Marc P. A. Henrard

OpenGamma

Advisory Partner

107 Leadenhall Street - 5th floor

London, EC3A 4AF

United Kingdom

University College London - Department of Mathematics

Visiting Professor

Gower Street

London, WC1E 6BT

United Kingdom

SCHOLARLY PAPERS

29

DOWNLOADS
Rank 735

SSRN RANKINGS

Top 735

in Total Papers Downloads

25,365

CITATIONS

76

Scholarly Papers (29)

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
OpenGamma
Downloads 3,670 (1,857)
Citation 13

Abstract:

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
OpenGamma

Abstract:

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
OpenGamma
Downloads 3,398 (2,109)
Citation 5

Abstract:

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
OpenGamma

Abstract:

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
OpenGamma

Abstract:

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

3.
Downloads 3,188 ( 2,430)
Citation 15

The Irony in the Derivatives Discounting

Number of pages: 10 Posted: 14 Mar 2007
Marc P. A. Henrard
OpenGamma
Downloads 3,188 (2,373)
Citation 15

Abstract:

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
OpenGamma

Abstract:

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
OpenGamma
Downloads 3,082 (2,519)
Citation 14

Abstract:

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
OpenGamma

Abstract:

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
OpenGamma
Downloads 1,889 (4,978)
Citation 5

Abstract:

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
OpenGamma
Downloads 1,155 (6,245)
Citation 1

Abstract:

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
OpenGamma
Downloads 1,151 (11,437)

Abstract:

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

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
OpenGamma
Downloads 758 (25,122)
Citation 4

Abstract:

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
OpenGamma

Abstract:

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

9.

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 (28,632)

Abstract:

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

10.

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
OpenGamma
Downloads 586 (29,125)
Citation 2

Abstract:

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

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
OpenGamma
Downloads 426 (34,946)

Abstract:

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

12.

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

Number of pages: 12 Posted: 08 Mar 2006
Marc P. A. Henrard
OpenGamma
Downloads 379 (59,290)
Citation 2

Abstract:

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

13.

Bonds Futures: Delta? No Gamma!

Number of pages: 8 Posted: 30 Jun 2006
Marc P. A. Henrard
OpenGamma
Downloads 335 (61,893)

Abstract:

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

14.

Multi-Curves: Variations on a Theme

Number of pages: 22 Posted: 20 Oct 2012 Last Revised: 14 Apr 2013
Marc P. A. Henrard
OpenGamma
Downloads 293 (63,850)

Abstract:

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

15.

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
OpenGamma
Downloads 287 (38,293)

Abstract:

interest rate instruments, market conventions

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
OpenGamma
Downloads 281 (87,978)
Citation 11

Abstract:

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
OpenGamma

Abstract:

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
OpenGamma
Downloads 279 (88,346)

Abstract:

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
OpenGamma

Abstract:

Inflation bond option, Jarrow-Yildirim model

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
OpenGamma
Downloads 228 (109,358)
Citation 4

Abstract:

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
OpenGamma

Abstract:

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

19.
Downloads 223 (104,709)

Abstract:

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

20.

My Future is Not Convex

Number of pages: 5 Posted: 08 May 2012 Last Revised: 09 May 2012
Marc P. A. Henrard
OpenGamma
Downloads 203 (88,815)

Abstract:

21.

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
OpenGamma
Downloads 195 (105,148)

Abstract:

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

22.

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
OpenGamma
Downloads 128 (121,400)

Abstract:

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

23.

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
OpenGamma
Downloads 122 (137,026)

Abstract:

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

24.

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
OpenGamma
Downloads 80 (188,174)

Abstract:

25.

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, OpenGamma and University College London
Downloads 0 (100,353)

Abstract:

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

26.

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

27.

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
OpenGamma

Abstract:

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

28.

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
OpenGamma

Abstract:

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

29.

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
OpenGamma

Abstract:

Value-at-risk, mapping, cash-flows