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 2 493 0 2 16 1,193
Bermudan swaptions in Hull-White one-factor model: analytical and numerical approaches 0 0 4 3,080 5 12 34 6,802
Bonds futures and their options: more than the cheapest-to-deliver; quality option and marginning 1 2 4 317 23 28 39 1,030
Bonds futures: Delta? No gamma! 0 0 0 205 0 5 13 980
CMS swaps in separable one-factor Gaussian LLM and HJM model 0 0 4 190 2 8 17 481
Comparisons of cashflow maps for value-at-risk 0 0 0 514 0 4 5 941
Convexity adjustment and delivery option in Australian dollar 90 Day Bills Futures 0 1 2 651 1 5 13 1,692
Currency basket as asset or base currency in value-at-risk computation 0 0 0 396 0 12 17 1,175
Efficient swaptions price in Hull-White one factor model 0 0 5 433 1 4 19 876
Eurodollar futures and options: convexity adjustment in HJM one- factor model 0 0 2 1,449 4 8 26 3,232
Explicit bond option and swaption formula in Heath-Jarrow-Morton one factor model 0 2 8 1,634 2 15 30 3,362
Inflation bond option pricing in Jarrow-Yildirim model 1 1 2 1,492 1 4 13 3,040
Libor Market Model and Gaussian HJM explicit approaches to option on composition 0 0 0 706 3 12 16 1,716
Overnight Indexed Swaps and Floored Compounded Instrument in HJM One-Factor Model 0 2 6 1,773 0 5 21 3,272
Parameter risk in the Black and Scholes model 0 0 4 972 0 7 22 2,165
Semi-explicit Delta and Gamma for European swaptions in Hull- White one factor model 0 0 2 1,314 0 1 5 3,348
Skewed Libor Market Model and Gaussian HJM explicit approaches to rolled deposit options 0 0 0 150 2 4 8 402
Swaptions: 1 price, 10 deltas, and... 6 1/2 gammas 0 0 1 2,978 0 6 13 5,365
TIPS Options in the Jarrow-Yildirim model 1 1 1 239 2 5 9 571
The irony in the derivatives discounting 0 0 1 558 0 1 8 967
Value-at-Risk: The Delta-normal Approach 0 0 2 2,590 1 2 8 8,094
Total Working Papers 3 9 50 22,134 47 150 352 50,704

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 0 3 8 419
Adjoint algorithmic differentiation: calibration and implicit function theorem 0 0 2 2 3 6 10 10
CMS, CMS SPREADS AND SIMILAR OPTIONS IN THE MULTI-FACTOR HJM FRAMEWORK 0 1 1 16 1 3 7 49
Comparison of cashflow maps for value-at-risk 0 0 0 0 0 1 2 2
EXPLICIT BOND OPTION FORMULA IN HEATH–JARROW–MORTON ONE FACTOR MODEL 0 0 3 6 1 3 12 22
LIBOR Fallback and Quantitative Finance 0 2 3 35 0 5 9 116
Skewed Libor market model and Gaussian HJM explicit approaches to rolled deposit options 0 0 0 0 2 6 11 15
Total Journal Articles 0 3 10 213 7 27 59 633

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Statistics updated 2026-04-09