Curriculum vitae

Dernières publications

Articles

Benhamou É. (2018), Gram Charlier and Edgeworth expansion for sample variance, Theoretical Mathematics and Applications, vol. 8, n°4, p. 17-31

Benhamou É., Guez B., Paris N. (2018), Three remarkable properties of the Normal distribution for simple variance, Theoretical Mathematics and Applications, vol. 8, n°4, p. 1-15

Benhamou É., Guez B. (2018), Incremental Sharpe and other performance ratios, Journal of Statistical and Econometric Methods, vol. 7, n°4, p. 19-37

Benhamou É., Gobet E., Miri M. (2010), Time Dependent Heston Model, SIAM Journal on Financial Mathematics, vol. 1, n°1, p. 289-325

Benhamou É., Gobet E., Miri M. (2009), Smart expansion and fast calibration for jump diffusions, Finance and Stochastics, vol. 13, n°4, p. 563-589

Communications avec actes

Benhamou É., Serval T. (2000), On the Competition between ECNs, Stock Markets and Market Makers, in Kurt Bauknecht, Sanjay Kumar Madria, Günther Pernul, Electronic Commerce and Web Technologies: 1st International Conference, EC-Web 2000, Springer, 291-300 p.

Communications sans actes

Beji C., Benhamou É., Bon M., Yger F., Atif J. (2020), Estimating Individual Treatment Effects throughCausal Populations Identification, 28th European Symposium on Artificial Neural Networks, Computational Intelligence and Machine Learning (ESANN 2020), Brugges, Belgique

Prépublications / Cahiers de recherche

Benhamou E., Atif J., Laraki R., Saltiel D. (2020), NGO-GM: Natural Gradient Optimization for Graphical Models, Paris, Preprint Lamsade

Benhamou É., Atif J., Laraki R. (2019), A short note on the operator norm upper bound for sub-Gaussian tailed random matrices, Paris, Preprint Lamsade, 12 p.

Saltiel D., Benhamou É. (2019), Feature selection with optimal coordinate ascent (OCA), Paris, Preprint Lamsade, 15 p.

Benhamou É., Atif J., Laraki R. (2018), A discrete version of CMA-ES, Paris, Preprint Lamsade, 13 p.

Benhamou É., Melot V. (2018), Seven proofs of the Pearson Chi-squared independence test and its graphical interpretation, Paris, Preprint Lamsade, 22 p.

Benhamou É. (2018), A few properties of sample variance, Paris, Preprint Lamsade, 15 p.

Saltiel D., Benhamou É. (2018), Trade Selection with Supervised Learning and OCA, Paris, Preprint Lamsade, 8 p.

Benhamou É. (2018), T-statistic for Autoregressive process, Paris, Preprint Lamsade, 24 p.

Benhamou É. (2018), Kalman filter demystified: from intuition to probabilistic graphical model to real case in financial markets, Paris, Preprint Lamsade, 45 p.

Benhamou É., Atif J., Laraki R., Laraki R. (2018), A new approach to learning in Dynamic Bayesian Networks (DBNs), Paris, Preprint Lamsade, 17 p.

Benhamou É. (2018), Connecting Sharpe ratio and Student t-statistic, and beyond, Paris, Preprint Lamsade, 23 p.

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