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 1 1 4 491 1 1 8 1,177
Bermudan swaptions in Hull-White one-factor model: analytical and numerical approaches 2 7 25 3,075 4 21 73 6,765
Bonds futures and their options: more than the cheapest-to-deliver; quality option and marginning 0 0 3 313 1 1 9 990
Bonds futures: Delta? No gamma! 0 0 2 205 1 2 4 967
CMS swaps in separable one-factor Gaussian LLM and HJM model 0 0 2 186 1 3 8 464
Comparisons of cashflow maps for value-at-risk 0 1 3 514 0 1 3 936
Convexity adjustment and delivery option in Australian dollar 90 Day Bills Futures 0 0 4 648 1 1 9 1,678
Currency basket as asset or base currency in value-at-risk computation 0 0 0 396 0 0 1 1,158
Efficient swaptions price in Hull-White one factor model 0 0 0 428 0 0 6 856
Eurodollar futures and options: convexity adjustment in HJM one- factor model 0 1 4 1,447 1 2 20 3,205
Explicit bond option and swaption formula in Heath-Jarrow-Morton one factor model 1 1 4 1,625 2 3 14 3,329
Inflation bond option pricing in Jarrow-Yildirim model 0 1 4 1,490 1 2 12 3,026
Libor Market Model and Gaussian HJM explicit approaches to option on composition 0 0 1 706 0 1 2 1,699
Overnight Indexed Swaps and Floored Compounded Instrument in HJM One-Factor Model 1 2 9 1,765 1 5 42 3,246
Parameter risk in the Black and Scholes model 0 2 6 968 2 4 11 2,143
Semi-explicit Delta and Gamma for European swaptions in Hull- White one factor model 0 1 1 1,312 1 2 5 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 3 4 9 2,976 3 4 17 5,351
TIPS Options in the Jarrow-Yildirim model 0 0 0 238 0 1 3 562
The irony in the derivatives discounting 0 0 3 557 1 2 5 959
Value-at-Risk: The Delta-normal Approach 1 4 6 2,587 1 4 6 8,084
Total Working Papers 9 25 90 22,077 22 60 259 50,332

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
CMS, CMS SPREADS AND SIMILAR OPTIONS IN THE MULTI-FACTOR HJM FRAMEWORK 1 1 1 15 1 2 6 42
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 2 32 1 1 4 107
Total Journal Articles 1 1 7 203 2 3 16 570

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Statistics updated 2025-03-03