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 0 4 492 1 6 13 1,186
Bermudan swaptions in Hull-White one-factor model: analytical and numerical approaches 0 0 19 3,080 1 11 63 6,788
Bonds futures and their options: more than the cheapest-to-deliver; quality option and marginning 0 2 2 315 0 3 10 996
Bonds futures: Delta? No gamma! 0 0 0 205 0 0 4 969
CMS swaps in separable one-factor Gaussian LLM and HJM model 0 0 3 188 0 1 9 467
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 0 2 649 0 2 8 1,681
Currency basket as asset or base currency in value-at-risk computation 0 0 0 396 0 0 2 1,159
Efficient swaptions price in Hull-White one factor model 0 2 3 431 1 5 7 863
Eurodollar futures and options: convexity adjustment in HJM one- factor model 0 0 2 1,447 3 4 13 3,211
Explicit bond option and swaption formula in Heath-Jarrow-Morton one factor model 1 3 7 1,630 3 6 16 3,339
Inflation bond option pricing in Jarrow-Yildirim model 0 0 2 1,491 0 1 8 3,029
Libor Market Model and Gaussian HJM explicit approaches to option on composition 0 0 0 706 1 1 3 1,701
Overnight Indexed Swaps and Floored Compounded Instrument in HJM One-Factor Model 0 2 7 1,770 1 7 24 3,260
Parameter risk in the Black and Scholes model 1 1 4 969 2 4 11 2,148
Semi-explicit Delta and Gamma for European swaptions in Hull- White one factor model 1 2 3 1,314 1 2 5 3,345
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 0 9 2,977 2 2 17 5,354
TIPS Options in the Jarrow-Yildirim model 0 0 0 238 0 0 3 563
The irony in the derivatives discounting 0 0 1 557 2 2 6 962
Value-at-Risk: The Delta-normal Approach 0 0 8 2,590 0 0 10 8,089
Total Working Papers 3 12 77 22,109 18 57 234 50,440

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 1 4 154 0 3 8 414
Adjoint algorithmic differentiation: calibration and implicit function theorem 0 1 1 1 0 1 2 2
CMS, CMS SPREADS AND SIMILAR OPTIONS IN THE MULTI-FACTOR HJM FRAMEWORK 0 0 1 15 0 0 3 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 1 2 4 1 3 4 13
LIBOR Fallback and Quantitative Finance 0 0 0 32 0 1 2 108
Skewed Libor market model and Gaussian HJM explicit approaches to rolled deposit options 0 0 0 0 1 1 5 5
Total Journal Articles 0 3 8 206 2 9 24 584

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Statistics updated 2025-09-05