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Details about Marc Henrard

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Postal address:OpenGamma 185 Park Street London
Workplace:OpenGamma
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University College London - Department of mathematics

Access statistics for papers by Marc Henrard.

Last updated 2018-11-08. Update your information in the RePEc Author Service.

Short-id: phe51


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Working Papers

2009

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

2007

  1. CMS swaps in separable one-factor Gaussian LLM and HJM model
    MPRA Paper, University Library of Munich, Germany Downloads View citations (3)
  2. Skewed Libor Market Model and Gaussian HJM explicit approaches to rolled deposit options
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)
  3. The irony in the derivatives discounting
    MPRA Paper, University Library of Munich, Germany Downloads View citations (29)

2006

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

2005

  1. Bermudan swaptions in Hull-White one-factor model: analytical and numerical approaches
    Finance, University Library of Munich, Germany Downloads View citations (1)
  2. Convexity adjustment and delivery option in Australian dollar 90 Day Bills Futures
    Finance, University Library of Munich, Germany Downloads View citations (1)
  3. Eurodollar futures and options: convexity adjustment in HJM one- factor model
    Finance, University Library of Munich, Germany Downloads View citations (3)
  4. Inflation bond option pricing in Jarrow-Yildirim model
    Finance, University Library of Munich, Germany Downloads
  5. Libor Market Model and Gaussian HJM explicit approaches to option on composition
    Finance, University Library of Munich, Germany Downloads View citations (1)
  6. Semi-explicit Delta and Gamma for European swaptions in Hull- White one factor model
    Finance, University Library of Munich, Germany Downloads View citations (2)
  7. Swaptions: 1 price, 10 deltas, and... 6 1/2 gammas
    Finance, University Library of Munich, Germany Downloads View citations (5)
  8. Value-at-Risk: The Delta-normal Approach
    Risk and Insurance, University Library of Munich, Germany Downloads View citations (1)

2004

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

2003

  1. Comparisons of cashflow maps for value-at-risk
    Risk and Insurance, University Library of Munich, Germany Downloads
  2. Currency basket as asset or base currency in value-at-risk computation
    Risk and Insurance, University Library of Munich, Germany Downloads
  3. Explicit bond option and swaption formula in Heath-Jarrow-Morton one factor model
    Finance, University Library of Munich, Germany Downloads View citations (12)
  4. Parameter risk in the Black and Scholes model
    Risk and Insurance, University Library of Munich, Germany Downloads View citations (1)

Journal Articles

2012

  1. 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 Downloads

2006

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

2003

  1. EXPLICIT BOND OPTION FORMULA IN HEATH–JARROW–MORTON ONE FACTOR MODEL
    International Journal of Theoretical and Applied Finance (IJTAF), 2003, 06, (01), 57-72 Downloads View citations (1)
 
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