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q-fin.PR2025
Building Trust in Illiquid Markets: an AI-Powered Replication of Private Equity Funds
E. Benhamou, JJ. Ohana, B. Guez +2
In response to growing demand for resilient and transparent financial instruments, we introduce a novel framework for replicating private equity (PE) performance using liquid, AI-e…
q-fin.PR2007
Smart expansion and fast calibration for jump diffusion
Eric Benhamou, Emmanuel Gobet, Mohammed Miri
Using Malliavin calculus techniques, we derive an analytical formula for the price of European options, for any model including local volatility and Poisson jump process. We show t…