Details about Marc Henrard

Access statistics for papers by Marc Henrard.

Last updated 2025-05-19. Update your information in the RePEc Author Service.

Short-id: phe51

Working Papers

2009

1. Efficient swaptions price in Hull-White one factor model
   Papers, arXiv.org

2007

2. CMS swaps in separable one-factor Gaussian LLM and HJM model
   MPRA Paper, University Library of Munich, Germany View citations (3)
3. Skewed Libor Market Model and Gaussian HJM explicit approaches to rolled deposit options
   MPRA Paper, University Library of Munich, Germany View citations (2)
   See also Journal Article Skewed Libor market model and Gaussian HJM explicit approaches to rolled deposit options, Journal of Risk, Journal of Risk
4. The irony in the derivatives discounting
   MPRA Paper, University Library of Munich, Germany View citations (35)

2006

5. Bonds futures and their options: more than the cheapest-to-deliver; quality option and marginning
   MPRA Paper, University Library of Munich, Germany View citations (1)
6. Bonds futures: Delta? No gamma!
   MPRA Paper, University Library of Munich, Germany View citations (1)
7. TIPS Options in the Jarrow-Yildirim model
   MPRA Paper, University Library of Munich, Germany

2005

8. Bermudan swaptions in Hull-White one-factor model: analytical and numerical approaches
   Finance, University Library of Munich, Germany View citations (2)
9. Convexity adjustment and delivery option in Australian dollar 90 Day Bills Futures
   Finance, University Library of Munich, Germany View citations (1)
10. Eurodollar futures and options: convexity adjustment in HJM one- factor model
    Finance, University Library of Munich, Germany View citations (4)
11. Inflation bond option pricing in Jarrow-Yildirim model
    Finance, University Library of Munich, Germany
12. Libor Market Model and Gaussian HJM explicit approaches to option on composition
    Finance, University Library of Munich, Germany View citations (1)
13. Semi-explicit Delta and Gamma for European swaptions in Hull- White one factor model
    Finance, University Library of Munich, Germany View citations (2)
14. Swaptions: 1 price, 10 deltas, and... 6 1/2 gammas
    Finance, University Library of Munich, Germany View citations (5)
15. Value-at-Risk: The Delta-normal Approach
    Risk and Insurance, University Library of Munich, Germany View citations (1)

2004

16. A semi-analytical approach to Canary swaptions in HJM one-factor model
    Finance, University Library of Munich, Germany View citations (1)
17. Overnight Indexed Swaps and Floored Compounded Instrument in HJM One-Factor Model
    Finance, University Library of Munich, Germany View citations (4)

2003

18. Comparisons of cashflow maps for value-at-risk
    Risk and Insurance, University Library of Munich, Germany
    See also Journal Article Comparison of cashflow maps for value-at-risk, Journal of Risk, Journal of Risk
19. Currency basket as asset or base currency in value-at-risk computation
    Risk and Insurance, University Library of Munich, Germany
20. Explicit bond option and swaption formula in Heath-Jarrow-Morton one factor model
    Finance, University Library of Munich, Germany View citations (14)
21. Parameter risk in the Black and Scholes model
    Risk and Insurance, University Library of Munich, Germany View citations (1)

Journal Articles

2019

1. LIBOR Fallback and Quantitative Finance
   Risks, 2019, 7, (3), 1-15 View citations (7)

2012

2. CMS, CMS SPREADS AND SIMILAR OPTIONS IN THE MULTI-FACTOR HJM FRAMEWORK
   International Journal of Theoretical and Applied Finance (IJTAF), 2012, 15, (07), 1-18 View citations (1)

2006

3. A Semi-Explicit Approach to Canary Swaptions in HJM One-Factor Model
   Applied Mathematical Finance, 2006, 13, (1), 1-18 View citations (5)

2003

4. EXPLICIT BOND OPTION FORMULA IN HEATH–JARROW–MORTON ONE FACTOR MODEL
   International Journal of Theoretical and Applied Finance (IJTAF), 2003, 06, (01), 57-72 View citations (13)

Undated

5. Adjoint algorithmic differentiation: calibration and implicit function theorem
   Journal of Computational Finance
6. Comparison of cashflow maps for value-at-risk
   Journal of Risk
   See also Working Paper Comparisons of cashflow maps for value-at-risk, Risk and Insurance (2003) (2003)
7. Skewed Libor market model and Gaussian HJM explicit approaches to rolled deposit options
   Journal of Risk
   See also Working Paper Skewed Libor Market Model and Gaussian HJM explicit approaches to rolled deposit options, MPRA Paper (2007) View citations (2) (2007)