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 2 494 0 5 18 1,198
Bermudan swaptions in Hull-White one-factor model: analytical and numerical approaches 1 1 1 3,081 1 21 41 6,818
Bonds futures and their options: more than the cheapest-to-deliver; quality option and marginning 0 2 5 318 3 32 46 1,039
Bonds futures: Delta? No gamma! 0 0 0 205 1 2 13 982
CMS swaps in separable one-factor Gaussian LLM and HJM model 0 0 2 190 0 4 17 483
Comparisons of cashflow maps for value-at-risk 0 0 0 514 0 2 7 943
Convexity adjustment and delivery option in Australian dollar 90 Day Bills Futures 0 1 3 652 2 5 17 1,696
Currency basket as asset or base currency in value-at-risk computation 0 0 0 396 0 1 17 1,176
Efficient swaptions price in Hull-White one factor model 1 1 5 434 1 6 23 881
Eurodollar futures and options: convexity adjustment in HJM one- factor model 0 0 2 1,449 2 10 31 3,238
Explicit bond option and swaption formula in Heath-Jarrow-Morton one factor model 1 1 8 1,635 1 6 33 3,366
Inflation bond option pricing in Jarrow-Yildirim model 1 2 2 1,493 3 6 17 3,045
Libor Market Model and Gaussian HJM explicit approaches to option on composition 0 0 0 706 0 6 19 1,719
Overnight Indexed Swaps and Floored Compounded Instrument in HJM One-Factor Model 0 0 5 1,773 3 7 26 3,279
Parameter risk in the Black and Scholes model 1 1 5 973 1 4 25 2,169
Semi-explicit Delta and Gamma for European swaptions in Hull- White one factor model 0 0 2 1,314 1 6 11 3,354
Skewed Libor Market Model and Gaussian HJM explicit approaches to rolled deposit options 0 1 1 151 0 10 16 410
Swaptions: 1 price, 10 deltas, and... 6 1/2 gammas 0 1 2 2,979 0 1 14 5,366
TIPS Options in the Jarrow-Yildirim model 0 1 1 239 1 5 11 574
The irony in the derivatives discounting 0 0 1 558 0 3 10 970
Value-at-Risk: The Delta-normal Approach 0 0 0 2,590 0 2 6 8,095
Total Working Papers 5 13 47 22,144 20 144 418 50,801

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 1 1 2 155 1 6 14 425
Adjoint algorithmic differentiation: calibration and implicit function theorem 0 0 2 2 0 7 13 14
CMS, CMS SPREADS AND SIMILAR OPTIONS IN THE MULTI-FACTOR HJM FRAMEWORK 0 0 1 16 1 5 11 53
Comparison of cashflow maps for value-at-risk 0 0 0 0 0 2 4 4
EXPLICIT BOND OPTION FORMULA IN HEATH–JARROW–MORTON ONE FACTOR MODEL 0 0 3 6 0 3 14 24
LIBOR Fallback and Quantitative Finance 0 0 3 35 0 2 11 118
Skewed Libor market model and Gaussian HJM explicit approaches to rolled deposit options 0 1 1 1 0 6 15 19
Total Journal Articles 1 2 12 215 2 31 82 657

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Statistics updated 2026-06-04