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

45

DOWNLOADS
Rank 847

SSRN RANKINGS

Top 847

in Total Papers Downloads

34,422

SSRN CITATIONS

27

CROSSREF CITATIONS

132

Ideas:
“  Dynamic multi-curve framework with stochastic spread, LIBOR fallback, overnight-linked futures, interest rate benchmarks.  ”

Scholarly Papers (45)

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 4,144 (2,634)
Citation 33

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 3,623 (3,284)
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

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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 3,527 (3,433)
Citation 7

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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 3,403 (3,642)
Citation 21

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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 2,477 (6,421)
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 2,152 (8,097)
Citation 5

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

7.

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 1,424 (15,680)
Citation 1

Abstract:

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

8.

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 1,194 (20,537)

Abstract:

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interest rate instruments, market conventions

9.

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 1,142 (21,950)
Citation 5

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

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 891 (31,434)
Citation 1

Abstract:

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LIBOR Fallback, Benchmark, Quantitative Finance, Interest Rate

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 877 (31,586)
Citation 3

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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.

12.

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 828 (34,694)
Citation 1

Abstract:

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

13.

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 780 (37,642)
Citation 12

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

14.

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 777 (37,832)
Citation 4

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

15.

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 489 (69,075)
Citation 8

Abstract:

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

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 479 (70,859)
Citation 2

Abstract:

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

17.

Overnight Futures: Convexity Adjustment

Number of pages: 12 Posted: 09 Mar 2018
Marc P. A. Henrard
muRisQ Advisory
Downloads 472 (72,347)
Citation 5

Abstract:

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overnight, futures, collateral, convexity adjustment

18.

Bonds Futures: Delta? No Gamma!

Number of pages: 8 Posted: 30 Jun 2006
Marc P. A. Henrard
muRisQ Advisory
Downloads 469 (72,738)

Abstract:

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

19.

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 464 (73,679)
Citation 3

Abstract:

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

20.

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 436 (79,365)
Citation 2

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

21.

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 410 (85,333)
Citation 1

Abstract:

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

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 358 (99,020)
Citation 10

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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

23.

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 350 (102,317)
Citation 6

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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 328 (109,360)
Citation 3

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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

Tips Options in the Jarrow-Yildirim Model

Number of pages: 3 Posted: 24 Mar 2006
Marc P. A. Henrard
muRisQ Advisory
Downloads 311 (115,852)

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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

26.

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 294 (123,656)
Citation 6

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

27.
Downloads 258 (141,685)

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

28.

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 257 (142,196)
Citation 10

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

29.

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 248 (147,301)
Citation 1

Abstract:

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

30.

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 206 (175,915)
Citation 1

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

31.

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

Number of pages: 27 Posted: 03 Jun 2019
Marc P. A. Henrard
muRisQ Advisory
Downloads 188 (192,136)
Citation 5

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

32.

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 176 (202,614)
Citation 5

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33.

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 171 (207,741)

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Term Repo, Overnight, Benchmarks, OIS

34.
Downloads 153 (228,033)
Citation 2

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

35.

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 147 (235,617)
Citation 1

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

36.

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 124 (272,467)

Abstract:

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OIS discounting, collateral, overnight, transition, convexity adjustment

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 109 (295,114)

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overnight benchmark, futures, market infrastructure, new design

38.

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 79 (361,881)
Citation 1

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

Abstract:

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IBOR Fallback, ISDA Master Agreement, Interest Rate Modelling

40.
Downloads 70 (387,279)

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

41.

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 58 (426,305)

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

42.

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

43.

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

44.

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

Abstract:

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

45.

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: 437
1.

A Quant Opinion on LIBOR Fallback

Number of pages: 12 Posted: 19 Apr 2019
Marc P. A. Henrard
muRisQ Advisory
Downloads 332

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 105

Abstract:

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