S
Zodix
Study
Academic Library
Search
Shelves
Open access
Sign in
Search or jump to…
⌘K
Eric Benhamou · Study
Home
/
Author
Eric Benhamou
10 works
· latest 2021
· 5 institutions
cluster: provisional
ORCID 0000-0002-4879-0414
Follow
Suggest an ORCID correction
h-index
10
i10
10
Citations
546
Works here
10
01
02
03
04
09
10
11
21
Most cited in this library
Time Dependent Heston Model
2010 · 160 citations
Smart expansion and fast calibration for jump diffusions
2009 · 73 citations
Fast Fourier transform for discrete Asian options
2002 · 69 citations
Explainable AI (XAI) Models Applied to the Multi-agent Environment of Financial Markets
2021 · 55 citations
EXPANSION FORMULAS FOR EUROPEAN OPTIONS IN A LOCAL VOLATILITY MODEL
2010 · 49 citations
Works
10 shown
Explainable AI (XAI) Models Applied to the Multi-agent Environment of Financial Markets
Lecture notes in computer science
·
2021
·
5 authors
·
other
55
citations
Analytical formulas for a local volatility model with stochastic rates
Quantitative Finance
·
2011
·
3 authors
·
Open access
22
citations
EXPANSION FORMULAS FOR EUROPEAN OPTIONS IN A LOCAL VOLATILITY MODEL
International Journal of Theoretical and Applied Finance
·
2010
·
3 authors
·
Open access
49
citations
Time Dependent Heston Model
SIAM Journal on Financial Mathematics
·
2010
·
3 authors
·
Open access
160
citations
Smart expansion and fast calibration for jump diffusions
Finance and Stochastics
·
2009
·
3 authors
73
citations
A Market Model for Inflation
SSRN Electronic Journal
·
2004
·
3 authors
·
preprint
·
Open access
26
citations
Optimal Malliavin Weighting Function for the Computation of the Greeks
Mathematical Finance
·
2003
·
1 author
·
Open access
45
citations
Smart Monte Carlo: various tricks using Malliavin calculus
Quantitative Finance
·
2002
·
1 author
23
citations
Fast Fourier transform for discrete Asian options
The Journal of Computational Finance
·
2002
·
1 author
69
citations
Fast Fourier Transform for Discrete Asian Options
SSRN Electronic Journal
·
2001
·
1 author
·
preprint
·
Open access
24
citations