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Henrard, Marc P. A.'s
Scholarly Papers
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Aggregate Statistics |
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Total
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16,343 |
Total
Citations
73 |
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1.
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The Irony in the Derivatives Discounting
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Henrard, Marc P. A.
OpenGamma
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Posted:
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14 Mar 07
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Last Revised:
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25 Feb 09
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2,553
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12
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Henrard, Marc P. A.
OpenGamma
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Cost of funding, coherent pricing, interest rate derivative pricing, Libor, irony
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Henrard, Marc P. A.
OpenGamma
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2,553
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12
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Cost of funding, coherent pricing, interest rate derivative pricing, Libor, irony.
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2.
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The Irony in the Derivatives Discounting Part II: The Crisis
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Henrard, Marc P. A.
OpenGamma
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Posted:
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14 Jul 09
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Last Revised:
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28 Sep 11
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2,440
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Henrard, Marc P. A.
OpenGamma
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Coherent pricing, interest rate derivative pricing, Libor, multi-curves, discounting, forward, cost of funding, discounting, irony
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Henrard, Marc P. A.
OpenGamma
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14 Jul 09
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Last Revised:
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19 Dec 09
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2,440
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coherent pricing, interest rate derivative pricing, Libor, multi-curves, discounting, forward, cost of funding, discounting, irony
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3.
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Bond Futures and Their Options: More than the Cheapest-to-Deliver; Margining and Quality Option
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Henrard, Marc P. A.
OpenGamma
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Posted:
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08 Feb 06
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Last Revised:
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06 May 12
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2,418
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Henrard, Marc P. A.
OpenGamma
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bond future, option on bond futures, delivery option, marginning, Gaussian HJM model, explicit formula, numerical integration
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Henrard, Marc P. A.
OpenGamma
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Bond future, option on bond futures, delivery option, marginning, Gaussian HJM model, explicit formula, numerical integration.
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Henrard, Marc P. A.
OpenGamma
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2,418
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Bond future, option on bond futures, delivery option, marginning, HJM gaussian model, explicit formula, numerical integration
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4.
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Explicit Bond Option and Swaption Formula in Heath-Jarrow-Morton One Factor Model
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Henrard, Marc P. A.
OpenGamma
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Posted:
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30 Nov 03
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Last Revised:
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16 Mar 06
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2,311
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13
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Henrard, Marc P. A.
OpenGamma
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0
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Bond option, swaption, explicit formula, HJM model, one factor model, hedging
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Henrard, Marc P. A.
OpenGamma
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2,311
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13
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Bond option, swaption, explicit formula, HJM model, one factor model, hedging
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5.
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Henrard, Marc P. A.
OpenGamma
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1,465
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7
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Interest rate futures, options on futures, convexity adjustment, HJM one-factor model.
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6.
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Henrard, Marc P. A.
OpenGamma
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22 Oct 08
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Last Revised:
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10 May 10
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821
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Bermudan option, swaption, Hull-White model, one-factor model, numerical integration
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7.
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Henrard, Marc P. A.
OpenGamma
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07 Nov 10
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Last Revised:
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12 Mar 11
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695
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1
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Swaption, Cash Settlement, Delivery, Arbitrage, Annuity, Extended Vasicek Model, G2 Model, Libor Market Model
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8.
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Swaptions in Libor Market Model with Local Volatility
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Henrard, Marc P. A.
OpenGamma
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Posted:
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28 Feb 08
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Last Revised:
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07 Nov 10
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536
(23,257)
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4
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Henrard, Marc P. A.
OpenGamma
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0
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Explicit Formula, Libor Market Model, Displaced Diffusion, Local Volatility, Smile, Approximation.
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Henrard, Marc P. A.
OpenGamma
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| Posted: |
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28 Feb 08
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Last Revised:
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21 Jan 09
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536
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4
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Explicit formula, Libor Market Model, displaced diffusion, local volatility, smile, approximation, calibration
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9.
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Henrard, Marc P. A.
OpenGamma
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14 May 07
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Last Revised:
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12 Feb 08
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507
(25,091)
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2
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CMS, CMS caps, Libor Market Model, Bond Market Model, one factor, separability, approximation
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10.
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Hanton, Pierre
BNP Paribas Fortis Henrard, Marc P. A.
OpenGamma
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393
(34,842)
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Constant Maturity Swap, CMS spread, multi-factor, HJM
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11.
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Henrard, Marc P. A.
OpenGamma
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352
(39,898)
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2
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Explicit formula, Libor market model, HJM model, shifted log-normal model, normal model, existence, option on composition
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12.
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Henrard, Marc P. A.
OpenGamma
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299
(48,437)
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Bond future, delivery option, delta, gamma, HJM Gaussian model, in-the-model, out-of-the-model
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13.
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TIPS Options in the Jarrow-Yildirim Model
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Henrard, Marc P. A.
OpenGamma
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Posted:
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23 Mar 06
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Last Revised:
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24 Mar 06
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264
(55,829)
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Henrard, Marc P. A.
OpenGamma
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0
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Inflation bond option, Jarrow-Yildirim model
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Henrard, Marc P. A.
OpenGamma
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264
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Inflation bond option, Jarrow-Yildirim model
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14.
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Henrard, Marc P. A.
OpenGamma
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| Posted: |
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03 Sep 11
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Last Revised:
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14 Apr 13
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222
(67,289)
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Financial model calibration, adjoint algorithmic differentiation, implicit function theorem, equation solver, efficient derivatives computation
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15.
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A Semi-Explicit Approach to Canary Swaptions in HJM One-Factor Model
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Henrard, Marc P. A.
OpenGamma
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Posted:
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31 Dec 04
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Last Revised:
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02 Jul 06
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220
(67,941)
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11
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Henrard, Marc P. A.
OpenGamma
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0
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Bermudan swaption, HJM one-factor model, Hull-White model, explicit formula, numerical integration
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Henrard, Marc P. A.
OpenGamma
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220
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11
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Bermudan option, swaption, bond option, HJM model, Hull-White model, one-factor model, explicit formula, numerical integration
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16.
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Henrard, Marc P. A.
OpenGamma
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197
(75,995)
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Explicit formula, Libor market model, separability condition, swaption, bond futures
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17.
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Skewed Libor Market Model and Gaussian HJM Explicit Approaches to Rolled Deposit Options
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Henrard, Marc P. A.
OpenGamma
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Posted:
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14 Jan 07
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Last Revised:
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01 Jun 08
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174
(85,631)
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4
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Henrard, Marc P. A.
OpenGamma
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0
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Libor Market Model, Heath-Jarrow-Morton, skew, smile, explicitsolution, approximation, Bond Market Model, option on composition, existence results
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Henrard, Marc P. A.
OpenGamma
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174
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4
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Libor Market Model, Heath-Jarrow-Morton, skew, smile, explicit solution, approximation, Bond Market Model, option on composition, existence results
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18.
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Henrard, Marc P. A.
OpenGamma
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116
(121,404)
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interest rate instruments, market conventions
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19.
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Henrard, Marc P. A.
OpenGamma
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| Posted: |
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20 Oct 12
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Last Revised:
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14 Apr 13
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105
(130,795)
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Multi-curves framework, discounting, forward rates, Ibor indexes, interest rate futures, rate interpolation
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20.
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Henrard, Marc P. A.
OpenGamma
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| Posted: |
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30 Sep 12
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Last Revised:
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30 Oct 12
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95
(140,125)
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1
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interest rate swaps, futures, HJM, convexity adjustment, multi-curves
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21.
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Henrard, Marc P. A.
OpenGamma
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| Posted: |
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08 May 12
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Last Revised:
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09 May 12
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93
(142,182)
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1
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22.
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Henrard, Marc P. A.
OpenGamma
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| Posted: |
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09 Jan 13
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Last Revised:
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25 Mar 13
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39
(222,154)
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23.
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Henrard, Marc P. A.
OpenGamma
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| Posted: |
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10 Mar 13
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Last Revised:
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05 May 13
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28
(249,162)
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Multi-curve framework, stochastic spread, STIR futures, options on futures, cap/floor, coherent model, multi-factor HJM
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24.
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Hanton, Pierre
BNP Paribas Fortis Henrard, Marc P. A.
OpenGamma
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CMS, CMS spread, Heath-Jarrow-Morton, multi-factor model, Gaussian models, G2, Libor Market Model, analytical formula, efficient approximation
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25.
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Henrard, Marc P. A.
OpenGamma
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Bond future, option on bond futures, delivery option, marginning, Gaussian HJM model, explicit formula, numerical integration
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26.
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Henrard, Marc P. A.
OpenGamma
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Swaption, delta, hedging efficiency, in-the-model, out-of-the-model sensitivity, models difference
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27.
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Henrard, Marc P. A.
OpenGamma
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Value-at-risk, mapping, cash-flows
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