6
H index
5
i10 index
163
Citations
Eric Benhamou : Citation Profile
Université Paris-Dauphine (Paris IX) (50% share) | RESEARCH PRODUCTION: 9 Articles 29 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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20 years (2000 - 2020). 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:
| Cites to:
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Main data
Where Eric Benhamou has published?
| Journals with more than one article published | # docs |
|---|---|
| Journal of Statistical and Econometric Methods | 2 |
| Journal of Economic Dynamics and Control | 2 |
| Quantitative Finance | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Papers / arXiv.org | 12 |
| Finance / University Library of Munich, Germany | 4 |
| Working Papers / HAL | 4 |
| Post-Print / HAL | 3 |
Recent works citing Eric Benhamou (2025 and 2024)
| Year | Title of citing document |
|---|---|
| 2024 | Asymptotics for Short Maturity Asian Options in Jump-Diffusion models with Local Volatility. (2024). Zhu, Lingjiong ; Pirjol, Dan. In: Papers. RePEc:arx:papers:2308.15672. Full description at Econpapers || Download paper |
| 2025 | Regret-Optimized Portfolio Enhancement through Deep Reinforcement Learning and Future Looking Rewards. (2025). Garz, Rub'En ; Gulcehre, Caglar ; Terekhov, Mikhail ; Karzanov, Daniil ; Detyniecki, Marcin ; Raffinot, Thomas. In: Papers. RePEc:arx:papers:2502.02619. Full description at Econpapers || Download paper |
| 2025 | Re-evaluating Short- and Long-Term Trend Factors in CTA Replication: A Bayesian Graphical Approach. (2025). Jacquot, Thomas ; Setrouk, Ethan ; Guez, B'Eatrice ; Etienne, Alban ; Ohana, Jean-Jacques ; Benhamou, Eric. In: Papers. RePEc:arx:papers:2507.15876. Full description at Econpapers || Download paper |
| 2025 | Volatility Modeling with Rough Paths: A Signature-Based Alternative to Classical Expansions. (2025). Alos, Elisa ; Vives, Josep ; de Santiago, Rafael ; Bur, Oscar. In: Papers. RePEc:arx:papers:2507.23392. Full description at Econpapers || Download paper |
Works by Eric Benhamou:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2008 | Smart expansion and fast calibration for jump diffusion In: Papers. [Full Text][Citation analysis] | paper | 34 |
| 2009 | Smart expansion and fast calibration for jump diffusion.(2009) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 34 | paper | |
| 2009 | Smart expansion and fast calibration for jump diffusions.(2009) In: Finance and Stochastics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 34 | article | |
| 2018 | Incremental Sharpe and other performance ratios In: Papers. [Full Text][Citation analysis] | paper | 2 |
| 2018 | Incremental Sharpe and other performance ratios.(2018) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 2018 | Incremental Sharpe and other performance ratios.(2018) In: Journal of Statistical and Econometric Methods. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
| 2018 | Trend without hiccups: a Kalman filter approach In: Papers. [Full Text][Citation analysis] | paper | 4 |
| 2019 | Connecting Sharpe ratio and Student t-statistic, and beyond In: Papers. [Full Text][Citation analysis] | paper | 3 |
| 2019 | Connecting Sharpe ratio and Student t-statistic, and beyond.(2019) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
| 2018 | Kalman filter demystified: from intuition to probabilistic graphical model to real case in financial markets In: Papers. [Full Text][Citation analysis] | paper | 4 |
| 2019 | Kalman filter demystified: from intuition to probabilistic graphical model to real case in financial markets.(2019) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
| 2018 | Trade Selection with Supervised Learning and OCA In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2019 | Testing Sharpe ratio: luck or skill? In: Papers. [Full Text][Citation analysis] | paper | 5 |
| 2020 | Testing Sharpe ratio: luck or skill?.(2020) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
| 2019 | Omega and Sharpe ratio In: Papers. [Full Text][Citation analysis] | paper | 3 |
| 2020 | Omega and Sharpe ratio.(2020) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
| 2020 | Detecting and adapting to crisis pattern with context based Deep Reinforcement Learning In: Papers. [Full Text][Citation analysis] | paper | 2 |
| 2020 | Time your hedge with Deep Reinforcement Learning In: Papers. [Full Text][Citation analysis] | paper | 2 |
| 2020 | AAMDRL: Augmented Asset Management with Deep Reinforcement Learning In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2020 | Bridging the gap between Markowitz planning and deep reinforcement learning In: Papers. [Full Text][Citation analysis] | paper | 4 |
| 2003 | Optimal Malliavin Weighting Function for the Computation of the Greeks In: Mathematical Finance. [Full Text][Citation analysis] | article | 22 |
| 2003 | Small dimension PDE for discrete Asian options In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 2 |
| 2003 | Small dimension PDE for discrete Asian options.(2003) In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
| In: . [Full Text][Citation analysis] | paper | 4 | |
| In: . [Full Text][Citation analysis] | paper | 0 | |
| 2002 | A Generalisation of Malliavin Weighted Scheme for Fast Computation of the Greeks.(2002) In: Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| In: . [Full Text][Citation analysis] | paper | 3 | |
| 2010 | Expansion formulas for European options in a local volatility model In: Post-Print. [Full Text][Citation analysis] | paper | 20 |
| 2010 | EXPANSION FORMULAS FOR EUROPEAN OPTIONS IN A LOCAL VOLATILITY MODEL.(2010) In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 20 | article | |
| 2004 | A market model for inflation In: Cahiers de la Maison des Sciences Economiques. [Full Text][Citation analysis] | paper | 13 |
| 2000 | A 2 DIMENSIONAL PDE FOR DISCRETE ASIAN OPTIONS In: Computing in Economics and Finance 2000. [Full Text][Citation analysis] | paper | 0 |
| 2001 | Fast Fourier Transform for discrete Asian Options In: Computing in Economics and Finance 2001. [Full Text][Citation analysis] | paper | 7 |
| 2019 | T-statistic for Autoregressive process In: Journal of Statistical and Econometric Methods. [Full Text][Citation analysis] | article | 0 |
| 2012 | Analytical formulas for a local volatility model with stochastic rates In: Quantitative Finance. [Full Text][Citation analysis] | article | 13 |
| 2002 | Smart Monte Carlo: various tricks using Malliavin calculus In: Quantitative Finance. [Full Text][Citation analysis] | article | 6 |
| 2002 | Smart Monte Carlo: Various tricks using Malliavin calculus.(2002) In: Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
| 2002 | A Martingale Result for Convexity Adjustment in the Black Pricing Model In: Finance. [Full Text][Citation analysis] | paper | 4 |
| 2002 | Option pricing with Levy Process In: Finance. [Full Text][Citation analysis] | paper | 6 |
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