Eric Benhamou

Université Paris Dauphine

Place du Maréchal de Tassigny

Paris, Cedex 16 75775

France

EB AI Advisory

35 Boulevard d'Inkermann

Neuilly sur Seine, 92200

France

AI For Alpha

35 boulevard d'Inkermann

Neuilly sur Seine, 92200

France

SCHOLARLY PAPERS

76

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440,187

SSRN CITATIONS
Rank 7,993

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Top 7,993

in Total Papers Citations

70

CROSSREF CITATIONS

92

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

Scholarly Papers (76)

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
Societe Generale and Université Paris Dauphine
Downloads 28,496 (106)

Abstract:

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DRL, Boosting

2.

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, Ecole Polytechnique Fédérale de Lausanne, Lombard Odier Investment Managers and AI For Alpha
Downloads 20,330 (186)

Abstract:

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

3.

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, Societe Generale and SGCIB
Downloads 18,938 (222)

Abstract:

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Deep Reinforcement Learning, Portfolio selection, Hedge

4.

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, Ecole Polytechnique Fédérale de Lausanne, Lombard Odier Investment Managers and AI For Alpha
Downloads 18,552 (234)

Abstract:

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5.

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, Societe Generale and SGCIB
Downloads 15,980 (317)

Abstract:

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Deep Reinforcement Learning, Hedge selection

6.

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, Societe Generale and SGCIB
Downloads 14,581 (370)

Abstract:

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Deep RL, Markowitz, Convolution network

7.

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 12,610 (484)

Abstract:

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Transformers, Reinforcement Learning

8.

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: 17 Nov 2021
Eric Benhamou and Remy Belmonte
Université Paris Dauphine and Université Paris Dauphine
Downloads 11,643 (567)

Abstract:

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

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: 17 Nov 2021
Eric Benhamou and Remy Belmonte
Université Paris Dauphine and Université Paris Dauphine
Downloads 11,414 (591)

Abstract:

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Bagging, Boosting, XGBoost, LighGBM, Stacking

10.

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 11,049 (627)

Abstract:

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Machine Learning, GBDT

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: 17 Nov 2021
Eric Benhamou and Remy Belmonte
Université Paris Dauphine and Université Paris Dauphine
Downloads 10,666 (668)

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 10,378 (697)

Abstract:

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C6, C63

13.

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 10,246 (708)
Citation 1

Abstract:

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Deep Reinforcement Learning, Portfolio Selection

14.

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 9,952 (747)

Abstract:

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15.

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 9,199 (865)
Citation 1

Abstract:

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regime changes, regime detection, machine learning

16.

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 8,948 (906)

Abstract:

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Programming, advanced data structure, python

17.

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 7,511 (1,226)
Citation 13

Abstract:

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

18.

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 7,388 (1,259)
Citation 1

Abstract:

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market crash, GBDT, Shapley

19.

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, Societe Generale and SGCIB
Downloads 7,070 (1,356)
Citation 7

Abstract:

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Deep Reinforcement Learning, Portfolio selection

20.

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, Societe Generale and SGCIB
Downloads 6,959 (1,395)
Citation 8

Abstract:

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Deep Reinforcement Learning, Portfolio selection

21.

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, Societe Generale, Université Paris Dauphine and SGCIB
Downloads 6,892 (1,428)
Citation 1

Abstract:

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Deep Reinforcement Learning, Portfolio selection

22.

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 6,747 (1,479)
Citation 5

Abstract:

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Deep Reinforcement Learning, Portfolio selection

23.

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 6,630 (1,521)
Citation 1

Abstract:

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

24.

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 6,379 (1,626)
Citation 1

Abstract:

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

25.

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 5,182 (2,288)

Abstract:

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26.

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 5,089 (2,376)
Citation 4

Abstract:

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

27.

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 5,058 (2,406)
Citation 26

Abstract:

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

28.

Variance Reduction in Actor Critic Methods (ACM)

Number of pages: 9 Posted: 24 Jul 2019
Eric Benhamou
Université Paris Dauphine
Downloads 4,697 (2,748)

Abstract:

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29.

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 4,664 (2,785)

Abstract:

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

30.

Smart Monte Carlo: Various Tricks Using Malliavin Calculus

Number of pages: 11 Posted: 02 Mar 2002
Eric Benhamou
Université Paris Dauphine
Downloads 4,620 (2,824)
Citation 3

Abstract:

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

31.

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 4,521 (2,956)

Abstract:

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Omega ratio, Sharpe ratio, normal distribution, elliptical distribution

32.

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 4,510 (2,969)

Abstract:

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Trade Selection, OCA, Supervised Learning, Features Selection

33.

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 4,477 (3,006)
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 2,253 (9,089)
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 2,152 (9,824)
Citation 2

Abstract:

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Variable annuity, Stochastic Volatility, Stochastic Interest rates

35.

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 4,343 (3,150)
Citation 1

Abstract:

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Graphical Model, Natural Gradient, Overfitting

36.

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 4,276 (3,223)

Abstract:

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

37.

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 4,200 (3,324)

Abstract:

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Inflation, seasonality, decomposition scheme, trend

38.

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 3,956 (3,679)
Citation 2

Abstract:

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39.

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 3,903 (3,749)
Citation 1

Abstract:

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

40.

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 3,841 (3,863)
Citation 6

Abstract:

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local time, stochastic volatility models, SABR, Black Scholes

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: 17 Nov 2021
Eric Benhamou and Remy Belmonte
Université Paris Dauphine and Université Paris Dauphine
Downloads 3,606 (4,295)

Abstract:

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Programming, Advanced data structure, Python

42.

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 3,494 (4,539)
Citation 12

Abstract:

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local volatility, stochastic interest rates, hybrid, Malliavin calculus

43.

Option Pricing with Levy Process

LSE Working Paper
Number of pages: 22 Posted: 16 Apr 2001
Eric Benhamou
Université Paris Dauphine
Downloads 3,360 (4,861)
Citation 6

Abstract:

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Levy process, Fourier and Laplace transform, Smile

44.

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 3,358 (4,867)

Abstract:

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inflation derivatives, seasonality

45.

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 3,358 (4,867)
Citation 7

Abstract:

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46.

Pricing Convexity Adjustment with Wiener Chaos

FMG Dp351
Number of pages: 22 Posted: 21 Mar 2001
Eric Benhamou
Université Paris Dauphine
Downloads 3,358 (4,867)
Citation 8

Abstract:

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47.

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 3,302 (5,029)
Citation 8

Abstract:

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

48.

Fast Fourier Transform for Discrete Asian Options

Number of pages: 18 Posted: 10 May 2001
Eric Benhamou
Université Paris Dauphine
Downloads 3,300 (5,037)
Citation 13

Abstract:

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

49.

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 2,982 (5,964)
Citation 1

Abstract:

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50.

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 2,968 (6,018)

Abstract:

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

51.

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 2,874 (6,325)
Citation 1

Abstract:

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52.

Deep Decoding of Strategies

Number of pages: 20 Posted: 16 Jun 2022
AI For Alpha, Université Paris Dauphine, Université Paris Dauphine and AI For Alpha
Downloads 2,840 (6,540)

Abstract:

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Decoding, risk management

53.

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 2,828 (6,498)
Citation 4

Abstract:

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

54.

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 2,765 (6,721)
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

55.

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 2,755 (6,755)
Citation 7

Abstract:

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56.

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 2,735 (6,833)
Citation 3

Abstract:

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

57.

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 2,673 (7,060)
Citation 6

Abstract:

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

58.

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 2,650 (7,162)
Citation 3

Abstract:

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

59.

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 2,586 (7,474)
Citation 1

Abstract:

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feature selection, coordinate ascent, gradient boosting method

60.

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 2,454 (8,098)
Citation 3

Abstract:

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

61.

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 2,443 (8,156)
Citation 1

Abstract:

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62.

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 2,427 (8,247)
Citation 1

Abstract:

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63.

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 2,416 (8,298)

Abstract:

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

64.

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 2,397 (8,400)
Citation 1

Abstract:

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Stein method, copula, CDO, credit derivatives

65.

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 2,356 (8,595)
Citation 1

Abstract:

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

66.

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 2,131 (10,173)
Citation 1

Abstract:

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causality, Pearson correlation coecient, graphical heat map

67.

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 2,089 (10,518)

Abstract:

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C12, G11

68.

T-Statistic for Autoregressive Process

Number of pages: 24 Posted: 03 Oct 2018
Eric Benhamou
Université Paris Dauphine
Downloads 2,062 (10,765)
Citation 1

Abstract:

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69.

A Few Properties of Sample Variance

Number of pages: 13 Posted: 03 Oct 2018
Eric Benhamou
Université Paris Dauphine
Downloads 2,053 (10,840)
Citation 4

Abstract:

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

70.

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 2,036 (10,997)

Abstract:

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Derivatives, Fixed Income, Mathematical Modeling, Finance Structuring

71.

Gram Charlier and Edgeworth Expansion for Sample Variance

Number of pages: 14 Posted: 11 Oct 2018
Eric Benhamou
Université Paris Dauphine
Downloads 2,034 (11,009)
Citation 2

Abstract:

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sample variance, Edgeworth expansion

72.

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: 17 Nov 2021
Eric Benhamou and Remy Belmonte
Université Paris Dauphine and Université Paris Dauphine
Downloads 1,909 (12,182)

Abstract:

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Programming, Advanced data structure, Python

73.

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 1,654 (15,292)

Abstract:

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C6, C63

74.

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: 04 Dec 2021
Eric Benhamou and Remy Belmonte
Université Paris Dauphine and Université Paris Dauphine
Downloads 1,601 (16,043)

Abstract:

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C6, C63

75.

Optimal Malliavin Weighting Function for the Computation of the Greeks

Number of pages: 17 Posted: 20 Mar 2003
Eric Benhamou
Université Paris Dauphine
Downloads 33 (611,064)

Abstract:

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

76.

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

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

Other Papers (28)

Total Downloads: 52,242
1.

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 13,862

Abstract:

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2.

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 7,020

Abstract:

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Strategy Decoding, Portfolio Allocation, Reinforcement Learning

3.

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 6,953

Abstract:

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4.

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 2,269

Abstract:

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5.

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 1,354

Abstract:

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Deep Reinforcement Learning

6.

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 1,348

Abstract:

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Deep Reinforcement Learning

7.

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 1,333

Abstract:

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Deep Reinforcement Learning, Supervised Learning of behaviors, Imitation learning

8.

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 1,332

Abstract:

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Deep Reinforcement Learning, Policy Gradient

9.

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 1,327

Abstract:

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Deep Reinforcement Learning, pytorch

10.

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 1,326

Abstract:

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Deep Reinforcement Learning, Actor-Critic Algorithms

11.

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 897

Abstract:

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Optimal Control and Planning

12.

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 892

Abstract:

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Planning, Deep Reinforcement Learning, Kaggle

13.

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 882

Abstract:

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Deep Q-Learning, Deep Reinforcement Learning

14.

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 881

Abstract:

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model-free learning in model based RL

15.

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 876

Abstract:

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Advanced Policy Gradients, Deep Reinforcement Learning, Natural Gradient

16.

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 875

Abstract:

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Model-based RL, Uncertainty in RL

17.

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 873

Abstract:

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Value Function Methods, Deep Reinforcement Learning

18.

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

Number of pages: 32 Posted: 24 Mar 2022
Eric Benhamou
Université Paris Dauphine
Downloads 742

Abstract:

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

Abstract:

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

20.

Deep Reinforcement Learning - Masterclass 21 - Inverse Reinforcement Learning

Number of pages: 34 Posted: 24 Mar 2022
Eric Benhamou
Université Paris Dauphine
Downloads 725

Abstract:

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Inverse Reinforcement Learning, probabilistic models of behavior

21.

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 724

Abstract:

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

Abstract:

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

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 721

Abstract:

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Reinforcement Learning theory, concentration inequalities, sampling errors

24.
Downloads 719

Abstract:

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transfer and multi-task learning, contextual policies

25.
Downloads 718

Abstract:

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reinforcement learning,optimal control, probabilistic inference problems

26.

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 717

Abstract:

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

27.

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 716

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meta-learning, learning to learn

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