recent citing documents: 9.    Total self citations: 6 (4.55 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pbe39
   Updated: 2021-04-17    RAS profile: 2021-04-06    
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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)

Witzany, Jiří (2)

Jacquier, Antoine (2)

Recchioni, Maria (2)

Ewald, Christian-Oliver (2)

TANKOV, PETER (2)

Urga, Giovanni (2)

Wu, Liuren (2)

Černý, Aleš (2)

Muroi, Yoshifumi (2)

Joshi, Mark (2)

Cites to:

Scholes, Myron (7)

Jarrow, Robert (7)

White, Alan (7)

Vorst, Ton (6)

merton, robert (4)

White, Alan (3)

BERTRAND, Philippe (3)

Stein, Jeremy (3)

Goetzmann, William (3)

welch, ivo (3)

Aase, Knut (3)

Main data


Where Eric Benhamou has published?


Journals with more than one article published# docs
Journal of Statistical and Econometric Methods2
Journal of Economic Dynamics and Control2
Quantitative Finance2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org12
Finance / University Library of Munich, Germany4
Working Papers / HAL4
Post-Print / HAL3

Recent works citing Eric Benhamou (2021 and 2020)


YearTitle of citing document
2020Rational 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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2020Rational Kernel on Pricing Models of Inflation Derivatives. (2020). Zhou, Yue. In: Papers. RePEc:arx:papers:2001.05124.

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2020Time your hedge with Deep Reinforcement Learning. (2020). Mukhopadhyay, Abhishek ; Ungari, Sandrine ; Saltiel, David ; Benhamou, Eric. In: Papers. RePEc:arx:papers:2009.14136.

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2020AAMDRL: Augmented Asset Management with Deep Reinforcement Learning. (2020). Saltiel, David ; Benhamou, Eric ; Atif, Jamal ; Mukhopadhyay, Abhishek ; Ungari, Sandrine. In: Papers. RePEc:arx:papers:2010.08497.

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2020Bridging the gap between Markowitz planning and deep reinforcement learning. (2020). Saltiel, David ; Benhamou, Eric ; Mukhopadhyay, Abhishek ; Ungari, Sandrine. In: Papers. RePEc:arx:papers:2010.09108.

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2021A Stationary Kyle Setup: Microfounding propagator models. (2020). , Bence ; Mastromatteo, Iacopo ; Vodret, Michele ; Benzaquen, Michael. In: Papers. RePEc:arx:papers:2011.10242.

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2020Nonparametric Malliavin–Monte Carlo Computation of Hedging Greeks. (2020). Sanfelici, Simona ; Mancino, Maria Elvira. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:4:p:120-:d:444533.

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2020Locality in time of the European insurance regulation risk-neutral valuation framework, a pre-and post-Covid analysis and further developments. (2020). Borel-Mathurin, Fabrice ; Vedani, Julien ; Loisel, Stephane ; el Karoui, Nicole. In: Working Papers. RePEc:hal:wpaper:hal-02905181.

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2020A Stationary Kyle Setup: Microfounding propagator models. (2020). Vodret, Michele ; Benzaquen, Michael ; Toth, Bence ; Mastromatteo, Iacopo. In: Working Papers. RePEc:hal:wpaper:hal-03016486.

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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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paper30
2009Smart expansion and fast calibration for jump diffusion.(2009) In: Post-Print.
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This paper has another version. Agregated cites: 30
paper
2009Smart expansion and fast calibration for jump diffusions.(2009) In: Finance and Stochastics.
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This paper has another version. Agregated cites: 30
article
2018Incremental Sharpe and other performance ratios In: Papers.
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paper0
2018Incremental Sharpe and other performance ratios.(2018) In: Post-Print.
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This paper has another version. Agregated cites: 0
paper
2018Incremental Sharpe and other performance ratios.(2018) In: Journal of Statistical and Econometric Methods.
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This paper has another version. Agregated cites: 0
article
2018Trend without hiccups: a Kalman filter approach In: Papers.
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paper0
2019Connecting Sharpe ratio and Student t-statistic, and beyond In: Papers.
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paper0
2019Connecting Sharpe ratio and Student t-statistic, and beyond.(2019) In: Working Papers.
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This paper has another version. Agregated cites: 0
paper
2018Kalman filter demystified: from intuition to probabilistic graphical model to real case in financial markets In: Papers.
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paper2
2019Kalman filter demystified: from intuition to probabilistic graphical model to real case in financial markets.(2019) In: Working Papers.
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This paper has another version. Agregated cites: 2
paper
2018Trade Selection with Supervised Learning and OCA In: Papers.
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paper0
2019Testing Sharpe ratio: luck or skill? In: Papers.
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paper0
2020Testing Sharpe ratio: luck or skill?.(2020) In: Working Papers.
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This paper has another version. Agregated cites: 0
paper
2019Omega and Sharpe ratio In: Papers.
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paper0
2020Omega and Sharpe ratio.(2020) In: Working Papers.
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This paper has another version. Agregated cites: 0
paper
2020Detecting and adapting to crisis pattern with context based Deep Reinforcement Learning In: Papers.
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paper2
2020Time your hedge with Deep Reinforcement Learning In: Papers.
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paper2
2020AAMDRL: Augmented Asset Management with Deep Reinforcement Learning In: Papers.
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paper1
2020Bridging the gap between Markowitz planning and deep reinforcement learning In: Papers.
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paper0
2003Optimal Malliavin Weighting Function for the Computation of the Greeks In: Mathematical Finance.
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article19
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
2010Expansion formulas for European options in a local volatility model In: Post-Print.
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paper17
2010EXPANSION FORMULAS FOR EUROPEAN OPTIONS IN A LOCAL VOLATILITY MODEL.(2010) In: International Journal of Theoretical and Applied Finance (IJTAF).
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This paper has another version. Agregated cites: 17
article
2004A market model for inflation. In: Cahiers de la Maison des Sciences Economiques.
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paper11
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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paper7
2019T-statistic for Autoregressive process In: Journal of Statistical and Econometric Methods.
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article0
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.
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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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paper5

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