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 3 493 1 2 12 1,188
Bermudan swaptions in Hull-White one-factor model: analytical and numerical approaches 0 0 12 3,080 0 1 45 6,789
Bonds futures and their options: more than the cheapest-to-deliver; quality option and marginning 0 0 2 315 3 5 12 1,001
Bonds futures: Delta? No gamma! 0 0 0 205 2 4 8 973
CMS swaps in separable one-factor Gaussian LLM and HJM model 2 2 4 190 4 6 12 473
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 1 1 2 650 4 5 9 1,686
Currency basket as asset or base currency in value-at-risk computation 0 0 0 396 2 2 3 1,161
Efficient swaptions price in Hull-White one factor model 1 2 5 433 2 8 15 871
Eurodollar futures and options: convexity adjustment in HJM one- factor model 2 2 3 1,449 3 6 14 3,217
Explicit bond option and swaption formula in Heath-Jarrow-Morton one factor model 1 1 7 1,631 2 6 19 3,345
Inflation bond option pricing in Jarrow-Yildirim model 0 0 2 1,491 2 5 10 3,034
Libor Market Model and Gaussian HJM explicit approaches to option on composition 0 0 0 706 1 2 5 1,703
Overnight Indexed Swaps and Floored Compounded Instrument in HJM One-Factor Model 0 1 8 1,771 0 3 22 3,263
Parameter risk in the Black and Scholes model 1 3 6 972 1 4 13 2,152
Semi-explicit Delta and Gamma for European swaptions in Hull- White one factor model 0 0 3 1,314 1 2 6 3,347
Skewed Libor Market Model and Gaussian HJM explicit approaches to rolled deposit options 0 0 0 150 2 2 2 396
Swaptions: 1 price, 10 deltas, and... 6 1/2 gammas 0 1 6 2,978 2 4 11 5,358
TIPS Options in the Jarrow-Yildirim model 0 0 0 238 1 3 5 566
The irony in the derivatives discounting 0 1 1 558 0 2 7 964
Value-at-Risk: The Delta-normal Approach 0 0 7 2,590 0 2 11 8,091
Total Working Papers 9 15 72 22,124 33 74 242 50,514

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 0 1 4 415
Adjoint algorithmic differentiation: calibration and implicit function theorem 0 0 1 1 0 0 2 2
CMS, CMS SPREADS AND SIMILAR OPTIONS IN THE MULTI-FACTOR HJM FRAMEWORK 0 0 1 15 0 2 4 44
Comparison of cashflow maps for value-at-risk 0 0 0 0 0 1 1 1
EXPLICIT BOND OPTION FORMULA IN HEATH–JARROW–MORTON ONE FACTOR MODEL 1 1 2 5 4 4 7 17
LIBOR Fallback and Quantitative Finance 1 1 1 33 2 2 4 110
Skewed Libor market model and Gaussian HJM explicit approaches to rolled deposit options 0 0 0 0 1 3 8 8
Total Journal Articles 2 2 6 208 7 13 30 597

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Statistics updated 2025-12-06