This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Information about:
Marc Henrard

Personal Details | Affiliation | Works
This is information that was supplied by Marc Henrard in registering through RePEc. If you are Marc Henrard , you may change this information at RePEc. Or if you are not registered and would like to be listed as well, register at RePEc. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Other registered authors

Personal Details

First Name: Marc
Middle Name:
Last Name: Henrard
Suffix:

RePEc Short-ID: phe51

Email:
Homepage: http://www.mysunrise.ch/users/marc.henrard
Postal Address: Dexia Bank (Brussels) Avenue Galilée 5 1210 Brussels Belgium
Phone:

Affiliation

(in no particular order)

Lists

This author is among the top 5% authors according to these criteria:
  1. Number of Abstract Views in RePEc Services over the past 12 months
  2. Number of Downloads through RePEc Services over the past 12 months
  3. Number of Abstract Views in RePEc Services over the past 12 months, Weighted by Number of Authors
  4. Number of Downloads through RePEc Services over the past 12 months, Weighted by Number of Authors

Works

| Working papers | Articles | Access and download statistics | Citations (if any)| NEP Fields |
Download all references for this author: available formats: HTML (with abstracts), plain text (with abstracts), BibTeX, RIS (EndNote), ReDIF

Working papers

  1. Henrard, Marc, 2007. "The irony in the derivatives discounting," MPRA Paper 3115, University Library of Munich, Germany. [Downloadable!]

  2. Henrard, Marc, 2007. "CMS swaps in separable one-factor Gaussian LLM and HJM model," MPRA Paper 3228, University Library of Munich, Germany. [Downloadable!]

  3. Henrard, Marc, 2007. "Skewed Libor Market Model and Gaussian HJM explicit approaches to rolled deposit options," MPRA Paper 1534, University Library of Munich, Germany. [Downloadable!]

  4. Henrard, Marc, 2006. "Bonds futures and their options: more than the cheapest-to-deliver; quality option and marginning," MPRA Paper 2001, University Library of Munich, Germany. [Downloadable!]

  5. Henrard, Marc, 2006. "TIPS Options in the Jarrow-Yildirim model," MPRA Paper 1423, University Library of Munich, Germany. [Downloadable!]

  6. Henrard, Marc, 2006. "Bonds futures: Delta? No gamma!," MPRA Paper 2249, University Library of Munich, Germany, revised 01 May 2006. [Downloadable!]

  7. Marc Henrard, 2005. "Libor Market Model and Gaussian HJM explicit approaches to option on composition," Finance 0511016, EconWPA, revised 07 Dec 2005. [Downloadable!]

  8. Henrard Marc, 2005. "Eurodollar futures and options: convexity adjustment in HJM one- factor model," Finance 0503005, EconWPA. [Downloadable!]

  9. Marc Henrard, 2005. "Inflation bond option pricing in Jarrow-Yildirim model," Finance 0510027, EconWPA. [Downloadable!]

  10. Marc Henrard, 2005. "Bermudan swaptions in Hull-White one-factor model: analytical and numerical approaches," Finance 0505023, EconWPA. [Downloadable!]

  11. Marc Henrard, 2005. "Convexity adjustment and delivery option in Australian dollar 90 Day Bills Futures," Finance 0509027, EconWPA. [Downloadable!]

  12. Marc Henrard, 2005. "Value-at-Risk: The Delta-normal Approach," Risk and Insurance 0509001, EconWPA. [Downloadable!]

  13. Marc Henrard, 2004. "Swaptions: 1 price, 10 deltas, and ... 6 1/2 gammas," Finance 0407018, EconWPA, revised 14 Aug 2004. [Downloadable!]

  14. Marc Henrard, 2004. "Semi-explicit Delta and Gamma for European swaptions in Hull- White one factor model," Finance 0411036, EconWPA, revised 25 Jan 2005. [Downloadable!]

  15. Marc Henrard, 2004. "Overnight Indexed Swaps and Floored Compounded Instrument in HJM One-Factor Model," Finance 0402008, EconWPA. [Downloadable!]

  16. Henrard Marc, 2003. "A semi-analytical approach to Canary swaptions in HJM one-factor model," Finance 0310008, EconWPA, revised 25 Nov 2004. [Downloadable!]

  17. Henrard Marc, 2003. "Comparisons of cashflow maps for value-at-risk," Risk and Insurance 0310001, EconWPA. [Downloadable!]

  18. Marc Henrard, 2003. "Currency basket as asset or base currency in value-at-risk computation," Risk and Insurance 0310003, EconWPA, revised 12 Oct 2003. [Downloadable!]

  19. Henrard Marc, 2003. "Parameter risk in the Black and Scholes model," Risk and Insurance 0310002, EconWPA. [Downloadable!]

  20. Marc Henrard, 2003. "Explicit bond option and swaption formula in Heath-Jarrow-Morton one factor model," Finance 0310009, EconWPA. [Downloadable!]

Articles

  1. Marc Henrard, 2006. "A Semi-Explicit Approach to Canary Swaptions in HJM One-Factor Model," Applied Mathematical Finance, Taylor and Francis Journals, vol. 13(1), pages 1-18, March. [Downloadable!] (restricted)

NEP Fields

20 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CFN: Corporate Finance (4) 2003-10-12 2003-10-20 2004-02-15 2004-07-26
  2. NEP-CMP: Computational Economics (3) 2003-10-12 2004-07-26 2005-06-05
  3. NEP-FIN: Finance (8) 2003-10-12 2003-10-12 2004-02-15 2004-11-22 2005-04-16 2005-06-05 2005-10-04 2005-12-09 Author is listed
  4. NEP-FMK: Financial Markets (2) 2005-10-04 2007-03-10
  5. NEP-IFN: International Finance (1) 2003-10-20
  6. NEP-MAC: Macroeconomics (8) 2005-06-05 2005-10-04 2005-12-09 2007-01-14 2007-01-28 2007-03-17 2007-05-12 2007-05-19 Author is listed
  7. NEP-RMG: Risk Management (6) 2003-10-12 2003-10-12 2003-10-20 2003-10-20 2004-02-15 2005-10-04 Author is listed
Did you know? IDEAS is not the only service displaying RePEc data. Choose on RePEc which service fits your needs best.

This page was last updated on 2009-12-1.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.