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 4 480 0 0 5 1,154
Bermudan swaptions in Hull-White one-factor model: analytical and numerical approaches 4 8 28 3,007 5 15 60 6,598
Bonds futures and their options: more than the cheapest-to-deliver; quality option and marginning 0 2 6 307 1 3 9 974
Bonds futures: Delta? No gamma! 0 0 5 203 0 2 10 960
CMS swaps in separable one-factor Gaussian LLM and HJM model 0 0 1 183 0 1 5 439
Comparisons of cashflow maps for value-at-risk 0 0 2 504 0 0 6 920
Convexity adjustment and delivery option in Australian dollar 90 Day Bills Futures 2 2 4 640 3 3 10 1,655
Currency basket as asset or base currency in value-at-risk computation 0 0 1 396 0 0 1 1,157
Efficient swaptions price in Hull-White one factor model 0 1 5 425 0 2 7 843
Eurodollar futures and options: convexity adjustment in HJM one- factor model 1 1 12 1,428 7 10 38 3,141
Explicit bond option and swaption formula in Heath-Jarrow-Morton one factor model 0 1 2 1,605 0 1 3 3,280
Inflation bond option pricing in Jarrow-Yildirim model 0 1 3 1,474 2 8 21 2,989
Libor Market Model and Gaussian HJM explicit approaches to option on composition 0 0 0 705 0 0 10 1,695
Overnight Indexed Swaps and Floored Compounded Instrument in HJM One-Factor Model 1 7 54 1,724 4 17 98 3,123
Parameter risk in the Black and Scholes model 5 6 27 939 6 10 45 2,096
Semi-explicit Delta and Gamma for European swaptions in Hull- White one factor model 0 1 3 1,311 0 1 29 3,332
Skewed Libor Market Model and Gaussian HJM explicit approaches to rolled deposit options 0 0 1 149 0 0 2 392
Swaptions: 1 price, 10 deltas, and... 6 1/2 gammas 4 13 30 2,945 4 16 48 5,297
TIPS Options in the Jarrow-Yildirim model 0 0 2 235 1 2 4 551
The irony in the derivatives discounting 0 0 1 553 0 0 8 948
Value-at-Risk: The Delta-normal Approach 3 5 16 2,568 5 9 50 8,035
Total Working Papers 20 48 207 21,781 38 100 469 49,579


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 3 148 1 2 4 402
CMS, CMS SPREADS AND SIMILAR OPTIONS IN THE MULTI-FACTOR HJM FRAMEWORK 0 0 1 10 0 0 2 26
EXPLICIT BOND OPTION FORMULA IN HEATH–JARROW–MORTON ONE FACTOR MODEL 0 0 0 2 0 0 1 9
LIBOR Fallback and Quantitative Finance 0 0 5 26 0 5 13 93
Total Journal Articles 0 1 9 186 1 7 20 530


Statistics updated 2022-08-04