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

45

DOWNLOADS
Rank 502

SSRN RANKINGS

Top 502

in Total Papers Downloads

38,107

CITATIONS
Rank 4,939

SSRN RANKINGS

Top 4,939

in Total Papers Citations

111

Scholarly Papers (45)

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 4,950 (1,499)
Citation 10

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 2,807 (4,016)
Citation 32

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 2,787 (4,058)
Citation 4

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 2,454 (5,009)

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 2,152 (6,242)
Citation 7

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 2,010 (7,019)
Citation 3

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 1,949 (7,415)

Abstract:

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inflation derivatives, seasonality

8.

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 1,827 (8,278)

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

9.

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 1,760 (8,800)
Citation 12

Abstract:

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local volatility, stochastic interest rates, hybrid, Malliavin calculus

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 1,640 (9,853)
Citation 6

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 1,563 (10,693)
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 1,516 (11,229)
Citation 4

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 (14,086)

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 1,298 (14,342)
Citation 19

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 1,264 (14,923)
Citation 6

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 977 (22,040)
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 (30,225)
Citation 16

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 383 (74,857)
Citation 2

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 371 (77,673)
Citation 3

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 748 (32,182)
Citation 1

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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 (34,856)
Citation 1

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 662 (37,948)
Citation 7

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 (50,992)

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 (56,625)

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 (81,153)

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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 (90,562)
Citation 1

Abstract:

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Stein method, copula, CDO, credit derivatives

26.

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 133 (212,663)

Abstract:

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

27.

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 119 (231,506)

Abstract:

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Derivatives, Fixed Income, Mathematical Modeling, Finance Structuring

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 40 (418,882)

Abstract:

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C12, G11

29.

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 32 (451,863)

Abstract:

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Trade Selection, OCA, Supervised Learning, Features Selection

30.

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 (465,998)
Citation 11
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Abstract:

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

31.

Connecting Sharpe Ratio and Student T-Statistic, and Beyond

Number of pages: 22 Posted: 26 Aug 2018 Last Revised: 11 May 2019
Eric Benhamou
A.I. Square Connect
Downloads 28 (470,926)

Abstract:

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

32.

Testing Sharpe Ratio: Luck or Skill?

Number of pages: 56 Posted: 07 Jun 2019
A.I. Square Connect, A.I. Square Connect, A.I. Square Connect and A.I. Square Connect
Downloads 16 (537,893)

Abstract:

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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 16 (537,893)

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causality, Pearson correlation coecient, graphical heat map

34.

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 (555,697)
Citation 1

Abstract:

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feature selection, coordinate ascent, gradient boosting method

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 9 (580,223)

Abstract:

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36.

Gram Charlier and Edgeworth Expansion for Sample Variance

Number of pages: 14 Posted: 11 Oct 2018
Eric Benhamou
A.I. Square Connect
Downloads 8 (586,455)

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sample variance, Edgeworth expansion

37.
Downloads 7 (592,722)

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

38.

BCMA-ES II: Revisiting Bayesian CMA-ES

A.I Square Working Paper, March 2019, France
Number of pages: 10 Posted: 06 May 2019
A.I. Square Connect, A.I. Square Connect, A.I. Square Connect and A.I. Square Connect
Downloads 6 (599,161)

Abstract:

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

39.

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 (599,161)
Citation 1

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

40.

BCMA-ES: A Bayesian Approach to CMA-ES

A.I Square Working Paper, March 2019, France
Number of pages: 10 Posted: 06 May 2019
A.I. Square Connect, A.I. Square Connect, affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 5 (605,734)
Citation 1

Abstract:

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

41.

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 (605,734)

Abstract:

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42.

T-Statistic for Autoregressive Process

Number of pages: 24 Posted: 03 Oct 2018
Eric Benhamou
A.I. Square Connect
Downloads 5 (605,734)

Abstract:

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43.

A Few Properties of Sample Variance

Number of pages: 13 Posted: 03 Oct 2018
Eric Benhamou
A.I. Square Connect
Downloads 5 (605,734)
Citation 2

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

44.

NGO-GM: Natural Gradient Optimization for Graphical Models

Number of pages: 18 Posted: 03 Jun 2019
Eric Benhamou, Jamal Atif, Rida Laraki and David Saltiel
A.I. Square Connect, Université Paris Dauphine, Université Paris-Dauphine, PSL Research University and A.I. Square Connect
Downloads 4 (612,577)

Abstract:

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Graphical Model, Natural Gradient, Overfitting

45.

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