Concepedia

Eric Benhamou

EB

Statistics

Publications

22

Citations

677

H-Index

15

Active since

2001

Affiliations

Alpha-1 Foundation(Current)

Université Paris Dauphine-PSL

Capital University

Laboratoire de Mathématiques Blaise Pascal

École Polytechnique

Eric Benhamou is an author at Alpha-1 Foundation specializing in engineering, option pricing, and approximation theory.

Top concepts

EngineeringOption PricingApproximation TheoryBusinessAsset PricingNumerical AnalysisStatisticsFinanceEconomicsProbability

Publications per year

2001–2022

22

Publications

22

Time Dependent Heston Model

Eric Benhamou, Emmanuel Gobet, Mohammed Miri · SIAM Journal on Financial Mathematics · 2010 · 152 citations · Full text

Numerical Analysis, Volatility Modeling, Option Pricing +13

Smart expansion and fast calibration for jump diffusions

Eric Benhamou, Emmanuel Gobet, Mohammed Miri · Finance and Stochastics · 2009 · 72 citations

Numerical Analysis, Engineering, Physics +7

Fast Fourier transform for discrete Asian options

Eric Benhamou · The Journal of Computational Finance · 2002 · 69 citations

Engineering, Fat Tails, Fast Fourier Transform +19

EXPANSION FORMULAS FOR EUROPEAN OPTIONS IN A LOCAL VOLATILITY MODEL

Eric Benhamou, Emmanuel Gobet, Mohammed Miri · International Journal of Theoretical and Applied Finance · 2010 · 49 citations · Full text

Option Pricing, Derivative Pricing, New Methodology +4

Analysis of the Human Protein Atlas Weakly Supervised Single-Cell Classification competition

Trang Le, Casper F. Winsnes, Ulrika Axelsson et al. · Nature Methods · 2022 · 34 citations · Full text

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