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 12 1,198
Bermudan swaptions in Hull-White one-factor model: analytical and numerical approaches 0 1 2 3,082 4 5 35 6,823
Bonds futures and their options: more than the cheapest-to-deliver; quality option and marginning 0 1 4 319 1 4 47 1,043
Bonds futures: Delta? No gamma! 0 0 0 205 1 1 14 983
CMS swaps in separable one-factor Gaussian LLM and HJM model 0 0 2 190 0 0 16 483
Comparisons of cashflow maps for value-at-risk 0 0 0 514 0 0 7 943
Convexity adjustment and delivery option in Australian dollar 90 Day Bills Futures 1 2 5 654 4 6 21 1,702
Currency basket as asset or base currency in value-at-risk computation 0 0 0 396 1 1 18 1,177
Efficient swaptions price in Hull-White one factor model 0 0 3 434 1 1 19 882
Eurodollar futures and options: convexity adjustment in HJM one- factor model 0 0 2 1,449 0 1 28 3,239
Explicit bond option and swaption formula in Heath-Jarrow-Morton one factor model 0 0 5 1,635 1 4 31 3,370
Inflation bond option pricing in Jarrow-Yildirim model 0 0 2 1,493 0 0 16 3,045
Libor Market Model and Gaussian HJM explicit approaches to option on composition 0 0 0 706 1 2 20 1,721
Overnight Indexed Swaps and Floored Compounded Instrument in HJM One-Factor Model 0 1 4 1,774 1 2 21 3,281
Parameter risk in the Black and Scholes model 0 1 5 974 0 1 22 2,170
Semi-explicit Delta and Gamma for European swaptions in Hull- White one factor model 0 0 0 1,314 0 1 10 3,355
Skewed Libor Market Model and Gaussian HJM explicit approaches to rolled deposit options 0 0 1 151 0 1 17 411
Swaptions: 1 price, 10 deltas, and... 6 1/2 gammas 0 0 2 2,979 0 1 13 5,367
TIPS Options in the Jarrow-Yildirim model 0 0 1 239 0 0 11 574
The irony in the derivatives discounting 0 0 1 558 0 0 8 970
Value-at-Risk: The Delta-normal Approach 0 0 0 2,590 0 0 6 8,095
Total Working Papers 1 6 41 22,150 15 31 392 50,832

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 1 2 13 427
Adjoint algorithmic differentiation: calibration and implicit function theorem 1 1 2 3 2 5 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 1 1 5 5
EXPLICIT BOND OPTION FORMULA IN HEATH–JARROW–MORTON ONE FACTOR MODEL 0 0 2 6 0 1 12 25
LIBOR Fallback and Quantitative Finance 1 1 4 36 1 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 2 2 11 217 5 12 85 669

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Statistics updated 2026-09-10