


Published papers
 E. Benhamou, T. Serval, On the Competition between ECN's, Stock Markets and Market Makers , in 'Electronic Commerce and Web Technologies' in Lecture Notes in Computer Science, 1875, Springer , p 291301, 2000
 E. Benhamou, Smart Monte Carlo: Various tricks using Malliavin calculus, Quantitative Finance, Volume 2, Number 5, 2002
 E. Benhamou, Fast Fourier Transform for Discrete Asian Options , Journal of Computational Finance , Volume 6 / Number 1, 2002
 E. Benhamou, A. Duguet, Small Dimension PDE for Discrete Asian Options, Journal of Dynamic Economic and Control , Volume 27, Issues 1112, 2003
 E. Benhamou, Optimal Malliavin Weighting Function for the Computation of the Greeks , Mathematical Finance , Volume 13, Issue 1, 2003
 N. Belgrade, E. Benhamou, Smart Modeling of the Inflation Market: Taking into Account the Seasonality , Risk Magazine, Inflation Risk, July 2004 Supplement, July 2004
 E. Benhamou, A. Gruz and A. Rivoira Stochastic Interest Rates for Local Volatility Hybrids Models, in
Wilmott magazine, Mar 2008
 E. Benhamou, E.Gobet and M. Miri Smart expansion and fast calibration for jump diffusion, in
Finance and Stochastics, Vol.13(4), pp.563589, 2009
 E. Benhamou, E.Gobet and M. Miri Time dependent Heston model in SIAM Journal on Financial Mathematics, Vol.1, pp.289325, 2010
 E. Benhamou, E.Gobet and M. Miri Expansion formulas for European options in a local volatility model in International Journal of Theoretical and Applied Finance, Vol.13(4), pp.602634, 2010
 E. Benhamou, E.Gobet and M. Miri Analytical formulas for local volatility model with stochastic rates in Quantitative Finance, Vol.12(2), pp.185198, 2012
Working papers
 Reconciling Year on Year and Zero Coupon Inflation Swap: A Market Model Approach, N. Belgrade, E. Benhamou, CDC Ixis CM Working Paper, This Version: August 2004
 Impact of Seasonality in Inflation Derivatives Pricing, N. Belgrade, E. Benhamou, CDC Ixis CM Working Paper, This Version: August 2004
 A Market Model for Inflation, N. Belgrade, E. Benhamou, E. Koehler, CERSEM Working Paper, This Version: January 2004
 Efficient Computation of Greeks for Discontinuous Payoffs by Transformation of the Payoff Function, 1st Version: March 1999. This Version: January 2002.
 Option Pricing with Levy Process, 1st Version: October 1999. This Version: February 2000
 A Martingale Result for Convexity Adjustment in the Black Pricing Model, 1st Version: October 1999. This Version: February 2000
 Pricing Convexity Adjusment With Wiener Chaos, 1st Version: January 1999. This Version: April 2000, published as a working paper pf the Financial Market Groups, London School of Economics
 A Generalisation of Malliavin Weighted Scheme for Fast Computation of the Greeks, 1st Version: January 1999. This Version: March 2000
 An Application of Malliavin Calculus To Continuous Time Asian Options'Greeks, 1st Version: October 1999. This Version: April 2000





