Access Statistics for Marc Henrard

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A semi-analytical approach to Canary swaptions in HJM one-factor model 0 1 5 492 1 3 11 1,180
Bermudan swaptions in Hull-White one-factor model: analytical and numerical approaches 3 5 23 3,080 6 12 69 6,777
Bonds futures and their options: more than the cheapest-to-deliver; quality option and marginning 0 0 1 313 0 3 9 993
Bonds futures: Delta? No gamma! 0 0 1 205 1 2 5 969
CMS swaps in separable one-factor Gaussian LLM and HJM model 1 2 4 188 1 2 9 466
Comparisons of cashflow maps for value-at-risk 0 0 1 514 0 0 1 936
Convexity adjustment and delivery option in Australian dollar 90 Day Bills Futures 0 1 4 649 0 1 8 1,679
Currency basket as asset or base currency in value-at-risk computation 0 0 0 396 0 1 2 1,159
Efficient swaptions price in Hull-White one factor model 1 1 1 429 1 2 6 858
Eurodollar futures and options: convexity adjustment in HJM one- factor model 0 0 3 1,447 1 2 13 3,207
Explicit bond option and swaption formula in Heath-Jarrow-Morton one factor model 0 2 5 1,627 0 4 15 3,333
Inflation bond option pricing in Jarrow-Yildirim model 1 1 4 1,491 1 2 11 3,028
Libor Market Model and Gaussian HJM explicit approaches to option on composition 0 0 0 706 0 1 2 1,700
Overnight Indexed Swaps and Floored Compounded Instrument in HJM One-Factor Model 0 3 6 1,768 0 7 29 3,253
Parameter risk in the Black and Scholes model 0 0 4 968 0 1 9 2,144
Semi-explicit Delta and Gamma for European swaptions in Hull- White one factor model 0 0 1 1,312 0 0 3 3,343
Skewed Libor Market Model and Gaussian HJM explicit approaches to rolled deposit options 0 0 0 150 0 0 1 394
Swaptions: 1 price, 10 deltas, and... 6 1/2 gammas 0 1 10 2,977 0 1 18 5,352
TIPS Options in the Jarrow-Yildirim model 0 0 0 238 0 1 4 563
The irony in the derivatives discounting 0 0 3 557 0 1 6 960
Value-at-Risk: The Delta-normal Approach 2 3 8 2,590 3 5 10 8,089
Total Working Papers 8 20 84 22,097 15 51 241 50,383

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Semi-Explicit Approach to Canary Swaptions in HJM One-Factor Model 0 0 3 153 0 0 5 411
Adjoint algorithmic differentiation: calibration and implicit function theorem 0 0 0 0 0 1 1 1
CMS, CMS SPREADS AND SIMILAR OPTIONS IN THE MULTI-FACTOR HJM FRAMEWORK 0 0 1 15 0 0 5 42
Comparison of cashflow maps for value-at-risk 0 0 0 0 0 0 0 0
EXPLICIT BOND OPTION FORMULA IN HEATH–JARROW–MORTON ONE FACTOR MODEL 0 0 1 3 0 0 1 10
LIBOR Fallback and Quantitative Finance 0 0 0 32 0 0 2 107
Skewed Libor market model and Gaussian HJM explicit approaches to rolled deposit options 0 0 0 0 0 0 4 4
Total Journal Articles 0 0 5 203 0 1 18 575

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Statistics updated 2025-06-06