Pierre Hanton

BNP Paribas Fortis

Model Validation Quant

Brussels

Belgium

SCHOLARLY PAPERS

2

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Scholarly Papers (2)

1.

CMS Spread Options and Similar Options in Multi-Factor HJM Framework

Number of pages: 16 Posted: 14 May 2010
Pierre Hanton and Marc P. A. Henrard
BNP Paribas Fortis and OpenGamma
Downloads 587 (29,167)

Abstract:

Constant Maturity Swap, CMS spread, multi-factor, HJM

2.

CMS, CMS Spreads and Similar Options in the Multi-Factor HJM Framework

International Journal of Theoretical and Applied Finance, Vol. 15, No. 7, 2012
Posted: 07 Dec 2012
Pierre Hanton and Marc P. A. Henrard
BNP Paribas Fortis and OpenGamma

Abstract:

CMS, CMS spread, Heath-Jarrow-Morton, multi-factor model, Gaussian models, G2, Libor Market Model, analytical formula, efficient approximation