Marc P. A. Henrard

muRisQ Advisory

Managing partner

Rue du Chemin de fer, 8

Brussels, 1210

Belgium

http://murisq.com

OpenGamma

Head of Quantitative Research

Albert House

256-260 Old Street

London, EC1V 9DD

United Kingdom

University College London - Department of Mathematics

Visiting Professor

Gower Street

London, WC1E 6BT

United Kingdom

SCHOLARLY PAPERS

47

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Top 943

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39,923

SSRN CITATIONS

22

CROSSREF CITATIONS

136

Ideas:
“  Multi-curve framework, collateral discounting, interest rate benchmarks, LIBOR fallback, product design.  ”

Scholarly Papers (47)

The Irony in the Derivatives Discounting Part II: The Crisis

Number of pages: 12 Posted: 14 Jul 2009 Last Revised: 19 Dec 2009
Marc P. A. Henrard
muRisQ Advisory
Downloads 4,274 (3,346)
Citation 32

Abstract:

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coherent pricing, interest rate derivative pricing, Libor, multi-curves, discounting, forward, cost of funding, discounting, irony

The Irony in the Derivatives Discounting Part II: The Crisis

Wilmott Journal, Vol. 2, pp. 301-316, 2010
Posted: 28 Sep 2011
Marc P. A. Henrard
muRisQ Advisory

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Coherent pricing, interest rate derivative pricing, Libor, multi-curves, discounting, forward, cost of funding, discounting, irony

Bond Futures and Their Options: More than the Cheapest-to-Deliver; Margining and Quality Option

Number of pages: 15 Posted: 08 Feb 2006
Marc P. A. Henrard
muRisQ Advisory
Downloads 3,842 (4,011)
Citation 2

Abstract:

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Bond future, option on bond futures, delivery option, marginning, HJM gaussian model, explicit formula, numerical integration

Bond Futures and Their Options: More than the Cheapest to Deliver; Margining and Quality Option

The Journal of Fixed Income, Vol. 16, No. 2, pp. 62-75, September 2006
Posted: 01 Jul 2009
Marc P. A. Henrard
muRisQ Advisory

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Bond future, option on bond futures, delivery option, marginning, Gaussian HJM model, explicit formula, numerical integration.

Bond Futures and Their Options: More than the Cheapest-to-Deliver; Margining and Quality Option

The Journal of Fixed Income, Vol. 16, No. 2, pp. 62-75, September 2006
Posted: 02 May 2012
Marc P. A. Henrard
muRisQ Advisory

Abstract:

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bond future, option on bond futures, delivery option, marginning, Gaussian HJM model, explicit formula, numerical integration

The Irony in the Derivatives Discounting

Number of pages: 10 Posted: 14 Mar 2007
Marc P. A. Henrard
muRisQ Advisory
Downloads 3,654 (4,360)
Citation 7

Abstract:

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Cost of funding, coherent pricing, interest rate derivative pricing, Libor, irony.

The Irony in the Derivatives Discounting

Wilmott Magazine, pp. 92-98, July 2007
Posted: 25 Feb 2009
Marc P. A. Henrard
muRisQ Advisory

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Cost of funding, coherent pricing, interest rate derivative pricing, Libor, irony

Explicit Bond Option and Swaption Formula in Heath-Jarrow-Morton One Factor Model

Number of pages: 12 Posted: 30 Nov 2003
Marc P. A. Henrard
muRisQ Advisory
Downloads 3,573 (4,542)
Citation 21

Abstract:

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Bond option, swaption, explicit formula, HJM model, one factor model, hedging

Explicit Bond Option and Swaption Formula in Heath-Jarrow-Morton One Factor Model

International Journal of Theoretical and Applied Finance, Vol. 6, No. 1, pp. 57-72, 2003
Posted: 30 Nov 2003
Marc P. A. Henrard
muRisQ Advisory

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Bond option, swaption, explicit formula, HJM model, one factor model, hedging

5.

Eurodollar Futures and Options: Convexity Adjustment in HJM One-Factor Model

Number of pages: 6 Posted: 03 Apr 2005
Marc P. A. Henrard
muRisQ Advisory
Downloads 2,637 (7,609)
Citation 14

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Interest rate futures, options on futures, convexity adjustment, HJM one-factor model.

6.

Cash-Settled Swaptions: How Wrong are We?

Number of pages: 15 Posted: 07 Nov 2010 Last Revised: 12 Mar 2011
Marc P. A. Henrard
muRisQ Advisory
Downloads 2,192 (10,246)
Citation 5

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Swaption, Cash Settlement, Delivery, Arbitrage, Annuity, Extended Vasicek Model, G2 Model, Libor Market Model

7.

Interest Rate Instruments and Market Conventions Guide

OpenGamma Quantitative Research, First Edition, April 2012
Number of pages: 51 Posted: 13 Aug 2012
Marc P. A. Henrard
muRisQ Advisory
Downloads 1,870 (13,239)

Abstract:

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interest rate instruments, market conventions

8.

A Quant Perspective on IBOR Fallback Consultation Results - V2.1

Market Infrastructure Analysis, muRisQ Advisory, January 2019.
Number of pages: 46 Posted: 11 Jan 2019 Last Revised: 30 Jan 2019
Marc P. A. Henrard
muRisQ Advisory
Downloads 1,766 (14,487)
Citation 5

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LIBOR Fallback, Benchmark, Quantitative Finance, Interest Rate, ISDA consultation

9.

Bermudan Swaptions in Gaussian HJM One-Factor Model: Analytical and Numerical Approaches

Number of pages: 13 Posted: 22 Oct 2008 Last Revised: 10 May 2010
Marc P. A. Henrard
muRisQ Advisory
Downloads 1,522 (18,147)
Citation 1

Abstract:

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Bermudan option, swaption, Hull-White model, one-factor model, numerical integration

10.

A Quant Perspective on IBOR Fallback Proposals

Market infrastructure developments analysis, muRisQ Advisory, July 2018
Number of pages: 40 Posted: 18 Aug 2018 Last Revised: 07 Oct 2018
Marc P. A. Henrard
muRisQ Advisory
Downloads 1,063 (30,886)
Citation 1

Abstract:

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LIBOR Fallback, Benchmark, Quantitative Finance, Interest Rate

11.

Adjoint Algorithmic Differentiation: Calibration and Implicit Function Theorem

OpenGamma Quantitative Research No. 1
Number of pages: 14 Posted: 03 Sep 2011 Last Revised: 14 Apr 2013
Marc P. A. Henrard
muRisQ Advisory
Downloads 975 (34,954)
Citation 11

Abstract:

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Financial model calibration, adjoint algorithmic differentiation, implicit function theorem, equation solver, efficient derivatives computation

12.

Overnight Futures: Convexity Adjustment

Number of pages: 12 Posted: 09 Mar 2018
Marc P. A. Henrard
muRisQ Advisory
Downloads 965 (35,423)
Citation 6

Abstract:

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overnight, futures, collateral, convexity adjustment

13.

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 muRisQ Advisory
Downloads 921 (37,842)
Citation 1

Abstract:

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

Swaptions in Libor Market Model with Local Volatility

Number of pages: 16 Posted: 28 Feb 2008 Last Revised: 21 Jan 2009
Marc P. A. Henrard
muRisQ Advisory
Downloads 921 (37,358)
Citation 3

Abstract:

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Explicit formula, Libor Market Model, displaced diffusion, local volatility, smile, approximation, calibration

Swaptions in Libor Market Model with Local Volatility

Wilmott Journal, Vol. 2, No. 3, pp. 135-154, June 2010
Posted: 07 Nov 2010
Marc P. A. Henrard
muRisQ Advisory

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Explicit Formula, Libor Market Model, Displaced Diffusion, Local Volatility, Smile, Approximation.

15.

CMS Swaps and Caps in One-Factor Gaussian Models

Number of pages: 9 Posted: 14 May 2007 Last Revised: 12 Feb 2008
Marc P. A. Henrard
muRisQ Advisory
Downloads 826 (43,829)
Citation 4

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CMS, CMS caps, Libor Market Model, Bond Market Model, one factor, separability, approximation

16.

Multi-Curve Framework with Collateral

OpenGamma Quantitative Research, n.13, July 2013
Number of pages: 44 Posted: 28 Jul 2013 Last Revised: 01 Dec 2013
Marc P. A. Henrard
muRisQ Advisory
Downloads 688 (55,915)
Citation 2

Abstract:

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multi-curve framework, collateral, convexity adjustment, discounting, haircut, Libor derivatives

17.

Multi-Curves: Variations on a Theme

Number of pages: 22 Posted: 20 Oct 2012 Last Revised: 14 Apr 2013
Marc P. A. Henrard
muRisQ Advisory
Downloads 568 (71,538)
Citation 8

Abstract:

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Multi-curves framework, discounting, forward rates, Ibor indexes, interest rate futures, rate interpolation

18.

SOFR Discounting Transition: Multi-Curve and Quantitative Perspective

Market Infrastructure Analysis, muRisQ Advisory, October 2019
Number of pages: 8 Posted: 11 Nov 2019
Marc P. A. Henrard
muRisQ Advisory
Downloads 544 (75,489)
Citation 1

Abstract:

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CCP, Price Alignment Interest, Interest Rate Modelling, Value Transfer

19.

Bonds Futures: Delta? No Gamma!

Number of pages: 8 Posted: 30 Jun 2006
Marc P. A. Henrard
muRisQ Advisory
Downloads 543 (75,634)

Abstract:

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Bond future, delivery option, delta, gamma, HJM Gaussian model, in-the-model, out-of-the-model

20.

Libor Market Model and Gaussian HJM Explicit Approaches to Option on Composition

Number of pages: 12 Posted: 08 Mar 2006
Marc P. A. Henrard
muRisQ Advisory
Downloads 536 (76,866)
Citation 3

Abstract:

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Explicit formula, Libor market model, HJM model, shifted log-normal model, normal model, existence, option on composition

21.

Estimation of Future Initial Margins in a Multi-Curve Interest Rate Framework

Number of pages: 21 Posted: 30 Oct 2015 Last Revised: 03 Feb 2016
Camilo A. Garcia Trillos, Marc P. A. Henrard and Andrea Macrina
University College London - Department of Mathematics, muRisQ Advisory and University College London
Downloads 473 (89,531)
Citation 2

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Initial margin, margin valuation adjustment (MVA), multi-curve interest rate models, risk management

Skewed Libor Market Model and Gaussian HJM Explicit Approaches to Rolled Deposit Options

Number of pages: 16 Posted: 14 Jan 2007
Marc P. A. Henrard
muRisQ Advisory
Downloads 464 (90,783)
Citation 10

Abstract:

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Libor Market Model, Heath-Jarrow-Morton, skew, smile, explicit solution, approximation, Bond Market Model, option on composition, existence results

Skewed Libor Market Model and Gaussian HJM Explicit Approaches to Rolled Deposit Options

Journal of Risk, Vol. 9, No. 4, 2007
Posted: 25 Jul 2007
Marc P. A. Henrard
muRisQ Advisory

Abstract:

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Libor Market Model, Heath-Jarrow-Morton, skew, smile, explicitsolution, approximation, Bond Market Model, option on composition, existence results

A Semi-Explicit Approach to Canary Swaptions in HJM One-Factor Model

Economics Working Paper Archive No. 0310008
Number of pages: 14 Posted: 31 Dec 2004
Marc P. A. Henrard
muRisQ Advisory
Downloads 406 (106,019)
Citation 1

Abstract:

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Bermudan option, swaption, bond option, HJM model, Hull-White model, one-factor model, explicit formula, numerical integration

A Semi-Explicit Approach to Canary Swaptions in HJM One-Factor Model

Applied Mathematical Finance, Vol. 13, No. 1, pp. 1-18, March 2006
Posted: 02 Jul 2006
Marc P. A. Henrard
muRisQ Advisory

Abstract:

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Bermudan swaption, HJM one-factor model, Hull-White model, explicit formula, numerical integration

24.

My Future is Not Convex

Number of pages: 5 Posted: 08 May 2012 Last Revised: 09 May 2012
Marc P. A. Henrard
muRisQ Advisory
Downloads 374 (117,407)
Citation 6

Abstract:

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25.

Discounting Transition: Big Bang Impacts

Market Infrastructure Analysis, muRisQ Advisory, February 2020
Number of pages: 14 Posted: 04 Mar 2020
Marc P. A. Henrard
muRisQ Advisory
Downloads 351 (125,951)
Citation 1

Abstract:

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CCP, Price Alignment Interest, Interest Rate Modelling, convexity adjustment

Tips Options in the Jarrow-Yildirim Model

Number of pages: 3 Posted: 24 Mar 2006
Marc P. A. Henrard
muRisQ Advisory
Downloads 336 (131,278)

Abstract:

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Inflation bond option, Jarrow-Yildirim model

Tips Options in the Jarrow-Yildirim Model

Risk, Vol. 19, No. 3, pp. 82-83, March 2006
Posted: 23 Mar 2006
Marc P. A. Henrard
muRisQ Advisory

Abstract:

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Inflation bond option, Jarrow-Yildirim model

27.

Derivative Pricing with Two Collateral Rates

Model Development, muRisQ Advisory, February 2021.
Number of pages: 26 Posted: 18 Feb 2021 Last Revised: 11 Apr 2021
Marc P. A. Henrard
muRisQ Advisory
Downloads 334 (132,950)

Abstract:

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OIS discounting, collateral, overnight, transition, convexity adjustment

28.

Deliverable Interest Rate Swap Futures: Pricing in Gaussian HJM Model

Number of pages: 14 Posted: 30 Sep 2012 Last Revised: 30 Oct 2012
Marc P. A. Henrard
muRisQ Advisory
Downloads 322 (138,209)
Citation 6

Abstract:

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interest rate swaps, futures, HJM, convexity adjustment, multi-curves

29.

Hybrid Model: A Dynamic Multi-Curve Framework

Model development, muRisQ Advisory, August 2018.
Number of pages: 40 Posted: 04 Sep 2018 Last Revised: 27 Sep 2018
Marc P. A. Henrard
muRisQ Advisory
Downloads 315 (141,394)
Citation 1

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Multi-Curve Framework, Interest Rate Model, Stochastic Spread, Historical Data, Calibration

30.

Multi-Curves Framework with Stochastic Spread: A Coherent Approach to STIR Futures and Their Options

OpenGamma Quantitative Research, No. 11, March 2013
Number of pages: 24 Posted: 10 Mar 2013 Last Revised: 16 Oct 2013
Marc P. A. Henrard
muRisQ Advisory
Downloads 307 (145,260)
Citation 10

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Multi-curve framework, stochastic spread, STIR futures, options on futures, cap/floor, coherent model, multi-factor HJM

31.

Swap Rate Fallback: Unreasonable Effectiveness of Approximations and Alternatives

Number of pages: 13 Posted: 14 Jun 2022
Marc P. A. Henrard
muRisQ Advisory
Downloads 299 (149,339)

Abstract:

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swaption, LIBOR transition, fallback, vanilla options, convexity adjustment

32.

LIBOR Fallback: A Quantitative Perspective (Quant Summit Presentation Slides)

Number of pages: 27 Posted: 03 Jun 2019
Marc P. A. Henrard
muRisQ Advisory
Downloads 274 (163,291)
Citation 5

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LIBOR fallback, Quant Summit, compounding in-arrears, value transfer

33.
Downloads 270 (165,780)

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Explicit formula, Libor market model, separability condition, swaption, bond futures

34.

A Short Note on Long-Term Repos

Market Infrastructure Analysis, muRisQ Advisory, October 2018
Number of pages: 12 Posted: 24 Oct 2018 Last Revised: 30 Apr 2019
Marc P. A. Henrard
muRisQ Advisory
Downloads 231 (193,013)

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Term Repo, Overnight, Benchmarks, OIS

35.

Algorithmic Differentiation in Finance: Root Finding and Least Square Calibration

OpenGamma Quantitative Research, n.7
Number of pages: 20 Posted: 09 Jan 2013 Last Revised: 25 Mar 2013
Marc P. A. Henrard
muRisQ Advisory
Downloads 228 (195,430)
Citation 5

Abstract:

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36.

Variation Margin in Presence of Trade Cash Flows

Market infrastructure developments analysis, muRisQ Advisory
Number of pages: 14 Posted: 18 Apr 2018 Last Revised: 07 Aug 2018
Marc P. A. Henrard
muRisQ Advisory
Downloads 175 (247,887)
Citation 1

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variation margin, trade cash flows, counterparty exposure, exposure spikes, bilateral margin regulation

37.

Risk-Based Overnight-Linked Futures Design

Market infrastructure developments analysis, muRisQ Advisory, September 2018
Number of pages: 22 Posted: 04 Sep 2018 Last Revised: 06 Oct 2018
Marc P. A. Henrard
muRisQ Advisory
Downloads 167 (259,267)

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overnight benchmark, futures, market infrastructure, new design

38.
Downloads 162 (264,605)
Citation 2

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IBOR Fallback, ISDA Master Agreement, Interest Rate Modelling, Achievability

39.

Description of Overnight Floaters with Principal Adjustment and Its Advantages

Number of pages: 6 Posted: 18 Feb 2021
Marc P. A. Henrard
muRisQ Advisory
Downloads 132 (311,397)

Abstract:

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bond, overnight, composition, simplicity, principal adjustment, loan

40.

Answer to 'Consultation on Final Parameters for the Spread and Term Adjustments in Derivatives Fallbacks for Key IBORs' Issued by ISDA

Market Infrastructure Analysis, muRisQ Advisory, October 2019
Number of pages: 8 Posted: 18 Nov 2019
Marc P. A. Henrard
muRisQ Advisory
Downloads 114 (348,338)
Citation 1

Abstract:

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IBOR Fallback, ISDA Master Agreement, Interest Rate Modelling, Achievability, Value transfer

41.

Options on overnight futures

Model Development, muRisQ Advisory, March 2022
Number of pages: 12 Posted: 08 Apr 2022
Marc P. A. Henrard
muRisQ Advisory
Downloads 108 (359,416)

Abstract:

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overnight, futures, convexity adjusment, transition

42.
Downloads 102 (373,322)

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IBOR Fallback, ISDA Master Agreement, Interest Rate Modelling, Achievability, Value transfer, EU BMR compliance

Abstract:

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IBOR Fallback, ISDA Master Agreement, Interest Rate Modelling

44.

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 muRisQ Advisory

Abstract:

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

45.

Bonds Futures and Their Options: More than the Cheapest-to-Deliver; Quality Option and Marginning

Journal of Fixed Income, Vol. 16, No. 2, pp. 62-75, Fall 2006
Posted: 07 Nov 2006
Marc P. A. Henrard
muRisQ Advisory

Abstract:

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Bond future, option on bond futures, delivery option, marginning, Gaussian HJM model, explicit formula, numerical integration

46.

Swaptions: 1 Price, 10 Deltas, and... 6 1/2 Gammas

Wilmott Magazine, pp. 48-57, November 2005
Posted: 21 Mar 2006
Marc P. A. Henrard
muRisQ Advisory

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Swaption, delta, hedging efficiency, in-the-model, out-of-the-model sensitivity, models difference

47.

Comparison of Cash Flow Maps for Value-at-Risk

Journal of Risk, Vol. 3, No. 1, pp. 57-71, 2000
Posted: 21 Mar 2006
Marc P. A. Henrard
muRisQ Advisory

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Value-at-risk, mapping, cash-flows

Other Papers (2)

Total Downloads: 575
1.

A Quant Opinion on LIBOR Fallback

Number of pages: 12 Posted: 19 Apr 2019
Marc P. A. Henrard
muRisQ Advisory
Downloads 403

Abstract:

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LIBOR fallback, benchmarks, opinion, quant

2.

Benchmarks in Transition - Webinar Slides

Number of pages: 89 Posted: 06 May 2020 Last Revised: 26 May 2020
Marc P. A. Henrard
muRisQ Advisory
Downloads 172

Abstract:

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Interest Rate Modelling, benchmarks, LIBOR, fallback, discounting, value transfer