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 3 4 15 1,191
Bermudan swaptions in Hull-White one-factor model: analytical and numerical approaches 0 0 9 3,080 1 2 37 6,790
Bonds futures and their options: more than the cheapest-to-deliver; quality option and marginning 0 0 2 315 1 5 13 1,002
Bonds futures: Delta? No gamma! 0 0 0 205 2 5 9 975
CMS swaps in separable one-factor Gaussian LLM and HJM model 0 2 4 190 0 5 11 473
Comparisons of cashflow maps for value-at-risk 0 0 0 514 1 1 1 937
Convexity adjustment and delivery option in Australian dollar 90 Day Bills Futures 0 1 2 650 1 5 10 1,687
Currency basket as asset or base currency in value-at-risk computation 0 0 0 396 2 4 5 1,163
Efficient swaptions price in Hull-White one factor model 0 2 5 433 1 9 16 872
Eurodollar futures and options: convexity adjustment in HJM one- factor model 0 2 3 1,449 7 12 21 3,224
Explicit bond option and swaption formula in Heath-Jarrow-Morton one factor model 1 2 8 1,632 2 8 21 3,347
Inflation bond option pricing in Jarrow-Yildirim model 0 0 1 1,491 2 7 11 3,036
Libor Market Model and Gaussian HJM explicit approaches to option on composition 0 0 0 706 1 2 5 1,704
Overnight Indexed Swaps and Floored Compounded Instrument in HJM One-Factor Model 0 0 8 1,771 4 5 23 3,267
Parameter risk in the Black and Scholes model 0 1 4 972 6 7 17 2,158
Semi-explicit Delta and Gamma for European swaptions in Hull- White one factor model 0 0 3 1,314 0 1 6 3,347
Skewed Libor Market Model and Gaussian HJM explicit approaches to rolled deposit options 0 0 0 150 2 4 4 398
Swaptions: 1 price, 10 deltas, and... 6 1/2 gammas 0 0 5 2,978 1 4 11 5,359
TIPS Options in the Jarrow-Yildirim model 0 0 0 238 0 2 4 566
The irony in the derivatives discounting 0 1 1 558 2 3 8 966
Value-at-Risk: The Delta-normal Approach 0 0 5 2,590 1 2 10 8,092
Total Working Papers 1 12 63 22,125 40 97 258 50,554

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 1 2 5 416
Adjoint algorithmic differentiation: calibration and implicit function theorem 1 1 2 2 2 2 4 4
CMS, CMS SPREADS AND SIMILAR OPTIONS IN THE MULTI-FACTOR HJM FRAMEWORK 0 0 1 15 2 4 5 46
Comparison of cashflow maps for value-at-risk 0 0 0 0 0 1 1 1
EXPLICIT BOND OPTION FORMULA IN HEATH–JARROW–MORTON ONE FACTOR MODEL 1 2 3 6 2 6 9 19
LIBOR Fallback and Quantitative Finance 0 1 1 33 1 3 5 111
Skewed Libor market model and Gaussian HJM explicit approaches to rolled deposit options 0 0 0 0 1 4 9 9
Total Journal Articles 2 4 8 210 9 22 38 606

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Statistics updated 2026-01-09