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 3 474 0 3 9 1,137
Bermudan swaptions in Hull-White one-factor model: analytical and numerical approaches 3 6 29 2,956 10 22 79 6,468
Bonds futures and their options: more than the cheapest-to-deliver; quality option and marginning 0 2 5 297 1 5 12 956
Bonds futures: Delta? No gamma! 0 2 3 194 3 5 7 944
CMS swaps in separable one-factor Gaussian LLM and HJM model 0 1 1 180 6 8 15 425
Comparisons of cashflow maps for value-at-risk 1 1 2 498 3 6 11 905
Convexity adjustment and delivery option in Australian dollar 90 Day Bills Futures 0 2 6 629 2 6 37 1,617
Currency basket as asset or base currency in value-at-risk computation 0 0 2 394 1 1 8 1,152
Efficient swaptions price in Hull-White one factor model 0 2 4 412 0 2 8 816
Eurodollar futures and options: convexity adjustment in HJM one- factor model 1 4 12 1,401 5 12 40 3,070
Explicit bond option and swaption formula in Heath-Jarrow-Morton one factor model 2 2 3 1,598 3 5 10 3,264
Inflation bond option pricing in Jarrow-Yildirim model 1 2 7 1,466 6 11 38 2,934
Libor Market Model and Gaussian HJM explicit approaches to option on composition 0 1 1 705 0 1 7 1,682
Overnight Indexed Swaps and Floored Compounded Instrument in HJM One-Factor Model 3 4 22 1,622 6 21 53 2,936
Parameter risk in the Black and Scholes model 1 5 17 902 2 14 50 2,008
Semi-explicit Delta and Gamma for European swaptions in Hull- White one factor model 0 0 0 1,302 0 3 7 3,265
Skewed Libor Market Model and Gaussian HJM explicit approaches to rolled deposit options 0 1 1 144 1 2 10 382
Swaptions: 1 price, 10 deltas, and... 6 1/2 gammas 2 5 33 2,888 4 13 62 5,206
TIPS Options in the Jarrow-Yildirim model 0 0 1 233 1 2 7 541
The irony in the derivatives discounting 0 0 1 546 2 6 17 932
Value-at-Risk: The Delta-normal Approach 2 7 21 2,531 11 30 104 7,875
Total Working Papers 16 48 174 21,372 67 178 591 48,515

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 0 145 0 0 0 396
CMS, CMS SPREADS AND SIMILAR OPTIONS IN THE MULTI-FACTOR HJM FRAMEWORK 0 0 1 5 1 1 4 13
EXPLICIT BOND OPTION FORMULA IN HEATH–JARROW–MORTON ONE FACTOR MODEL 0 0 0 0 0 0 1 5
LIBOR Fallback and Quantitative Finance 1 7 14 14 5 18 42 42
Total Journal Articles 1 7 15 164 6 19 47 456

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Statistics updated 2020-09-04