Eric Benhamou

A.I. Square Connect

35 Boulevard d'Inkermann

Neuilly sur Seine, 92200

France

LAMSADE- Paris Dauphine University

Place du Marechal de Lattre de Tassigny

Pais, 75016

France

http://https://www.lamsade.dauphine.fr/

SCHOLARLY PAPERS

42

DOWNLOADS
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Top 496

in Total Papers Downloads

37,805

CITATIONS
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SSRN RANKINGS

Top 5,670

in Total Papers Citations

90

Scholarly Papers (42)

1.

A Market Model for Inflation

Number of pages: 15 Posted: 17 Aug 2004
Nabyl Belgrade, Eric Benhamou and Etienne Koehler
CDC Ixis Capital Markets, A.I. Square Connect and CNCE
Downloads 4,930 (1,475)
Citation 7

Abstract:

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Inflation index, forward, zero-coupon, year-on-year, volatility cube, convexity adjustment

2.

Time Dependent Heston Model

Number of pages: 37 Posted: 25 Mar 2009
Eric Benhamou, Emmanuel Gobet and Mohammed Miri
A.I. Square Connect, Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees and Thomson Reuters
Downloads 2,792 (3,962)
Citation 14

Abstract:

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asymptotic expansion, Malliavin calculus, small volatility of volatility, time dependent Heston model

3.

Reconciling Year on Year and Zero Coupon Inflation Swap: A Market Model Approach

Number of pages: 7 Posted: 01 Sep 2004 Last Revised: 10 Dec 2007
Nabyl Belgrade and Eric Benhamou
CDC Ixis Capital Markets and A.I. Square Connect
Downloads 2,782 (3,988)
Citation 2

Abstract:

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Inflation derivatives, year on year, zero coupon swap, CPI, convexity correction

4.

Impact of Seasonality in Inflation Derivatives Pricing

CDC Ixis Quantitative Research Working Paper No. QRFI 08-04/2
Number of pages: 6 Posted: 01 Sep 2004
Nabyl Belgrade and Eric Benhamou
CDC Ixis Capital Markets and A.I. Square Connect
Downloads 2,442 (4,952)

Abstract:

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Inflation, seasonality, decomposition scheme, trend

5.

Local Time for the SABR Model: Connection with the 'Complex' Black Scholes and Application to CMS and Spread Options

Number of pages: 17 Posted: 06 Dec 2007
Eric Benhamou and Olivier Croissant
A.I. Square Connect and IXIS-CIB
Downloads 2,145 (6,143)
Citation 2

Abstract:

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local time, stochastic volatility models, SABR, Black Scholes

6.

Smart Monte Carlo: Various Tricks Using Malliavin Calculus

Goldman Sachs Working Paper; EFA 2002 Berlin Meetings Discussion Paper
Number of pages: 11 Posted: 02 Mar 2002
Eric Benhamou
A.I. Square Connect
Downloads 1,994 (6,954)
Citation 1

Abstract:

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Monte-Carlo, Greeks, Conditional expectation, Malliavin Calculus, Likelihood Ratio, Homogeneity, Heston

7.

Smart Modeling of the Inflation Market: Taking into Account the Seasonality

Risk Magazine, Inflation Risk, July 2004 Supplement
Number of pages: 3 Posted: 17 Aug 2004 Last Revised: 10 Dec 2007
Nabyl Belgrade and Eric Benhamou
CDC Ixis Capital Markets and A.I. Square Connect
Downloads 1,944 (7,303)

Abstract:

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inflation derivatives, seasonality

8.

Stochastic Interest Rates for Local Volatility Hybrids Models

Number of pages: 10 Posted: 19 Mar 2008
Eric Benhamou, Arnaud Rivoira and Anne Gruz
A.I. Square Connect, Supélec and Misys Summit
Downloads 1,750 (8,706)
Citation 4

Abstract:

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local volatility, stochastic interest rates, hybrid, Malliavin calculus

9.

Trend Without Hiccups - A Kalman Filter Approach

Number of pages: 35 Posted: 21 Mar 2016 Last Revised: 26 Apr 2016
Eric Benhamou
A.I. Square Connect
Downloads 1,742 (8,774)

Abstract:

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Kalman filter, systematic trading, moving average crossover, filtering, managed futures, CTA

10.

A Martingale Result for Convexity Adjustment in the Black Pricing Model

LSE Working Paper
Number of pages: 18 Posted: 27 Apr 2001
Eric Benhamou
A.I. Square Connect
Downloads 1,638 (9,716)
Citation 3

Abstract:

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11.

Pricing Convexity Adjustment with Wiener Chaos

FMG Dp351
Number of pages: 22 Posted: 21 Mar 2001
Eric Benhamou
A.I. Square Connect
Downloads 1,562 (10,505)
Citation 6

Abstract:

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12.

Option Pricing with Levy Process

LSE Working Paper
Number of pages: 22 Posted: 16 Apr 2001
Eric Benhamou
A.I. Square Connect
Downloads 1,511 (11,057)
Citation 3

Abstract:

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Levy process, Fourier and Laplace transform, Smile

13.

Malliavin Calculus for Monte Carlo Methods in Finance

LSE Working Paper
Number of pages: 10 Posted: 24 Jan 2002
Eric Benhamou
A.I. Square Connect
Downloads 1,314 (13,832)

Abstract:

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Monte-Carlo, Greeks, Conditional expectation, Malliavin Calculus, Likehood Ratio, Homogeneity, Heston, Stochastic volatility, Calibration

14.

Fast Fourier Transform for Discrete Asian Options

EFMA 2001 Lugano Meetings
Number of pages: 18 Posted: 10 May 2001
Eric Benhamou
A.I. Square Connect
Downloads 1,293 (14,170)
Citation 9

Abstract:

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Fast Fourier Transform, Asian options, Convolution, Fat-Tails.

15.

Closed Forms for European Options in a Local Volatility Model

Number of pages: 32 Posted: 01 Oct 2008
Eric Benhamou, Emmanuel Gobet and Mohammed Miri
A.I. Square Connect, Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees and Thomson Reuters
Downloads 1,261 (14,721)
Citation 2

Abstract:

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local volatility model, European options, asymptotic expansion, Malliavin calculus, small diffusion process, CEV model

16.

An Application of Malliavin Calculus to Continuous Time Asian Options Greeks

LSE Working Paper
Number of pages: 19 Posted: 11 May 2001
Eric Benhamou
A.I. Square Connect
Downloads 965 (22,066)
Citation 5

Abstract:

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17.

Smart Expansion and Fast Calibration for Jump Diffusion

Number of pages: 26 Posted: 01 Jan 2008 Last Revised: 30 Dec 2009
Eric Benhamou, Emmanuel Gobet and Mohammed Miri
A.I. Square Connect, Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees and Thomson Reuters
Downloads 783 (29,707)
Citation 12

Abstract:

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asymptotic expansion, Malliavin calculus, volatility skew and smile, small diffusion process, small jump frequency/size

Impact of Stochastic Interest Rates and Stochastic Volatility on Variable Annuities

Number of pages: 22 Posted: 28 Mar 2009 Last Revised: 07 Dec 2009
Eric Benhamou and Pierre Gauthier
A.I. Square Connect and Daiwa Capital Markets Europe
Downloads 380 (74,278)
Citation 1

Abstract:

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Variable annuity, Stochastic Volatility, Stochastic Interest rates

Impact of Stochastic Interest Rates and Stochastic Volatility on Variable Annuities

Paris December 2009 Finance International Meeting AFFI - EUROFIDAI
Number of pages: 22 Posted: 09 Oct 2009 Last Revised: 08 Dec 2009
Eric Benhamou and Pierre Gauthier
A.I. Square Connect and Daiwa Capital Markets Europe
Downloads 365 (77,827)
Citation 1

Abstract:

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variable annuity, stochastic volatility, stochastic interest rates

19.

Small Dimension Pde for Discrete Asian Options

LSE Working Paper
Number of pages: 20 Posted: 03 Apr 2001
Eric Benhamou and Alexandre Duguet
A.I. Square Connect and BNP - Paribas
Downloads 744 (31,949)
Citation 2

Abstract:

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20.

On the Competition between Ecn'S, Stock Markets and Market Makers

FMG Working Paper No. 0345
Number of pages: 29 Posted: 02 May 2000
Thomas Serval and Eric Benhamou
University of Toulouse 1 - Groupe de Recherche en Economie Mathématique et Quantitative (GREMAQ) and A.I. Square Connect
Downloads 705 (34,264)
Citation 4

Abstract:

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21.

Analytical Formulas for Local Volatility Model with Stochastic Rates

Number of pages: 25 Posted: 24 Oct 2009
Eric Benhamou, Emmanuel Gobet and Mohammed Miri
A.I. Square Connect, Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees and Thomson Reuters
Downloads 661 (37,388)
Citation 3

Abstract:

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asymptotic expansion, local volatility model, HJM framework, Hull and White model, Malliavin calculus, small diffusion process, CEV model

22.

A Generalisation of Malliavin Weighted Scheme for Fast Computation of the Greeks

FMG Discussion Paper No. 0350
Number of pages: 26 Posted: 27 Apr 2001
Eric Benhamou
A.I. Square Connect
Downloads 528 (50,096)

Abstract:

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23.

Is Multi-Factor Really Necessary to Price European Options in Commodity?

Number of pages: 15 Posted: 03 Dec 2008 Last Revised: 16 Feb 2009
Eric Benhamou, Zaizhi Wang and Alain G. Galli
A.I. Square Connect, Ecole des Mines de Paris and affiliation not provided to SSRN
Downloads 486 (55,636)

Abstract:

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Gabillon model, Gibson Schwartz model, commodity, one factor weak solution, Distribution Match Method

24.

Hybrid Pricing

Number of pages: 35 Posted: 11 Nov 2008 Last Revised: 15 May 2009
Université d'Évry - Departement de Mathematiques, Dresdner Kleinwort Wasserstein, Pricing Partners and A.I. Square Connect
Downloads 360 (79,780)

Abstract:

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Exotics, Hybrids, HJM, BGM, Markov Chains, transition matrix, Longstaff Schwarz, probability measure, forward neutral, survival neutral

25.

A Comparative Analysis of Basket Default Swaps Pricing Using the Stein Method

Pricing Partners Working Paper
Number of pages: 19 Posted: 06 Dec 2007 Last Revised: 24 Dec 2007
Marian Ciuca, Dorinel Bastide and Eric Benhamou
Pricing Partners, Pricing Partners and A.I. Square Connect
Downloads 327 (89,050)
Citation 2

Abstract:

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Stein method, copula, CDO, credit derivatives

26.

Preface to Global Derivatives: Products, Theory and Practice

Eric Benhamou, Global Derivatives: Products, Theory and Practice, World Scientific Publishing Co. , 2007
Number of pages: 4 Posted: 02 Oct 2009
Eric Benhamou
A.I. Square Connect
Downloads 117 (230,811)

Abstract:

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Derivatives, Fixed Income, Mathematical Modeling, Finance Structuring

27.

Kalman Filter Demystified: From Intuition to Probabilistic Graphical Model to Real Case in Financial Markets

Number of pages: 44 Posted: 03 Dec 2018 Last Revised: 15 Dec 2018
Eric Benhamou
A.I. Square Connect
Downloads 112 (238,266)

Abstract:

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kalman filter, hidden markov models, graphical model, CMA ES, trend detection, systematic trading

28.

Incremental Sharpe and Other Performance Ratios

Number of pages: 18 Posted: 26 Aug 2018 Last Revised: 24 Sep 2018
Eric Benhamou and Beatrice Guez
A.I. Square Connect and A.I. Square Connect
Downloads 34 (436,431)

Abstract:

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C12, G11

29.

Optimal Malliavin Weighting Function for the Computation of the Greeks

Mathematical Finance, Vol. 13, pp. 37-53, 2003
Number of pages: 17 Posted: 20 Mar 2003
Eric Benhamou
A.I. Square Connect
Downloads 29 (458,765)
Citation 8
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Abstract:

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Monte Carlo, Quasi-Monte Carlo, Greeks, Malliavin Calculus, Likehood Ratio

30.

Connecting Sharpe Ratio and Student T-Statistic, and Beyond

Number of pages: 22 Posted: 26 Aug 2018
Eric Benhamou
A.I. Square Connect
Downloads 25 (479,102)

Abstract:

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Sharpe Ratio, Student Distribution, Compounding Effect on Sharpe, AR(1), CramerRao Bound

31.

Trade Selection with Supervised Learning and OCA

Number of pages: 7 Posted: 27 Dec 2018
David Saltiel and Eric Benhamou
A.I. Square Connect and A.I. Square Connect
Downloads 24 (484,521)

Abstract:

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Trade Selection, OCA, Supervised Learning, Features Selection

32.

Feature Selection With Optimal Coordinate Ascent (OCA)

Number of pages: 14 Posted: 20 Dec 2018
David Saltiel and Eric Benhamou
A.I. Square Connect and A.I. Square Connect
Downloads 13 (546,451)

Abstract:

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feature selection, coordinate ascent, gradient boosting method

33.

Seven Proofs of the Pearson Chi-Squared Independence Test and its Graphical Interpretation

Number of pages: 19 Posted: 12 Sep 2018
Eric Benhamou and Valentin Melot
A.I. Square Connect and Ecole Normale Supérieure (ENS) d'Ulm
Downloads 9 (569,876)

Abstract:

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causality, Pearson correlation coecient, graphical heat map

34.

Gram Charlier and Edgeworth Expansion for Sample Variance

Number of pages: 14 Posted: 11 Oct 2018
Eric Benhamou
A.I. Square Connect
Downloads 8 (575,737)

Abstract:

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sample variance, Edgeworth expansion

35.

A Discrete Version of CMA-ES

Number of pages: 11 Posted: 09 Jan 2019 Last Revised: 13 Feb 2019
Eric Benhamou, Jamal Atif and Rida Laraki
A.I. Square Connect, Université Paris Dauphine and Université Paris-Dauphine, PSL Research University
Downloads 7 (581,564)

Abstract:

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36.

Three Remarkable Properties of the Normal Distribution

Number of pages: 12 Posted: 27 Oct 2018
Eric Benhamou, Beatrice Guez and Nicolas Paris
A.I. Square Connect, A.I. Square Connect and A.I. Square Connect
Downloads 6 (587,587)

Abstract:

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Geary Theorem, Levy Cramer Theorem, Independence Between Sample Mean and Variance

37.

Operator Norm Upper Bound for Sub-Gaussian Tailed Random Matrices

Number of pages: 12 Posted: 09 Jan 2019 Last Revised: 13 Feb 2019
Eric Benhamou, Jamal Atif and Rida Laraki
A.I. Square Connect, Université Paris Dauphine and Université Paris-Dauphine, PSL Research University
Downloads 5 (593,629)

Abstract:

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38.

A Few Properties of Sample Variance

Number of pages: 13 Posted: 03 Oct 2018
Eric Benhamou
A.I. Square Connect
Downloads 5 (593,629)

Abstract:

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Sample Variance, Variance of Sample Variance, Independence Between Sample Mean and Variance

39.

T-Statistic for Autoregressive Process

Number of pages: 24 Posted: 03 Oct 2018
Eric Benhamou
A.I. Square Connect
Downloads 3 (607,136)

Abstract:

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40.

BCMA-ES: A Bayesian approach to CMA-ES

Number of pages: 10
David Saltiel and Eric Benhamou
A.I. Square Connect and A.I. Square Connect
Downloads 2

Abstract:

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CMA-ES, Bayesian, conjugate prior, normal-inverse-Wishart

41.

BCMA-ES II: revisiting Bayesian CMA-ES

Number of pages: 9
David Saltiel and Eric Benhamou
A.I. Square Connect and A.I. Square Connect
Downloads 2

Abstract:

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CMA ES, Bayesian, conjugate prior, normal Wishart, normal inverse Wishart, mixture models

42.

Valuation of Inflation Swap Volatility Under a Market Model and Pricing of Real Yield Options

Posted: 18 Oct 2004
Nabyl Belgrade, Eric Benhamou and Yosr Khlif
CDC Ixis Capital Markets, A.I. Square Connect and CDC Ixis Capital Markets

Abstract:

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Inflation swaption, year-on-year volatility, implied volatility, correlation, real yield option