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 |
4 |
480 |
0 |
0 |
5 |
1,154 |
Bermudan swaptions in Hull-White one-factor model: analytical and numerical approaches |
4 |
8 |
28 |
3,007 |
5 |
15 |
60 |
6,598 |
Bonds futures and their options: more than the cheapest-to-deliver; quality option and marginning |
0 |
2 |
6 |
307 |
1 |
3 |
9 |
974 |
Bonds futures: Delta? No gamma! |
0 |
0 |
5 |
203 |
0 |
2 |
10 |
960 |
CMS swaps in separable one-factor Gaussian LLM and HJM model |
0 |
0 |
1 |
183 |
0 |
1 |
5 |
439 |
Comparisons of cashflow maps for value-at-risk |
0 |
0 |
2 |
504 |
0 |
0 |
6 |
920 |
Convexity adjustment and delivery option in Australian dollar 90 Day Bills Futures |
2 |
2 |
4 |
640 |
3 |
3 |
10 |
1,655 |
Currency basket as asset or base currency in value-at-risk computation |
0 |
0 |
1 |
396 |
0 |
0 |
1 |
1,157 |
Efficient swaptions price in Hull-White one factor model |
0 |
1 |
5 |
425 |
0 |
2 |
7 |
843 |
Eurodollar futures and options: convexity adjustment in HJM one- factor model |
1 |
1 |
12 |
1,428 |
7 |
10 |
38 |
3,141 |
Explicit bond option and swaption formula in Heath-Jarrow-Morton one factor model |
0 |
1 |
2 |
1,605 |
0 |
1 |
3 |
3,280 |
Inflation bond option pricing in Jarrow-Yildirim model |
0 |
1 |
3 |
1,474 |
2 |
8 |
21 |
2,989 |
Libor Market Model and Gaussian HJM explicit approaches to option on composition |
0 |
0 |
0 |
705 |
0 |
0 |
10 |
1,695 |
Overnight Indexed Swaps and Floored Compounded Instrument in HJM One-Factor Model |
1 |
7 |
54 |
1,724 |
4 |
17 |
98 |
3,123 |
Parameter risk in the Black and Scholes model |
5 |
6 |
27 |
939 |
6 |
10 |
45 |
2,096 |
Semi-explicit Delta and Gamma for European swaptions in Hull- White one factor model |
0 |
1 |
3 |
1,311 |
0 |
1 |
29 |
3,332 |
Skewed Libor Market Model and Gaussian HJM explicit approaches to rolled deposit options |
0 |
0 |
1 |
149 |
0 |
0 |
2 |
392 |
Swaptions: 1 price, 10 deltas, and... 6 1/2 gammas |
4 |
13 |
30 |
2,945 |
4 |
16 |
48 |
5,297 |
TIPS Options in the Jarrow-Yildirim model |
0 |
0 |
2 |
235 |
1 |
2 |
4 |
551 |
The irony in the derivatives discounting |
0 |
0 |
1 |
553 |
0 |
0 |
8 |
948 |
Value-at-Risk: The Delta-normal Approach |
3 |
5 |
16 |
2,568 |
5 |
9 |
50 |
8,035 |
Total Working Papers |
20 |
48 |
207 |
21,781 |
38 |
100 |
469 |
49,579 |
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