Eric Benhamou

Université Paris Dauphine

Place du Maréchal de Tassigny

Paris, Cedex 16 75775

France

AI For Alpha

35 boulevard d'Inkermann

Neuilly sur Seine, 92200

France

EB AI Advisory

35 Boulevard d'Inkermann

Neuilly sur Seine, 92200

France

Université Paris-Dauphine, PSL Research University

Place du Maréchal de Lattre de Tassigny

Paris, 75016

France

SCHOLARLY PAPERS

103

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815,498

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109

CROSSREF CITATIONS

80

Ideas:
“  Convinced that AI will revolutionize asset management, I am actively working on applying machine learning to financial markets  ”

Scholarly Papers (103)

1.

Deep Reinforcement Learning for Portfolio Allocation

Risk Magazine Global Quant Network 2021
Number of pages: 26 Posted: 12 Aug 2021
Sandrine Ungari and Eric Benhamou
Société Générale and Université Paris Dauphine
Downloads 45,118 (63)
Citation 1

Abstract:

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DRL, Boosting

2.

Bridging the gap between Markowitz planning and deep reinforcement learning (ICAPS PRL Presentation Slides 2020)

Number of pages: 37 Posted: 25 Oct 2021
Université Paris Dauphine, Université Paris Dauphine, Société Générale and SGCIB
Downloads 38,495 (90)

Abstract:

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Deep RL, Markowitz, Convolution network

3.

Decision Transformer: Reinforcement Learning via Sequence Modelling - Paper Review (Presentation Slides)

Number of pages: 84 Posted: 09 Feb 2022
Eric Benhamou
Université Paris Dauphine
Downloads 38,045 (92)
Citation 1

Abstract:

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Transformers, Reinforcement Learning

4.

Adaptive Supervised Learning for Volatility Targeting Models (Ecml Pkdd Midas 2021 Presentation Slides)

Number of pages: 17 Posted: 20 Sep 2021
Université Paris Dauphine, Université Paris Dauphine, Lombard Odier Investment Managers, École Polytechnique Fédérale de Lausanne, Lombard Odier Investment Managers and AI For Alpha
Downloads 32,368 (122)

Abstract:

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Volatility targeting, Supervised learning, Best ordering, Model-based and Portfolio allocation, Walk-forward and Features selection.

5.

Adaptive Supervised Learning for Volatility Targeting Models

Université Paris-Dauphine Research Paper No. 3924255
Number of pages: 12 Posted: 20 Sep 2021
Université Paris Dauphine, Université Paris Dauphine, Lombard Odier Investment Managers, École Polytechnique Fédérale de Lausanne, Lombard Odier Investment Managers and AI For Alpha
Downloads 31,052 (137)

Abstract:

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6.

Time your hedge with Deep Reinforcement Learning (ICAPS 2020 Presentation Slides)

Number of pages: 38 Posted: 20 Sep 2021
Université Paris Dauphine, Université Paris Dauphine, Société Générale and SGCIB
Downloads 31,020 (138)

Abstract:

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Deep Reinforcement Learning, Portfolio selection, Hedge

7.

Knowledge discovery with Deep RL for selecting financial hedges (AAAI 2021 KDF Presentation slides)

Number of pages: 19 Posted: 28 Sep 2021
Université Paris Dauphine, Université Paris Dauphine, Société Générale and SGCIB
Downloads 30,653 (140)

Abstract:

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Deep Reinforcement Learning, Hedge selection

8.

Algorithmic and Advanced Programming in Python - Syllabus in Computer Science, Decision Making & Data - Masterclass 9

Number of pages: 63 Posted: 10 Feb 2022
Eric Benhamou and Remy Belmonte
Université Paris Dauphine and Université Paris Dauphine
Downloads 25,422 (199)

Abstract:

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Programming, advanced data structure, python

9.

Algorithmic and Advanced Programming in Python - Syllabus in Computer Science, Decision Making & Data - Masterclass 8

Number of pages: 71 Posted: 16 Nov 2021 Last Revised: 27 Apr 2024
Eric Benhamou and Remy Belmonte
Université Paris Dauphine and Université Paris Dauphine
Downloads 24,868 (207)

Abstract:

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Bagging, Boosting, XGBoost, LighGBM, Stacking

10.

Algorithmic and Advanced Programming in Python - Syllabus in Computer Science, Decision Making & Data - Masterclass 6

Number of pages: 84 Posted: 08 Nov 2021 Last Revised: 27 Apr 2024
Eric Benhamou and Remy Belmonte
Université Paris Dauphine and Université Paris Dauphine
Downloads 23,759 (225)

Abstract:

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Programming, Advanced data structure, Python, Generic, Threaded, Expression and AVL Trees

11.

Algorithmic and Advanced Programming in Python - Syllabus in Computer Science, Decision Making & Data - Masterclass 3

Number of pages: 51 Posted: 03 Nov 2021 Last Revised: 27 Apr 2024
Eric Benhamou and Remy Belmonte
Université Paris Dauphine and Université Paris Dauphine
Downloads 22,551 (244)

Abstract:

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Programming, Advanced data structure, Python, Flask, SQLite and SQLAlchemy

12.

Algorithmic and Advanced Programming in Python - Syllabus in Computer Science, Decision Making & Data - Masterclass 7

Number of pages: 119 Posted: 18 Nov 2021
Eric Benhamou and Remy Belmonte
Université Paris Dauphine and Université Paris Dauphine
Downloads 22,183 (249)

Abstract:

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C6, C63

13.

Deep Decoding of Strategies

Université Paris-Dauphine Research Paper No. 4128693
Number of pages: 20 Posted: 16 Jun 2022 Last Revised: 05 May 2024
AI For Alpha, Université Paris Dauphine, Université Paris Dauphine and AI For Alpha
Downloads 20,363 (288)

Abstract:

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Decoding, risk management

14.

Machine Learning in Banking - Tips & Tricks: Session 1 - General introduction

Number of pages: 16 Posted: 22 Nov 2022
Eric Benhamou
Université Paris Dauphine
Downloads 19,244 (323)

Abstract:

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G13

15.

Machine Learning Fundamentals: Unsupervised Learning part 1 - Data & AI Reskilling Seminar slides

Number of pages: 52 Posted: 22 Nov 2022
Eric Benhamou
Université Paris Dauphine
Downloads 17,262 (409)

Abstract:

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Machine Learning, Unsupervised Learning

16.

Machine Learning Fundamentals: Unsupervised Learning part 2 - Data & AI Reskilling Seminar slides

Number of pages: 46 Posted: 22 Nov 2022
Eric Benhamou
Université Paris Dauphine
Downloads 17,215 (412)

Abstract:

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Machine learning, unsupervised learning, pca, svd, dimensionality reduction

17.

Machine Learning in Banking - Tips & Tricks: Session 2 - Time Series Analysis

Number of pages: 37 Posted: 22 Nov 2022
Eric Benhamou
Université Paris Dauphine
Downloads 17,207 (413)

Abstract:

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Machine learning, time series analysis

18.

Machine Learning in Banking - Tips & Tricks: Session 4 - Similarities with Unsupervised learning

Number of pages: 38 Posted: 22 Nov 2022
Eric Benhamou
Université Paris Dauphine
Downloads 17,118 (420)

Abstract:

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Machine learning, unsupervised learning, similarities

19.
Downloads 17,110 (421)

Abstract:

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Machine learning, classification, regression, logistic regression, decision trees

20.

Machine Learning in Banking - Tips & Tricks: Session 5 - Interpretability with Shapley values

Number of pages: 26 Posted: 22 Nov 2022
Eric Benhamou
Université Paris Dauphine
Downloads 17,097 (422)

Abstract:

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Machine learning, explanable AI, interpretability, Shapley values

21.

Comparing Deep RL and Traditional Financial Portfolio Methods

Université Paris-Dauphine Research Paper No. 4557792
Number of pages: 22 Posted: 01 Sep 2023
Université Paris Dauphine, AI For Alpha, AI For Alpha, Université Paris Dauphine, Université Paris-Dauphine, PSL Research University and Université Paris Dauphine
Downloads 12,183 (745)
Citation 1

Abstract:

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Deep Reinforcement Learning, Portfolio Allocation

22.

Planning in Financial Markets in Presence of Spikes: Using Machine Learning GBDT

Université Paris-Dauphine Research Paper No. 3862428
Number of pages: 9 Posted: 17 Jun 2021
Université Paris Dauphine, AI For Alpha, Université Paris Dauphine and AI For Alpha
Downloads 11,101 (888)
Citation 2

Abstract:

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Machine Learning, GBDT

23.

Comparing Deep RL and Traditional Financial Portfolio Methods (ECML PKDD 2023 - MIDAS Slides)

Number of pages: 13 Posted: 21 Oct 2023
Université Paris Dauphine, AI For Alpha, AI For Alpha, Université Paris Dauphine, Université Paris-Dauphine, PSL Research University and Université Paris Dauphine
Downloads 10,562 (966)

Abstract:

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deep reinforcement learning, portfolio allocation, risk-adjusted return, Sharpe ratio, financial markets

24.

Deep Reinforcement Learning (DRL) for Portfolio Allocation

ECML PKDD Demo track 2020
Number of pages: 5 Posted: 02 Jul 2021
Université Paris Dauphine, Université Paris Dauphine, AI For Alpha, Université Paris Dauphine and Université Paris-Dauphine, PSL Research University
Downloads 10,315 (1,002)
Citation 9

Abstract:

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Deep Reinforcement Learning, Portfolio Selection

25.

DRLPS: Deep Reinforcement Learning for Portfolio Selection (Presentation Slides ECML PKDD)

ECML PKDD Demo track, 2021
Number of pages: 11 Posted: 06 Jul 2021
Université Paris Dauphine, Université Paris Dauphine, AI For Alpha, Université Paris Dauphine and Université Paris-Dauphine, PSL Research University
Downloads 10,018 (1,054)
Citation 1

Abstract:

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26.

Can Deep Reinforcement Learning Solve the Portfolio Allocation Problem? (PhD Manuscript)

Number of pages: 212 Posted: 09 Nov 2023
Eric Benhamou
Université Paris Dauphine
Downloads 10,017 (1,055)

Abstract:

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Deep reinforcement learning, portfolio allocation, contextual data

27.

Explainable AI (XAI) Models Applied to Planning in Financial Markets

Université Paris-Dauphine Research Paper No. 3862437
Number of pages: 9 Posted: 13 Jun 2021 Last Revised: 22 Feb 2022
Université Paris Dauphine, AI For Alpha, Université Paris Dauphine, AI For Alpha and affiliation not provided to SSRN
Downloads 9,296 (1,187)
Citation 4

Abstract:

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regime changes, regime detection, machine learning

28.

A Market Model for Inflation

Number of pages: 15 Posted: 17 Aug 2004
Nabyl Belgrade, Eric Benhamou and Etienne Koehler
CDC Ixis Capital Markets, Université Paris Dauphine and CNCE
Downloads 7,580 (1,692)
Citation 13

Abstract:

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

29.

Explainable AI Models of Stock Crashes: A Machine-Learning Explanation of the Covid March 2020 Equity Meltdown

Université Paris-Dauphine Research Paper No. 3809308
Number of pages: 18 Posted: 22 Mar 2021 Last Revised: 22 Feb 2022
AI For Alpha, affiliation not provided to SSRN, Université Paris Dauphine, Université Paris Dauphine and AI For Alpha
Downloads 7,467 (1,739)
Citation 1

Abstract:

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market crash, GBDT, Shapley

30.

Time Your Hedge With Deep Reinforcement Learning

Number of pages: 10 Posted: 28 Jan 2021 Last Revised: 06 May 2021
Université Paris Dauphine, Université Paris Dauphine, Société Générale and SGCIB
Downloads 7,132 (1,890)
Citation 9

Abstract:

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Deep Reinforcement Learning, Portfolio selection

31.

Bridging the Gap Between Markowitz Planning and Deep Reinforcement Learning

Université Paris-Dauphine Research Paper No. 3702112
Number of pages: 9 Posted: 28 Jan 2021
Université Paris Dauphine, Université Paris Dauphine, Société Générale and SGCIB
Downloads 7,035 (1,935)
Citation 11

Abstract:

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Deep Reinforcement Learning, Portfolio selection

32.

AAMDRL: Augmented Asset Management With Deep Reinforcement Learning

Université Paris-Dauphine Research Paper No. 3702113
Number of pages: 15 Posted: 28 Jan 2021
Université Paris Dauphine, Université Paris Dauphine, Société Générale, Université Paris Dauphine and SGCIB
Downloads 6,936 (1,975)
Citation 1

Abstract:

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Deep Reinforcement Learning, Portfolio selection

33.

Detecting and Adapting to Crisis Pattern with Context Based Deep Reinforcement Learning

Université Paris-Dauphine Research Paper No. 3688353
Number of pages: 9 Posted: 10 Sep 2020 Last Revised: 16 Jun 2021
Université Paris Dauphine, Université Paris Dauphine, AI For Alpha and Université Paris Dauphine
Downloads 6,780 (2,056)
Citation 12

Abstract:

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Deep Reinforcement Learning, Portfolio selection

34.

Adaptive Learning for Financial Markets Mixing Model-Based and Model-Free RL for Volatility Targeting

Forthcoming in AAMAS ALA 2021 workshop, Machine Learning Group, LAMSADE, Dauphine University, MILES Working paper
Number of pages: 10 Posted: 30 Apr 2021 Last Revised: 14 Jun 2021
Université Paris Dauphine, Université Paris Dauphine, Lombard Odier Investment Managers, Lombard Odier Investment Management and Lombard Odier Investment Managers
Downloads 6,683 (2,105)
Citation 3

Abstract:

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deep reinforcement learning, volatility targetting, model based RL, model free RL

35.

Similarities Between Policy Gradient Methods (PGM) in Reinforcement Learning (RL) and Supervised Learning (SL)

Number of pages: 7 Posted: 07 Jun 2019
Eric Benhamou
Université Paris Dauphine
Downloads 6,388 (2,250)
Citation 2

Abstract:

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Policy gradient, Supervised learning, Cross entropy, Kullback Leibler divergence, entropy

36.

From Forecast to Decisions in Graphical Models: A Natural Gradient Optimization Approach

Université Paris-Dauphine Research Paper No. 3813403
Number of pages: 25 Posted: 13 Apr 2021
Université Paris Dauphine, Université Paris Dauphine, AI For Alpha, Université Paris Dauphine and Université Paris-Dauphine, PSL Research University
Downloads 5,220 (3,205)
Citation 2

Abstract:

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37.

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 Université Paris Dauphine
Downloads 5,118 (3,333)
Citation 4

Abstract:

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

38.

Time Dependent Heston Model

Number of pages: 37 Posted: 25 Mar 2009
Eric Benhamou, Emmanuel Gobet and Mohammed Miri
Université Paris Dauphine, Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees and Thomson Reuters
Downloads 5,080 (3,370)
Citation 31

Abstract:

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

39.

Variance Reduction in Actor Critic Methods (ACM)

Number of pages: 9 Posted: 24 Jul 2019
Eric Benhamou
Université Paris Dauphine
Downloads 4,705 (3,847)

Abstract:

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40.

Computation of the marginal contribution of Sharpe ratio and other performance ratios

Université Paris-Dauphine Research Paper Forthcoming
Number of pages: 20 Posted: 14 Apr 2021
Eric Benhamou and Beatrice Guez
Université Paris Dauphine and AI For Alpha
Downloads 4,691 (3,865)

Abstract:

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Marginal contribution, Sharpe, Treynor, recovery and incremental Sharpe ratio, portfolio analysis

41.

Algorithmic and Advanced Programming in Python - Syllabus in Computer Science, Decision Making & Data - Masterclass 1

Number of pages: 40 Posted: 02 Nov 2021 Last Revised: 27 Apr 2024
Eric Benhamou and Remy Belmonte
Université Paris Dauphine and Université Paris Dauphine
Downloads 4,674 (3,889)

Abstract:

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Programming, Advanced data structure, Python

42.

Smart Monte Carlo: Various Tricks Using Malliavin Calculus

Number of pages: 11 Posted: 02 Mar 2002
Eric Benhamou
Université Paris Dauphine
Downloads 4,631 (3,953)
Citation 3

Abstract:

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

43.

Trend Without Hiccups - A Kalman Filter Approach

Number of pages: 35 Posted: 21 Mar 2016 Last Revised: 26 Apr 2016
Eric Benhamou
Université Paris Dauphine
Downloads 4,586 (4,013)

Abstract:

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

44.

Omega and Sharpe Ratio

Number of pages: 10 Posted: 30 Oct 2019
Eric Benhamou, Beatrice Guez and Nicolas Paris
Université Paris Dauphine, AI For Alpha and A.I. Square Connect
Downloads 4,543 (4,088)

Abstract:

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Omega ratio, Sharpe ratio, normal distribution, elliptical distribution

45.

Trade Selection with Supervised Learning and OCA

ECML PKDD worshop MIDAS 2020, ECML PKDD worshop MIDAS 2020
Number of pages: 16 Posted: 27 Dec 2018 Last Revised: 21 Jun 2021
David Saltiel, Eric Benhamou, Rida Laraki and Jamal Atif
Université Paris Dauphine, Université Paris Dauphine, Université Paris-Dauphine, PSL Research University and Université Paris Dauphine
Downloads 4,541 (4,093)

Abstract:

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Trade Selection, OCA, Supervised Learning, Features Selection

46.

Testing Sharpe Ratio: Luck or Skill?

Number of pages: 56 Posted: 07 Jun 2019
Université Paris Dauphine, Université Paris Dauphine, AI For Alpha and A.I. Square Connect
Downloads 4,499 (4,164)
Citation 1

Abstract:

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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
Université Paris Dauphine and Daiwa Capital Markets Europe
Downloads 2,261 (12,392)
Citation 3

Abstract:

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variable annuity, stochastic volatility, stochastic interest rates

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
Université Paris Dauphine and Daiwa Capital Markets Europe
Downloads 2,155 (13,396)
Citation 2

Abstract:

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Variable annuity, Stochastic Volatility, Stochastic Interest rates

48.

NGO-GM: Natural Gradient Optimization for Graphical Models

Université Paris-Dauphine Research Paper No. 3387874
Number of pages: 18 Posted: 03 Jun 2019
Eric Benhamou, Jamal Atif, Rida Laraki and David Saltiel
Université Paris Dauphine, Université Paris Dauphine, Université Paris-Dauphine, PSL Research University and Université Paris Dauphine
Downloads 4,355 (4,385)

Abstract:

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Graphical Model, Natural Gradient, Overfitting

49.

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 Université Paris Dauphine
Downloads 4,229 (4,606)

Abstract:

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Inflation, seasonality, decomposition scheme, trend

50.

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
Université Paris Dauphine, Université Paris Dauphine and Université Paris-Dauphine, PSL Research University
Downloads 3,960 (5,115)
Citation 2

Abstract:

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51.

BCMA-ES II: Revisiting Bayesian CMA-ES

A.I Square Working Paper, March 2019, France
Number of pages: 10 Posted: 06 May 2019
Université Paris Dauphine, Université Paris Dauphine, AI For Alpha and A.I. Square Connect
Downloads 3,910 (5,235)
Citation 1

Abstract:

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

52.

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
Université Paris Dauphine and IXIS-CIB
Downloads 3,864 (5,340)
Citation 6

Abstract:

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local time, stochastic volatility models, SABR, Black Scholes

53.

Stochastic Interest Rates for Local Volatility Hybrids Models

Number of pages: 10 Posted: 19 Mar 2008
Eric Benhamou, Arnaud Rivoira and Anne Gruz
Université Paris Dauphine, Supélec and Misys Summit
Downloads 3,520 (6,261)
Citation 12

Abstract:

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local volatility, stochastic interest rates, hybrid, Malliavin calculus

54.

Pricing Convexity Adjustment with Wiener Chaos

FMG Dp351
Number of pages: 22 Posted: 21 Mar 2001
Eric Benhamou
Université Paris Dauphine
Downloads 3,372 (6,718)
Citation 8

Abstract:

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55.

Option Pricing with Levy Process

LSE Working Paper
Number of pages: 22 Posted: 16 Apr 2001
Eric Benhamou
Université Paris Dauphine
Downloads 3,371 (6,720)
Citation 6

Abstract:

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Levy process, Fourier and Laplace transform, Smile

56.

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 Université Paris Dauphine
Downloads 3,369 (6,728)

Abstract:

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inflation derivatives, seasonality

57.

A Martingale Result for Convexity Adjustment in the Black Pricing Model

LSE Working Paper
Number of pages: 18 Posted: 27 Apr 2001
Eric Benhamou
Université Paris Dauphine
Downloads 3,368 (6,733)
Citation 7

Abstract:

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58.

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
Université Paris Dauphine, Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees and Thomson Reuters
Downloads 3,312 (6,922)
Citation 8

Abstract:

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

59.

Fast Fourier Transform for Discrete Asian Options

Number of pages: 18 Posted: 10 May 2001
Eric Benhamou
Université Paris Dauphine
Downloads 3,307 (6,936)
Citation 13

Abstract:

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

60.

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 Université Paris Dauphine
Downloads 2,991 (8,083)
Citation 1

Abstract:

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61.

Malliavin Calculus for Monte Carlo Methods in Finance

LSE Working Paper
Number of pages: 10 Posted: 24 Jan 2002
Eric Benhamou
Université Paris Dauphine
Downloads 2,975 (8,170)

Abstract:

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

62.

Small Dimension Pde for Discrete Asian Options

LSE Working Paper
Number of pages: 20 Posted: 03 Apr 2001
Eric Benhamou and Alexandre Duguet
Université Paris Dauphine and BNP - Paribas
Downloads 2,885 (8,551)
Citation 1

Abstract:

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63.

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
Université Paris Dauphine
Downloads 2,870 (8,615)
Citation 4

Abstract:

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

64.

Analytical Formulas for Local Volatility Model with Stochastic Rates

Number of pages: 25 Posted: 24 Oct 2009
Eric Benhamou, Emmanuel Gobet and Mohammed Miri
Université Paris Dauphine, Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees and Thomson Reuters
Downloads 2,776 (9,086)
Citation 1

Abstract:

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

65.

An Application of Malliavin Calculus to Continuous Time Asian Options Greeks

LSE Working Paper
Number of pages: 19 Posted: 11 May 2001
Eric Benhamou
Université Paris Dauphine
Downloads 2,761 (9,166)
Citation 7

Abstract:

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66.

Connecting Sharpe Ratio and Student T-Statistic, and Beyond

Number of pages: 25 Posted: 26 Aug 2018 Last Revised: 24 Apr 2021
Eric Benhamou
Université Paris Dauphine
Downloads 2,748 (9,254)
Citation 3

Abstract:

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

67.

BCMA-ES: A Bayesian Approach to CMA-ES

A.I Square Working Paper, March 2019, France
Number of pages: 10 Posted: 06 May 2019
Université Paris Dauphine, Université Paris Dauphine, affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 2,682 (9,611)
Citation 7

Abstract:

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CMA-ES, Bayesian, Conjugate Prior, Normal-Inverse-Wishart

68.

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
Université Paris Dauphine, Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees and Thomson Reuters
Downloads 2,660 (9,754)
Citation 3

Abstract:

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

69.

Small Triumphs Over Large: Instances Where BERT-Based Fine-Tuned Models Surpass GPT-4 in Classification Tasks

Number of pages: 18 Posted: 26 Apr 2024
Eric Benhamou
Université Paris Dauphine
Downloads 2,606 (10,085)

Abstract:

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70.

Feature Selection With Optimal Coordinate Ascent (OCA)

Number of pages: 14 Posted: 20 Dec 2018
David Saltiel and Eric Benhamou
Université Paris Dauphine and Université Paris Dauphine
Downloads 2,597 (10,126)
Citation 2

Abstract:

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feature selection, coordinate ascent, gradient boosting method

71.

Three Remarkable Properties of the Normal Distribution

Number of pages: 12 Posted: 27 Oct 2018
Eric Benhamou, Beatrice Guez and Nicolas Paris
Université Paris Dauphine, AI For Alpha and A.I. Square Connect
Downloads 2,464 (10,984)
Citation 3

Abstract:

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

72.

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
Université Paris Dauphine, Université Paris Dauphine and Université Paris-Dauphine, PSL Research University
Downloads 2,450 (11,076)
Citation 2

Abstract:

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73.

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
Université Paris Dauphine
Downloads 2,434 (11,194)
Citation 1

Abstract:

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74.

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 Université Paris Dauphine
Downloads 2,427 (11,255)

Abstract:

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

75.

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 Université Paris Dauphine
Downloads 2,403 (11,455)
Citation 1

Abstract:

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Stein method, copula, CDO, credit derivatives

76.

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
Université Paris Dauphine, Ecole des Mines de Paris and affiliation not provided to SSRN
Downloads 2,363 (11,768)
Citation 1

Abstract:

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

77.

Algorithmic and Advanced Programming in Python - Syllabus in Computer Science, Decision Making & Data - Masterclass 2

Number of pages: 43 Posted: 02 Nov 2021 Last Revised: 27 Apr 2024
Eric Benhamou and Remy Belmonte
Université Paris Dauphine and Université Paris Dauphine
Downloads 2,342 (11,963)

Abstract:

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Programming, Advanced data structure, Python

78.

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
Université Paris Dauphine and Ecole Normale Supérieure (ENS) d'Ulm
Downloads 2,146 (13,761)
Citation 1

Abstract:

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causality, Pearson correlation coecient, graphical heat map

79.

Incremental Sharpe and Other Performance Ratios

Number of pages: 18 Posted: 26 Aug 2018 Last Revised: 24 Sep 2018
Eric Benhamou and Beatrice Guez
Université Paris Dauphine and AI For Alpha
Downloads 2,098 (14,255)

Abstract:

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C12, G11

80.

T-Statistic for Autoregressive Process

Number of pages: 24 Posted: 03 Oct 2018 Last Revised: 23 May 2023
Eric Benhamou
Université Paris Dauphine
Downloads 2,072 (14,516)
Citation 1

Abstract:

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81.

A Few Properties of Sample Variance

Number of pages: 13 Posted: 03 Oct 2018
Eric Benhamou
Université Paris Dauphine
Downloads 2,060 (14,631)
Citation 4

Abstract:

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

82.

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
Université Paris Dauphine
Downloads 2,043 (14,820)

Abstract:

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Derivatives, Fixed Income, Mathematical Modeling, Finance Structuring

83.

Gram Charlier and Edgeworth Expansion for Sample Variance

Number of pages: 14 Posted: 11 Oct 2018
Eric Benhamou
Université Paris Dauphine
Downloads 2,037 (14,891)
Citation 2

Abstract:

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sample variance, Edgeworth expansion

84.

Algorithmic and Advanced Programming in Python - Syllabus in Computer Science, Decision Making & Data - Masterclass 4

Number of pages: 58 Posted: 18 Nov 2021
Eric Benhamou and Remy Belmonte
Université Paris Dauphine and Université Paris Dauphine
Downloads 1,935 (16,122)

Abstract:

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C6, C63

85.

Algorithmic and Advanced Programming in Python - Syllabus in Computer Science, Decision Making & Data - Masterclass 5

Number of pages: 62 Posted: 18 Nov 2021 Last Revised: 27 Apr 2024
Eric Benhamou and Remy Belmonte
Université Paris Dauphine and Université Paris Dauphine
Downloads 1,868 (17,063)

Abstract:

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C6, C63

86.

Sentiment Analysis of Bloomberg Markets Wrap Using ChatGPT: Application to the NASDAQ

Number of pages: 10 Posted: 15 Apr 2024
University of Paris-Saclay - CentraleSupélec, Université Paris Dauphine, AI For Alpha, Université Paris Dauphine, AI For Alpha and AI For Alpha
Downloads 1,405 (26,493)

Abstract:

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LLMs, NLP, Sentiment Analysis

87.

GRIP: Graphical Models Revealing Insights for Portfolio Replication - A Learning Approach

Number of pages: 8 Posted: 15 Apr 2024
Eric Benhamou, Jean-Jacques Ohana and Beatrice Guez
Université Paris Dauphine, AI For Alpha and AI For Alpha
Downloads 1,402 (26,549)

Abstract:

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Graphical Models, Portfolio allocation

88.

Deep Reinforcement Learning: Extending Traditional Financial Portfolio Methods

Number of pages: 8 Posted: 15 Apr 2024
Eric Benhamou, Beatrice Guez and Jean-Jacques Ohana
Université Paris Dauphine, AI For Alpha and AI For Alpha
Downloads 1,312 (29,205)

Abstract:

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89.

When Small Wins Big: Classification Tasks Where Compact Models Outperform Original GPT-4

Number of pages: 13 Posted: 15 Apr 2024
University of Paris-Saclay - CentraleSupélec, Université Paris Dauphine, AI For Alpha, AI For Alpha, Université Paris Dauphine and CentraleSupélec
Downloads 1,287 (30,073)

Abstract:

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chatGPT, GPT, Sentiment, LLMs

90.

Can ChatGPT Compute Trustworthy Sentiment Scores from Bloomberg Market Wraps?

Université Paris-Dauphine Research Paper No. 4688451
Number of pages: 32 Posted: 01 Feb 2024
University of Paris-Saclay - CentraleSupélec, Université Paris Dauphine, AI For Alpha, Université Paris Dauphine, AI For Alpha and CentraleSupélec
Downloads 1,281 (30,298)

Abstract:

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sentiment analysis, ChatGPT, stock exchange, financial news

91.

Stress Index Strategy Enhanced With Financial News Sentiment Analysis for the Equity Markets

Number of pages: 41 Posted: 15 Apr 2024
Independent, Université Paris Dauphine, AI For Alpha, AI For Alpha, Université Paris Dauphine and AI For Alpha
Downloads 1,249 (31,391)

Abstract:

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Large Language Models, GPT, sentiment

92.

Using ChatGPT to Predict the Equity Markets - PSL Week Slides

Number of pages: 61 Posted: 01 Jan 2024
Université Paris Dauphine, AI For Alpha, AI For Alpha, Université Paris Dauphine and Independent
Downloads 1,245 (31,569)

Abstract:

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ChatGPT, Sentiment Indicator, GPT

93.

Mixing Financial Stress with GPT-4 News Sentiment Analysis for Optimal Risk-On/Risk-Off Decisions

Number of pages: 44 Posted: 15 Apr 2024 Last Revised: 27 Apr 2024
University of Paris-Saclay - CentraleSupélec, Université Paris Dauphine, AI For Alpha, Université Paris Dauphine, AI For Alpha and AI For Alpha
Downloads 1,160 (34,897)

Abstract:

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Market stress, Volatility, News sentiment, Investment strategy

94.

CentraleSupélec Seminar - How do we use LLMs for predicting the equity market?

Number of pages: 15 Posted: 16 Apr 2024
Baptiste Lefort and Eric Benhamou
University of Paris-Saclay - CentraleSupélec and Université Paris Dauphine
Downloads 968 (45,298)

Abstract:

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95.

Uncertainty in Sentiment Analysis with LLMs using QCM (Quantiles of Correlation Matrices) - Distance

Number of pages: 11 Posted: 15 Apr 2024 Last Revised: 28 Apr 2024
University of Paris-Saclay - CentraleSupélec, Université Paris Dauphine, AI For Alpha, AI For Alpha and Université Paris Dauphine
Downloads 964 (45,439)

Abstract:

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LLMs, Quantile distance

96.

Deep Decoding of Strategies - Frontiers in Quantitative Finance Seminar Slides

Number of pages: 29 Posted: 28 Mar 2023
Eric Benhamou
Université Paris Dauphine
Downloads 937 (47,212)

Abstract:

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G11

97.

FSDA: Tackling Tail-Event Analysis in Imbalanced Time Series Data with Feature Selection and Data Augmentation

Université Paris-Dauphine Research Paper No. 4557797
Number of pages: 14 Posted: 01 Sep 2023 Last Revised: 07 Dec 2023
Université Paris Saclay, Université Paris Dauphine, AI For Alpha, AI For Alpha, Université Paris Dauphine, Université Paris-Dauphine, PSL Research University and Université Paris Dauphine
Downloads 100 (489,863)
Citation 1

Abstract:

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Imbalanced data

98.

Application of Malliavin Calculus and Wiener Chaos to Option Pricing Theory (1st Phd Manuscript)

Number of pages: 203 Posted: 14 Feb 2023
Eric Benhamou
Université Paris Dauphine
Downloads 70 (607,186)

Abstract:

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Monte-Carlo, Greeks, Conditional expectation, Malliavin Calculus, Likelihood Ratio, Homogeneity, Heston JEL Classification: G13

99.

FSDA: Tackling Tail-Event Analysis in Imbalanced Time Series Data (ECML PKDD 2023 - LIDTA Slides)

Number of pages: 11 Posted: 21 Oct 2023
Université Paris Saclay, Université Paris Dauphine, AI For Alpha, AI For Alpha, Université Paris Dauphine, Université Paris-Dauphine, PSL Research University and Université Paris Dauphine
Downloads 58 (668,057)

Abstract:

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Financial time series, Tail events, Imbalanced data, Feature selection, Data augmentation

100.
Downloads 44 (753,994)

Abstract:

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Research, motivations, PhD, mathematical finance

101.

Crafting Portfolios Tailored to Investor Preferences with Generative AI

Number of pages: 16 Posted: 30 Apr 2024
AI For Alpha, Université Paris Dauphine, AI For Alpha, University of Paris-Saclay - CentraleSupélec, Université Paris Dauphine and AI For Alpha
Downloads 24 (916,193)

Abstract:

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Graphical Models, portfolio replication, investor preferences

102.

Generative AI: Crafting Portfolios Tailored to Investor Preferences

Number of pages: 9 Posted: 15 Apr 2024
Eric Benhamou, Jean-Jacques Ohana and Beatrice Guez
Université Paris Dauphine, AI For Alpha and AI For Alpha
Downloads 15 (1,006,622)

Abstract:

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Machine Learning

103.

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, Université Paris Dauphine and CDC Ixis Capital Markets

Abstract:

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

Other Papers (31)

Total Downloads: 174,883
1.

Deep Reinforcement Learning for Asset Management - Abu Dhabi Machine Mearning meetup (ADML) Presentation Slides

Number of pages: 33 Posted: 24 Mar 2022
Eric Benhamou and Jean-Jacques Ohana
Université Paris Dauphine and AI For Alpha
Downloads 39,907

Abstract:

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Strategy Decoding, Portfolio Allocation, Reinforcement Learning

2.

Become a Kaggle Master - Syllabus in Machine Learning and Data Science - Masterclass 1

Number of pages: 19 Posted: 08 Feb 2023 Last Revised: 28 Apr 2024
Eric Benhamou
Université Paris Dauphine
Downloads 29,543

Abstract:

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Kaggle Competition, Machine Learning, Expert Tips

3.

Become a Kaggle Master - Syllabus in Machine Learning and Data Science - Masterclass 3

Number of pages: 100 Posted: 08 Feb 2023 Last Revised: 27 Apr 2024
Eric Benhamou
Université Paris Dauphine
Downloads 29,534

Abstract:

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Kaggle Competition, Machine Learning, Expert Tips

4.

Become a Kaggle Master - Syllabus in Machine Learning and Data Science - Masterclass 2

Number of pages: 110 Posted: 08 Feb 2023 Last Revised: 27 Apr 2024
Eric Benhamou
Université Paris Dauphine
Downloads 29,533

Abstract:

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Kaggle Competition, Machine Learning, Expert Tips

5.

Introduction to Deep Reinforcement Learning (Dauphine AI Summer School - Presentation Slides)

Number of pages: 25 Posted: 22 Jun 2021 Last Revised: 15 Nov 2021
Eric Benhamou and David Saltiel
Université Paris Dauphine and Université Paris Dauphine
Downloads 13,865

Abstract:

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6.

Next Generation Robo Advisors (Dauphine Ai Summer School - Presentation Slides)

Number of pages: 35 Posted: 22 Jun 2021 Last Revised: 15 Nov 2021
Eric Benhamou
Université Paris Dauphine
Downloads 6,985

Abstract:

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7.

Explainable AI Models Applied to the Multi-Agent Environment of FInancial Markets (Slides EXTRAAMAS 2021 Seminar)

EXTRAAMAS 2021, 4 May 2021, online
Number of pages: 17 Posted: 06 May 2021 Last Revised: 15 Nov 2021
AI For Alpha, affiliation not provided to SSRN, Université Paris Dauphine, Université Paris Dauphine and AI For Alpha
Downloads 2,282

Abstract:

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8.

Deep Reinforcement Learning - Masterclass 1 - Introduction and Course Overview

Number of pages: 53 Posted: 24 Mar 2022
Eric Benhamou and David Saltiel
Université Paris Dauphine and Université Paris Dauphine
Downloads 1,420

Abstract:

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Deep Reinforcement Learning

9.

Deep Reinforcement Learning - Masterclass 4 - Introduction to Reinforcement Learning

Number of pages: 52 Posted: 24 Mar 2022
Eric Benhamou and David Saltiel
Université Paris Dauphine and Université Paris Dauphine
Downloads 1,400

Abstract:

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Deep Reinforcement Learning

10.

Deep Reinforcement Learning - Masterclass 5 - Policy Gradient (Reinforce and Beyond)

Number of pages: 42 Posted: 24 Mar 2022
Eric Benhamou and David Saltiel
Université Paris Dauphine and Université Paris Dauphine
Downloads 1,387

Abstract:

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Deep Reinforcement Learning, Policy Gradient

11.

Deep Reinforcement Learning - Masterclass 2 - Supervised Learning of Behaviors

Number of pages: 55 Posted: 24 Mar 2022
Eric Benhamou and David Saltiel
Université Paris Dauphine and Université Paris Dauphine
Downloads 1,382

Abstract:

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Deep Reinforcement Learning, Supervised Learning of behaviors, Imitation learning

12.

Deep Reinforcement Learning - Masterclass 6 - Actor Critic Methods

Number of pages: 40 Posted: 24 Mar 2022
Eric Benhamou and David Saltiel
Université Paris Dauphine and Université Paris Dauphine
Downloads 1,378

Abstract:

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Deep Reinforcement Learning, Actor-Critic Algorithms

13.

Deep Reinforcement Learning - Masterclass 3 - Introduction to Pytorch

Number of pages: 15 Posted: 24 Mar 2022
Eric Benhamou and David Saltiel
Université Paris Dauphine and Université Paris Dauphine
Downloads 1,374

Abstract:

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Deep Reinforcement Learning, pytorch

14.

Deep Reinforcement Learning - Masterclass 8 - Deep Q Learning

Number of pages: 42 Posted: 24 Mar 2022
Eric Benhamou and David Saltiel
Université Paris Dauphine and Université Paris Dauphine
Downloads 940

Abstract:

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Deep Q-Learning, Deep Reinforcement Learning

15.

Deep Reinforcement Learning - Masterclass 10 - Applying Deep RL in Practice with Kaggle

Number of pages: 16 Posted: 24 Mar 2022
Eric Benhamou and David Saltiel
Université Paris Dauphine and Université Paris Dauphine
Downloads 935

Abstract:

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Planning, Deep Reinforcement Learning, Kaggle

16.

Deep Reinforcement Learning - Masterclass 11 - Optimal Control and Planning

Number of pages: 47 Posted: 24 Mar 2022
Eric Benhamou and David Saltiel
Université Paris Dauphine and Université Paris Dauphine
Downloads 925

Abstract:

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Optimal Control and Planning

17.

Deep Reinforcement Learning - Masterclass 13 - Model-Based Policy Learning Part 2

Number of pages: 48 Posted: 24 Mar 2022
Eric Benhamou and David Saltiel
Université Paris Dauphine and Université Paris Dauphine
Downloads 920

Abstract:

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model-free learning in model based RL

18.

Deep Reinforcement Learning - Masterclass 9 - Advanced Policy Gradients

Number of pages: 26 Posted: 24 Mar 2022
Eric Benhamou and David Saltiel
Université Paris Dauphine and Université Paris Dauphine
Downloads 917

Abstract:

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Advanced Policy Gradients, Deep Reinforcement Learning, Natural Gradient

19.

Deep Reinforcement Learning - Masterclass 7 - Value Function Methods

Number of pages: 29 Posted: 24 Mar 2022
Eric Benhamou and David Saltiel
Université Paris Dauphine and Université Paris Dauphine
Downloads 909

Abstract:

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Value Function Methods, Deep Reinforcement Learning

20.

Deep Reinforcement Learning - Masterclass 12 - Model-Based Reinforcement Learning

Number of pages: 42 Posted: 24 Mar 2022
Eric Benhamou and David Saltiel
Université Paris Dauphine and Université Paris Dauphine
Downloads 900

Abstract:

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Model-based RL, Uncertainty in RL

Abstract:

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Offline RL, distribution shift, explicit and implicit constraints methods, CQL, MOPO, COMBO

22.

Deep Reinforcement Learning - Masterclass 24 - Conclusion, Challenges and Open Problems

Number of pages: 32 Posted: 24 Mar 2022
Eric Benhamou
Université Paris Dauphine
Downloads 814

Abstract:

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RL, Hyperparameters tuning, Stability, sample complexity, scaling and generalization

23.

Deep Reinforcement Learning - Masterclass 18 - Reinforcement Learning Theory Basics - Concentration inequalities

Number of pages: 22 Posted: 24 Mar 2022
Eric Benhamou
Université Paris Dauphine
Downloads 776

Abstract:

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Reinforcement Learning theory, concentration inequalities, sampling errors

24.

Deep Reinforcement Learning - Masterclass 21 - Inverse Reinforcement Learning

Number of pages: 34 Posted: 24 Mar 2022
Eric Benhamou
Université Paris Dauphine
Downloads 775

Abstract:

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Inverse Reinforcement Learning, probabilistic models of behavior

Abstract:

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Offline RL, Generalization gap, Distribution shift, Batch RL via Importance Sampling and Linear Fitted Value Functions

26.

Deep Reinforcement Learning - Masterclass 14 - Exploration Part 1 - UCB Thompson Sampling and Information Gain

Number of pages: 47 Posted: 24 Mar 2022
Eric Benhamou and David Saltiel
Université Paris Dauphine and Université Paris Dauphine
Downloads 755

Abstract:

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Exploration, UCB, Thompson sampling, information gain, counting with hashes

27.
Downloads 752

Abstract:

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transfer and multi-task learning, contextual policies

28.
Downloads 751

Abstract:

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reinforcement learning,optimal control, probabilistic inference problems

29.

Deep Reinforcement Learning - Masterclass 23 - Meta-Learning and Learning to Learn

Number of pages: 43 Posted: 24 Mar 2022
Eric Benhamou
Université Paris Dauphine
Downloads 750

Abstract:

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meta-learning, learning to learn

30.

Deep Reinforcement Learning - Masterclass 15 - Exploration Part 2 - Reinforcement Learning without Rewards, Reaching Goals and Learning Skills

Number of pages: 31 Posted: 24 Mar 2022
Eric Benhamou and David Saltiel
Université Paris Dauphine and Université Paris Dauphine
Downloads 745

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information theory, entropy, Kullback Leibler divergence, reinforcement learning without rewards

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Variational Inference, Generative Model, Probabilistic latent variable models, Amortized variational inference,variational autoencoders,reparameterization trick