Eric Benhamou

AI For Alpha

35 boulevard d'Inkermann

Neuilly sur Seine, 92200

France

http://aiforalpha.com

LAMSADE- Paris Dauphine University

Place du Marechal de Lattre de Tassigny

Pais, 75016

France

http://www.lamsade.dauphine.fr/wp/miles/

SCHOLARLY PAPERS

55

DOWNLOADS
Rank 306

SSRN RANKINGS

Top 306

in Total Papers Downloads

59,364

SSRN CITATIONS
Rank 9,657

SSRN RANKINGS

Top 9,657

in Total Papers Citations

53

CROSSREF CITATIONS

75

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

Scholarly Papers (55)

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, AI For Alpha and CNCE
Downloads 5,614 (1,581)
Citation 13

Abstract:

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

2.

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 AI For Alpha
Downloads 3,178 (4,224)
Citation 4

Abstract:

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

3.

Time Dependent Heston Model

Number of pages: 37 Posted: 25 Mar 2009
Eric Benhamou, Emmanuel Gobet and Mohammed Miri
AI For Alpha, Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees and Thomson Reuters
Downloads 3,177 (4,229)
Citation 25

Abstract:

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

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 AI For Alpha
Downloads 2,954 (4,798)

Abstract:

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Inflation, seasonality, decomposition scheme, trend

5.

Trend Without Hiccups - A Kalman Filter Approach

Number of pages: 35 Posted: 21 Mar 2016 Last Revised: 26 Apr 2016
Eric Benhamou
AI For Alpha
Downloads 2,646 (5,763)

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

6.
Downloads 2,629 (5,822)
Citation 6

Abstract:

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local time, stochastic volatility models, SABR, Black Scholes

7.

Smart Monte Carlo: Various Tricks Using Malliavin Calculus

Number of pages: 11 Posted: 02 Mar 2002
Eric Benhamou
AI For Alpha
Downloads 2,546 (6,154)
Citation 3

Abstract:

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

8.

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 AI For Alpha
Downloads 2,383 (6,872)

Abstract:

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inflation derivatives, seasonality

9.

Stochastic Interest Rates for Local Volatility Hybrids Models

Number of pages: 10 Posted: 19 Mar 2008
Eric Benhamou, Arnaud Rivoira and Anne Gruz
AI For Alpha, Supélec and Misys Summit
Downloads 2,246 (7,581)
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
AI For Alpha
Downloads 2,080 (8,606)
Citation 7

Abstract:

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11.

Option Pricing with Levy Process

LSE Working Paper
Number of pages: 22 Posted: 16 Apr 2001
Eric Benhamou
AI For Alpha
Downloads 2,027 (8,988)
Citation 5

Abstract:

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Levy process, Fourier and Laplace transform, Smile

12.

Pricing Convexity Adjustment with Wiener Chaos

FMG Dp351
Number of pages: 22 Posted: 21 Mar 2001
Eric Benhamou
AI For Alpha
Downloads 1,999 (9,181)
Citation 8

Abstract:

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13.

Malliavin Calculus for Monte Carlo Methods in Finance

LSE Working Paper
Number of pages: 10 Posted: 24 Jan 2002
Eric Benhamou
AI For Alpha
Downloads 1,758 (11,278)

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

Number of pages: 18 Posted: 10 May 2001
Eric Benhamou
AI For Alpha
Downloads 1,753 (11,329)
Citation 13

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
AI For Alpha, Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees and Thomson Reuters
Downloads 1,743 (11,444)
Citation 8

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
AI For Alpha
Downloads 1,425 (15,734)
Citation 7

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
AI For Alpha, Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees and Thomson Reuters
Downloads 1,206 (20,276)
Citation 3

Abstract:

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

18.

Small Dimension Pde for Discrete Asian Options

LSE Working Paper
Number of pages: 20 Posted: 03 Apr 2001
Eric Benhamou and Alexandre Duguet
AI For Alpha and BNP - Paribas
Downloads 1,177 (21,041)
Citation 1

Abstract:

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19.

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 AI For Alpha
Downloads 1,145 (21,950)
Citation 1

Abstract:

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20.

Analytical Formulas for Local Volatility Model with Stochastic Rates

Number of pages: 25 Posted: 24 Oct 2009
Eric Benhamou, Emmanuel Gobet and Mohammed Miri
AI For Alpha, Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees and Thomson Reuters
Downloads 1,088 (23,634)
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

21.

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
AI For Alpha
Downloads 953 (28,678)

Abstract:

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22.

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
AI For Alpha, Ecole des Mines de Paris and affiliation not provided to SSRN
Downloads 904 (30,962)
Citation 1

Abstract:

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

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
AI For Alpha and Daiwa Capital Markets Europe
Downloads 399 (87,306)
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
AI For Alpha and Daiwa Capital Markets Europe
Downloads 392 (89,097)
Citation 3

Abstract:

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variable annuity, stochastic volatility, stochastic interest rates

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 AI For Alpha
Downloads 779 (37,963)

Abstract:

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

25.

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

Pricing Partners Working Paper
Number of pages: 19 Posted: 06 Dec 2007 Last Revised: 24 Dec 2007
Marian Ciuca, Dorinel Bastide and Eric Benhamou
Pricing Partners, Pricing Partners and AI For Alpha
Downloads 747 (40,216)
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
AI For Alpha
Downloads 676 (46,092)
Citation 3

Abstract:

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

27.

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

Number of pages: 18 Posted: 22 Mar 2021 Last Revised: 29 Mar 2021
Homa Capital, ESCP Europe, AI For Alpha, A.I. Square Connect and A.I. Square Connect
Downloads 501 (67,024)

Abstract:

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market crash, GBDT, Shapley

28.

Time Your Hedge With Deep Reinforcement Learning

Number of pages: 11 Posted: 28 Jan 2021
AI For Alpha, A.I. Square Connect, Societe Generale and SGCIB
Downloads 475 (72,154)
Citation 1

Abstract:

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Deep Reinforcement Learning, Portfolio selection

29.

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
AI For Alpha
Downloads 466 (73,858)

Abstract:

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Derivatives, Fixed Income, Mathematical Modeling, Finance Structuring

30.

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
AI For Alpha and Ecole Normale Supérieure (ENS) d'Ulm
Downloads 430 (81,376)
Citation 1

Abstract:

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causality, Pearson correlation coecient, graphical heat map

31.

AAMDRL: Augmented Asset Management With Deep Reinforcement Learning

Number of pages: 15 Posted: 28 Jan 2021
AI For Alpha, A.I. Square Connect, Societe Generale, Université Paris Dauphine and SGCIB
Downloads 427 (82,048)
Citation 1

Abstract:

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Deep Reinforcement Learning, Portfolio selection

32.

Bridging the Gap Between Markowitz Planning and Deep Reinforcement Learning

Number of pages: 9 Posted: 28 Jan 2021
AI For Alpha, A.I. Square Connect, Societe Generale and SGCIB
Downloads 427 (82,048)
Citation 1

Abstract:

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Deep Reinforcement Learning, Portfolio selection

33.

Testing Sharpe Ratio: Luck or Skill?

Number of pages: 56 Posted: 07 Jun 2019
AI For Alpha, A.I. Square Connect, A.I. Square Connect and A.I. Square Connect
Downloads 424 (82,765)
Citation 1

Abstract:

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34.

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 AI For Alpha
Downloads 424 (82,765)

Abstract:

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Trade Selection, OCA, Supervised Learning, Features Selection

35.

Incremental Sharpe and Other Performance Ratios

Number of pages: 18 Posted: 26 Aug 2018 Last Revised: 24 Sep 2018
Eric Benhamou and Beatrice Guez
AI For Alpha and A.I. Square Connect
Downloads 424 (82,765)

Abstract:

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C12, G11

36.

Omega and Sharpe Ratio

Number of pages: 10 Posted: 30 Oct 2019
Eric Benhamou, Beatrice Guez and Nicolas Paris
AI For Alpha, A.I. Square Connect and A.I. Square Connect
Downloads 422 (83,229)

Abstract:

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Omega ratio, Sharpe ratio, normal distribution, elliptical distribution

37.

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

Number of pages: 9 Posted: 10 Sep 2020 Last Revised: 11 Sep 2020
AI For Alpha, A.I. Square Connect, Homa Capital and Université Paris Dauphine
Downloads 409 (86,329)
Citation 2

Abstract:

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Deep Reinforcement Learning, Portfolio selection

38.

Connecting Sharpe Ratio and Student T-Statistic, and Beyond

Number of pages: 22 Posted: 26 Aug 2018 Last Revised: 11 May 2019
Eric Benhamou
AI For Alpha
Downloads 394 (90,125)
Citation 1

Abstract:

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

39.

BCMA-ES II: Revisiting Bayesian CMA-ES

A.I Square Working Paper, March 2019, France
Number of pages: 10 Posted: 06 May 2019
AI For Alpha, A.I. Square Connect, A.I. Square Connect and A.I. Square Connect
Downloads 393 (90,388)

Abstract:

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

40.

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 AI For Alpha
Downloads 393 (90,388)
Citation 2

Abstract:

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feature selection, coordinate ascent, gradient boosting method

41.
Downloads 382 (93,499)
Citation 1

Abstract:

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

42.

BCMA-ES: A Bayesian Approach to CMA-ES

A.I Square Working Paper, March 2019, France
Number of pages: 10 Posted: 06 May 2019
AI For Alpha, A.I. Square Connect, affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 364 (98,786)
Citation 3

Abstract:

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

43.

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
AI For Alpha, Université Paris Dauphine, Université Paris-Dauphine, PSL Research University and A.I. Square Connect
Downloads 363 (99,111)
Citation 1

Abstract:

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Graphical Model, Natural Gradient, Overfitting

44.

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
AI For Alpha, Université Paris Dauphine and Université Paris-Dauphine, PSL Research University
Downloads 363 (99,111)

Abstract:

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45.

Three Remarkable Properties of the Normal Distribution

Number of pages: 12 Posted: 27 Oct 2018
Eric Benhamou, Beatrice Guez and Nicolas Paris
AI For Alpha, A.I. Square Connect and A.I. Square Connect
Downloads 363 (99,111)
Citation 1

Abstract:

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

46.

Gram Charlier and Edgeworth Expansion for Sample Variance

Number of pages: 14 Posted: 11 Oct 2018
Eric Benhamou
AI For Alpha
Downloads 362 (99,444)

Abstract:

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sample variance, Edgeworth expansion

47.

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
AI For Alpha, Université Paris Dauphine and Université Paris-Dauphine, PSL Research University
Downloads 361 (99,757)

Abstract:

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48.

T-Statistic for Autoregressive Process

Number of pages: 24 Posted: 03 Oct 2018
Eric Benhamou
AI For Alpha
Downloads 360 (100,091)
Citation 1

Abstract:

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49.

A Few Properties of Sample Variance

Number of pages: 13 Posted: 03 Oct 2018
Eric Benhamou
AI For Alpha
Downloads 358 (100,732)
Citation 2

Abstract:

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

50.

Variance Reduction in Actor Critic Methods (ACM)

Number of pages: 9 Posted: 24 Jul 2019
Eric Benhamou
AI For Alpha
Downloads 356 (101,401)

Abstract:

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51.

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

Number of pages: 25 Posted: 13 Apr 2021
AI For Alpha, A.I. Square Connect, A.I. Square Connect, Université Paris Dauphine and Université Paris-Dauphine, PSL Research University
Downloads 49 (459,560)

Abstract:

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52.

Optimal Malliavin Weighting Function for the Computation of the Greeks

Number of pages: 17 Posted: 20 Mar 2003
Eric Benhamou
AI For Alpha
Downloads 29 (553,391)
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Abstract:

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

53.

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
AI For Alpha and A.I. Square Connect
Downloads 20 (610,426)

Abstract:

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

54.

Adaptive learning for financial markets mixing model-based and model-free RL for volatility targetting

Number of pages: 8
AI For Alpha, A.I. Square Connect, Lombard Odier & Cie, affiliation not provided to SSRN and Lombard Odier Darier Hentsch & Cie - Lombard Odier Investment Management
Downloads 1

Abstract:

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

55.

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, AI For Alpha and CDC Ixis Capital Markets

Abstract:

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