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 3 492 1 2 13 1,187
Bermudan swaptions in Hull-White one-factor model: analytical and numerical approaches 0 0 18 3,080 0 6 57 6,788
Bonds futures and their options: more than the cheapest-to-deliver; quality option and marginning 0 0 2 315 1 2 10 997
Bonds futures: Delta? No gamma! 0 0 0 205 1 1 5 970
CMS swaps in separable one-factor Gaussian LLM and HJM model 0 0 3 188 1 1 10 468
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 1 649 1 2 8 1,682
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 0 3 431 0 2 7 863
Eurodollar futures and options: convexity adjustment in HJM one- factor model 0 0 2 1,447 1 5 14 3,212
Explicit bond option and swaption formula in Heath-Jarrow-Morton one factor model 0 3 7 1,630 0 5 15 3,339
Inflation bond option pricing in Jarrow-Yildirim model 0 0 2 1,491 0 1 8 3,029
Libor Market Model and Gaussian HJM explicit approaches to option on composition 0 0 0 706 1 2 4 1,702
Overnight Indexed Swaps and Floored Compounded Instrument in HJM One-Factor Model 1 2 8 1,771 2 5 23 3,262
Parameter risk in the Black and Scholes model 2 3 6 971 3 7 14 2,151
Semi-explicit Delta and Gamma for European swaptions in Hull- White one factor model 0 1 3 1,314 1 2 5 3,346
Skewed Libor Market Model and Gaussian HJM explicit approaches to rolled deposit options 0 0 0 150 0 0 0 394
Swaptions: 1 price, 10 deltas, and... 6 1/2 gammas 1 1 9 2,978 1 3 14 5,355
TIPS Options in the Jarrow-Yildirim model 0 0 0 238 1 1 4 564
The irony in the derivatives discounting 0 0 1 557 1 3 7 963
Value-at-Risk: The Delta-normal Approach 0 0 8 2,590 1 1 11 8,090
Total Working Papers 4 10 77 22,113 17 51 232 50,457

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 3 154 0 0 7 414
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 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 0 2 4 0 2 4 13
LIBOR Fallback and Quantitative Finance 0 0 0 32 0 1 2 108
Skewed Libor market model and Gaussian HJM explicit approaches to rolled deposit options 0 0 0 0 0 1 5 5
Total Journal Articles 0 0 7 206 0 4 23 584

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Statistics updated 2025-10-06