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 2 494 0 5 13 1,198
Bermudan swaptions in Hull-White one-factor model: analytical and numerical approaches 1 2 2 3,082 1 17 37 6,819
Bonds futures and their options: more than the cheapest-to-deliver; quality option and marginning 0 1 3 318 1 10 45 1,040
Bonds futures: Delta? No gamma! 0 0 0 205 0 2 13 982
CMS swaps in separable one-factor Gaussian LLM and HJM model 0 0 2 190 0 2 16 483
Comparisons of cashflow maps for value-at-risk 0 0 0 514 0 2 7 943
Convexity adjustment and delivery option in Australian dollar 90 Day Bills Futures 0 1 3 652 1 5 17 1,697
Currency basket as asset or base currency in value-at-risk computation 0 0 0 396 0 1 17 1,176
Efficient swaptions price in Hull-White one factor model 0 1 3 434 0 5 20 881
Eurodollar futures and options: convexity adjustment in HJM one- factor model 0 0 2 1,449 1 7 32 3,239
Explicit bond option and swaption formula in Heath-Jarrow-Morton one factor model 0 1 8 1,635 3 7 35 3,369
Inflation bond option pricing in Jarrow-Yildirim model 0 1 2 1,493 0 5 17 3,045
Libor Market Model and Gaussian HJM explicit approaches to option on composition 0 0 0 706 1 4 20 1,720
Overnight Indexed Swaps and Floored Compounded Instrument in HJM One-Factor Model 0 0 4 1,773 0 7 22 3,279
Parameter risk in the Black and Scholes model 1 2 6 974 1 5 26 2,170
Semi-explicit Delta and Gamma for European swaptions in Hull- White one factor model 0 0 1 1,314 1 7 11 3,355
Skewed Libor Market Model and Gaussian HJM explicit approaches to rolled deposit options 0 1 1 151 1 9 17 411
Swaptions: 1 price, 10 deltas, and... 6 1/2 gammas 0 1 2 2,979 0 1 14 5,366
TIPS Options in the Jarrow-Yildirim model 0 0 1 239 0 3 11 574
The irony in the derivatives discounting 0 0 1 558 0 3 10 970
Value-at-Risk: The Delta-normal Approach 0 0 0 2,590 0 1 6 8,095
Total Working Papers 2 12 43 22,146 11 108 406 50,812

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 1 155 0 6 11 425
Adjoint algorithmic differentiation: calibration and implicit function theorem 0 0 1 2 2 6 14 16
CMS, CMS SPREADS AND SIMILAR OPTIONS IN THE MULTI-FACTOR HJM FRAMEWORK 0 0 1 16 0 4 11 53
Comparison of cashflow maps for value-at-risk 0 0 0 0 0 2 4 4
EXPLICIT BOND OPTION FORMULA IN HEATH–JARROW–MORTON ONE FACTOR MODEL 0 0 2 6 0 2 13 24
LIBOR Fallback and Quantitative Finance 0 0 3 35 0 2 11 118
Skewed Libor market model and Gaussian HJM explicit approaches to rolled deposit options 0 1 1 1 0 4 15 19
Total Journal Articles 0 2 9 215 2 26 79 659

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Statistics updated 2026-07-10