Eric Benhamou

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Smart Monte Carlo: various tricks using Malliavin calculus Quantitative Finance	2019-01-14	Paper
Operator norm upper bound for sub-Gaussian tailed random matrices	2018-12-22	Paper
Three remarkable properties of the Normal distribution	2018-10-02	Paper
Gram Charlier and Edgeworth expansion for sample variance	2018-09-18	Paper
A few properties of sample variance	2018-09-11	Paper
T-statistic for Autoregressive process	2018-09-11	Paper
Seven proofs of the Pearson Chi-squared independence test and its graphical interpretation	2018-08-28	Paper
Analytical formulas for a local volatility model with stochastic rates Quantitative Finance	2012-06-26	Paper
Expansion formulas for European options in a local volatility model International Journal of Theoretical and Applied Finance	2010-08-11	Paper
Time dependent Heston model SIAM Journal on Financial Mathematics	2010-06-01	Paper
Smart expansion and fast calibration for jump diffusions Finance and Stochastics	2010-04-22	Paper
Small dimension PDE for discrete Asian options Journal of Economic Dynamics and Control	2008-10-24	Paper
Optimal Malliavin Weighting Function for the Computation of the Greeks Mathematical Finance	2003-01-01	Paper

Research outcomes over time

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