Details about Marc Henrard

Access statistics for papers by Marc Henrard.

Last updated 2008-09-20. Update your information in the RePEc Author Service.

Short-id: phe51

Working Papers

2007

1. CMS swaps in separable one-factor Gaussian LLM and HJM model
   MPRA Paper, University Library of Munich, Germany
2. Skewed Libor Market Model and Gaussian HJM explicit approaches to rolled deposit options
   MPRA Paper, University Library of Munich, Germany
3. The irony in the derivatives discounting
   MPRA Paper, University Library of Munich, Germany

2006

4. Bonds futures and their options: more than the cheapest-to-deliver; quality option and marginning
   MPRA Paper, University Library of Munich, Germany View citations
5. Bonds futures: Delta? No gamma!
   MPRA Paper, University Library of Munich, Germany View citations
6. TIPS Options in the Jarrow-Yildirim model
   MPRA Paper, University Library of Munich, Germany

2005

7. Bermudan swaptions in Hull-White one-factor model: analytical and numerical approaches
   Finance, EconWPA View citations
8. Convexity adjustment and delivery option in Australian dollar 90 Day Bills Futures
   Finance, EconWPA
9. Eurodollar futures and options: convexity adjustment in HJM one- factor model
   Finance, EconWPA View citations
10. Inflation bond option pricing in Jarrow-Yildirim model
    Finance, EconWPA
11. Libor Market Model and Gaussian HJM explicit approaches to option on composition
    Finance, EconWPA View citations
12. Semi-explicit Delta and Gamma for European swaptions in Hull- White one factor model
    Finance, EconWPA View citations
13. Swaptions: 1 price, 10 deltas, and... 6 1/2 gammas
    Finance, EconWPA View citations
14. Value-at-Risk: The Delta-normal Approach
    Risk and Insurance, EconWPA View citations

2004

15. A semi-analytical approach to Canary swaptions in HJM one-factor model
    Finance, EconWPA View citations
16. Overnight Indexed Swaps and Floored Compounded Instrument in HJM One-Factor Model
    Finance, EconWPA

2003

17. Comparisons of cashflow maps for value-at-risk
    Risk and Insurance, EconWPA
18. Currency basket as asset or base currency in value-at-risk computation
    Risk and Insurance, EconWPA
19. Explicit bond option and swaption formula in Heath-Jarrow-Morton one factor model
    Finance, EconWPA View citations
20. Parameter risk in the Black and Scholes model
    Risk and Insurance, EconWPA

Journal Articles

2006

1. A Semi-Explicit Approach to Canary Swaptions in HJM One-Factor Model
   Applied Mathematical Finance, 2006, 13, (1), 1-18 View citations