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 3 493 1 5 16 1,192
Bermudan swaptions in Hull-White one-factor model: analytical and numerical approaches 0 0 7 3,080 5 6 34 6,795
Bonds futures and their options: more than the cheapest-to-deliver; quality option and marginning 0 0 2 315 3 7 16 1,005
Bonds futures: Delta? No gamma! 0 0 0 205 3 7 12 978
CMS swaps in separable one-factor Gaussian LLM and HJM model 0 2 4 190 5 9 15 478
Comparisons of cashflow maps for value-at-risk 0 0 0 514 3 4 4 940
Convexity adjustment and delivery option in Australian dollar 90 Day Bills Futures 0 1 2 650 3 8 13 1,690
Currency basket as asset or base currency in value-at-risk computation 0 0 0 396 6 10 11 1,169
Efficient swaptions price in Hull-White one factor model 0 1 5 433 1 4 17 873
Eurodollar futures and options: convexity adjustment in HJM one- factor model 0 2 2 1,449 3 13 23 3,227
Explicit bond option and swaption formula in Heath-Jarrow-Morton one factor model 0 2 8 1,632 8 12 28 3,355
Inflation bond option pricing in Jarrow-Yildirim model 0 0 1 1,491 3 7 14 3,039
Libor Market Model and Gaussian HJM explicit approaches to option on composition 0 0 0 706 5 7 10 1,709
Overnight Indexed Swaps and Floored Compounded Instrument in HJM One-Factor Model 0 0 7 1,771 1 5 23 3,268
Parameter risk in the Black and Scholes model 0 1 4 972 7 14 24 2,165
Semi-explicit Delta and Gamma for European swaptions in Hull- White one factor model 0 0 2 1,314 1 2 6 3,348
Skewed Libor Market Model and Gaussian HJM explicit approaches to rolled deposit options 0 0 0 150 2 6 6 400
Swaptions: 1 price, 10 deltas, and... 6 1/2 gammas 0 0 5 2,978 4 7 15 5,363
TIPS Options in the Jarrow-Yildirim model 0 0 0 238 1 2 5 567
The irony in the derivatives discounting 0 0 1 558 1 3 9 967
Value-at-Risk: The Delta-normal Approach 0 0 4 2,590 0 1 9 8,092
Total Working Papers 0 10 57 22,125 66 139 310 50,620

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 1 154 2 3 7 418
Adjoint algorithmic differentiation: calibration and implicit function theorem 0 1 2 2 2 4 6 6
CMS, CMS SPREADS AND SIMILAR OPTIONS IN THE MULTI-FACTOR HJM FRAMEWORK 0 0 1 15 0 2 5 46
Comparison of cashflow maps for value-at-risk 0 0 0 0 0 0 1 1
EXPLICIT BOND OPTION FORMULA IN HEATH–JARROW–MORTON ONE FACTOR MODEL 0 2 3 6 2 8 11 21
LIBOR Fallback and Quantitative Finance 0 1 1 33 3 6 8 114
Skewed Libor market model and Gaussian HJM explicit approaches to rolled deposit options 0 0 0 0 4 6 9 13
Total Journal Articles 0 4 8 210 13 29 47 619

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Statistics updated 2026-02-12