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 2 494 0 0 11 1,198
Bermudan swaptions in Hull-White one-factor model: analytical and numerical approaches 0 0 2 3,082 3 7 38 6,826
Bonds futures and their options: more than the cheapest-to-deliver; quality option and marginning 1 2 5 320 2 5 48 1,045
Bonds futures: Delta? No gamma! 0 0 0 205 0 1 13 983
CMS swaps in separable one-factor Gaussian LLM and HJM model 0 0 2 190 1 1 16 484
Comparisons of cashflow maps for value-at-risk 1 1 1 515 2 2 9 945
Convexity adjustment and delivery option in Australian dollar 90 Day Bills Futures 0 2 5 654 0 5 20 1,702
Currency basket as asset or base currency in value-at-risk computation 0 0 0 396 2 3 20 1,179
Efficient swaptions price in Hull-White one factor model 0 0 3 434 1 2 20 883
Eurodollar futures and options: convexity adjustment in HJM one- factor model 0 0 2 1,449 1 1 28 3,240
Explicit bond option and swaption formula in Heath-Jarrow-Morton one factor model 0 0 5 1,635 1 2 32 3,371
Inflation bond option pricing in Jarrow-Yildirim model 0 0 2 1,493 1 1 17 3,046
Libor Market Model and Gaussian HJM explicit approaches to option on composition 0 0 0 706 1 2 20 1,722
Overnight Indexed Swaps and Floored Compounded Instrument in HJM One-Factor Model 0 1 3 1,774 0 2 19 3,281
Parameter risk in the Black and Scholes model 0 0 3 974 1 1 20 2,171
Semi-explicit Delta and Gamma for European swaptions in Hull- White one factor model 0 0 0 1,314 1 1 10 3,356
Skewed Libor Market Model and Gaussian HJM explicit approaches to rolled deposit options 0 0 1 151 0 0 17 411
Swaptions: 1 price, 10 deltas, and... 6 1/2 gammas 3 3 4 2,982 9 10 21 5,376
TIPS Options in the Jarrow-Yildirim model 0 0 1 239 0 0 10 574
The irony in the derivatives discounting 0 0 1 558 0 0 7 970
Value-at-Risk: The Delta-normal Approach 0 0 0 2,590 1 1 6 8,096
Total Working Papers 5 9 42 22,155 27 47 402 50,859

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 1 155 0 2 13 427
Adjoint algorithmic differentiation: calibration and implicit function theorem 0 1 2 3 0 3 17 19
CMS, CMS SPREADS AND SIMILAR OPTIONS IN THE MULTI-FACTOR HJM FRAMEWORK 0 0 1 16 0 0 11 53
Comparison of cashflow maps for value-at-risk 0 0 0 0 0 1 5 5
EXPLICIT BOND OPTION FORMULA IN HEATH–JARROW–MORTON ONE FACTOR MODEL 0 0 2 6 1 2 13 26
LIBOR Fallback and Quantitative Finance 0 1 4 36 0 2 12 120
Skewed Libor market model and Gaussian HJM explicit approaches to rolled deposit options 0 0 1 1 0 1 15 20
Total Journal Articles 0 2 11 217 1 11 86 670

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Statistics updated 2026-10-11