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 5 492 0 6 16 1,185
Bermudan swaptions in Hull-White one-factor model: analytical and numerical approaches 0 3 20 3,080 5 16 65 6,787
Bonds futures and their options: more than the cheapest-to-deliver; quality option and marginning 0 2 3 315 1 3 11 996
Bonds futures: Delta? No gamma! 0 0 0 205 0 1 4 969
CMS swaps in separable one-factor Gaussian LLM and HJM model 0 1 4 188 0 2 10 467
Comparisons of cashflow maps for value-at-risk 0 0 1 514 0 0 1 936
Convexity adjustment and delivery option in Australian dollar 90 Day Bills Futures 0 0 4 649 1 2 10 1,681
Currency basket as asset or base currency in value-at-risk computation 0 0 0 396 0 0 2 1,159
Efficient swaptions price in Hull-White one factor model 0 3 3 431 1 5 6 862
Eurodollar futures and options: convexity adjustment in HJM one- factor model 0 0 2 1,447 1 2 10 3,208
Explicit bond option and swaption formula in Heath-Jarrow-Morton one factor model 2 2 6 1,629 2 3 14 3,336
Inflation bond option pricing in Jarrow-Yildirim model 0 1 2 1,491 1 2 9 3,029
Libor Market Model and Gaussian HJM explicit approaches to option on composition 0 0 0 706 0 0 2 1,700
Overnight Indexed Swaps and Floored Compounded Instrument in HJM One-Factor Model 1 2 7 1,770 2 6 25 3,259
Parameter risk in the Black and Scholes model 0 0 3 968 2 2 9 2,146
Semi-explicit Delta and Gamma for European swaptions in Hull- White one factor model 0 1 2 1,313 0 1 4 3,344
Skewed Libor Market Model and Gaussian HJM explicit approaches to rolled deposit options 0 0 0 150 0 0 1 394
Swaptions: 1 price, 10 deltas, and... 6 1/2 gammas 0 0 10 2,977 0 0 16 5,352
TIPS Options in the Jarrow-Yildirim model 0 0 0 238 0 0 3 563
The irony in the derivatives discounting 0 0 1 557 0 0 4 960
Value-at-Risk: The Delta-normal Approach 0 2 8 2,590 0 3 10 8,089
Total Working Papers 3 17 81 22,106 16 54 232 50,422

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 4 154 0 3 8 414
Adjoint algorithmic differentiation: calibration and implicit function theorem 0 1 1 1 0 1 2 2
CMS, CMS SPREADS AND SIMILAR OPTIONS IN THE MULTI-FACTOR HJM FRAMEWORK 0 0 1 15 0 0 3 42
Comparison of cashflow maps for value-at-risk 0 0 0 0 0 0 0 0
EXPLICIT BOND OPTION FORMULA IN HEATH–JARROW–MORTON ONE FACTOR MODEL 0 1 2 4 1 2 3 12
LIBOR Fallback and Quantitative Finance 0 0 0 32 1 1 2 108
Skewed Libor market model and Gaussian HJM explicit approaches to rolled deposit options 0 0 0 0 0 0 4 4
Total Journal Articles 0 3 8 206 2 7 22 582

logo

LogEc Home

Top Working Papers
Top Journal Articles
Top Books
Top Chapters
Top Software Items

Top Authors

Top Working Paper series and Journals

About LogEc

Authors with papers registered in the RePEc Author Service.

Register yourself as an author or register more papers in the RePEc Author Service.

Authors with no registered papers

RePEc
LogEc provides access and usage statistics for services based on the RePEc data set.

Örebro UniversityLogEc is hosted by the Örebro University School of Business.

Questions or comments? Please see our explanation of how the statistics are collected or e-mail

Statistics updated 2025-08-05