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 1 1 2 494 5 6 19 1,198
Bermudan swaptions in Hull-White one-factor model: analytical and numerical approaches 0 0 3 3,080 15 22 46 6,817
Bonds futures and their options: more than the cheapest-to-deliver; quality option and marginning 1 3 5 318 6 31 43 1,036
Bonds futures: Delta? No gamma! 0 0 0 205 1 3 13 981
CMS swaps in separable one-factor Gaussian LLM and HJM model 0 0 3 190 2 5 18 483
Comparisons of cashflow maps for value-at-risk 0 0 0 514 2 3 7 943
Convexity adjustment and delivery option in Australian dollar 90 Day Bills Futures 1 2 3 652 2 4 15 1,694
Currency basket as asset or base currency in value-at-risk computation 0 0 0 396 1 7 17 1,176
Efficient swaptions price in Hull-White one factor model 0 0 5 433 4 7 23 880
Eurodollar futures and options: convexity adjustment in HJM one- factor model 0 0 2 1,449 4 9 30 3,236
Explicit bond option and swaption formula in Heath-Jarrow-Morton one factor model 0 2 7 1,634 3 10 32 3,365
Inflation bond option pricing in Jarrow-Yildirim model 0 1 2 1,492 2 3 15 3,042
Libor Market Model and Gaussian HJM explicit approaches to option on composition 0 0 0 706 3 10 19 1,719
Overnight Indexed Swaps and Floored Compounded Instrument in HJM One-Factor Model 0 2 5 1,773 4 8 23 3,276
Parameter risk in the Black and Scholes model 0 0 4 972 3 3 24 2,168
Semi-explicit Delta and Gamma for European swaptions in Hull- White one factor model 0 0 2 1,314 5 5 10 3,353
Skewed Libor Market Model and Gaussian HJM explicit approaches to rolled deposit options 1 1 1 151 8 10 16 410
Swaptions: 1 price, 10 deltas, and... 6 1/2 gammas 1 1 2 2,979 1 3 14 5,366
TIPS Options in the Jarrow-Yildirim model 0 1 1 239 2 6 10 573
The irony in the derivatives discounting 0 0 1 558 3 3 10 970
Value-at-Risk: The Delta-normal Approach 0 0 2 2,590 1 3 9 8,095
Total Working Papers 5 14 50 22,139 77 161 413 50,781

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 5 6 13 424
Adjoint algorithmic differentiation: calibration and implicit function theorem 0 0 2 2 4 8 13 14
CMS, CMS SPREADS AND SIMILAR OPTIONS IN THE MULTI-FACTOR HJM FRAMEWORK 0 1 1 16 3 6 10 52
Comparison of cashflow maps for value-at-risk 0 0 0 0 2 3 4 4
EXPLICIT BOND OPTION FORMULA IN HEATH–JARROW–MORTON ONE FACTOR MODEL 0 0 3 6 2 3 14 24
LIBOR Fallback and Quantitative Finance 0 2 3 35 2 4 11 118
Skewed Libor market model and Gaussian HJM explicit approaches to rolled deposit options 1 1 1 1 4 6 15 19
Total Journal Articles 1 4 11 214 22 36 80 655

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Statistics updated 2026-05-06