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Marc Henrard

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

Personal Details

First Name: Marc
Middle Name:
Last Name: Henrard
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RePEc Short-ID: phe51

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Homepage:
Postal Address: OpenGamma 185 Park Street London
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Affiliation

OpenGamma
Homepage: http://www.opengamma.com
Location: United Kingdom, London

Works

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Working papers

  1. Marc Henrard, 2009. "Efficient swaptions price in Hull-White one factor model," Papers 0901.1776, arXiv.org.
  2. Henrard, Marc, 2007. "CMS swaps in separable one-factor Gaussian LLM and HJM model," MPRA Paper 3228, University Library of Munich, Germany.
  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.
  4. Henrard, Marc, 2007. "The irony in the derivatives discounting," MPRA Paper 3115, University Library of Munich, Germany.
  5. 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.
  6. Henrard, Marc, 2006. "TIPS Options in the Jarrow-Yildirim model," MPRA Paper 1423, University Library of Munich, Germany.
  7. Henrard, Marc, 2006. "Bonds futures: Delta? No gamma!," MPRA Paper 2249, University Library of Munich, Germany, revised 01 May 2006.
  8. Marc Henrard, 2005. "Value-at-Risk: The Delta-normal Approach," Risk and Insurance 0509001, EconWPA.
  9. Marc Henrard, 2005. "Bermudan swaptions in Hull-White one-factor model: analytical and numerical approaches," Finance 0505023, EconWPA.
  10. Henrard Marc, 2005. "Eurodollar futures and options: convexity adjustment in HJM one- factor model," Finance 0503005, EconWPA.
  11. Marc Henrard, 2005. "Libor Market Model and Gaussian HJM explicit approaches to option on composition," Finance 0511016, EconWPA, revised 07 Dec 2005.
  12. Marc Henrard, 2005. "Convexity adjustment and delivery option in Australian dollar 90 Day Bills Futures," Finance 0509027, EconWPA.
  13. Marc Henrard, 2005. "Inflation bond option pricing in Jarrow-Yildirim model," Finance 0510027, EconWPA.
  14. Marc Henrard, 2004. "Overnight Indexed Swaps and Floored Compounded Instrument in HJM One-Factor Model," Finance 0402008, EconWPA.
  15. Marc Henrard, 2004. "Semi-explicit Delta and Gamma for European swaptions in Hull- White one factor model," Finance 0411036, EconWPA, revised 25 Jan 2005.
  16. Marc Henrard, 2004. "Swaptions: 1 price, 10 deltas, and ... 6 1/2 gammas," Finance 0407018, EconWPA, revised 14 Aug 2004.
  17. Henrard Marc, 2003. "Parameter risk in the Black and Scholes model," Risk and Insurance 0310002, EconWPA.
  18. Henrard Marc, 2003. "Comparisons of cashflow maps for value-at-risk," Risk and Insurance 0310001, EconWPA.
  19. Marc Henrard, 2003. "Explicit bond option and swaption formula in Heath-Jarrow-Morton one factor model," Finance 0310009, EconWPA.
  20. Marc Henrard, 2003. "Currency basket as asset or base currency in value-at-risk computation," Risk and Insurance 0310003, EconWPA, revised 12 Oct 2003.
  21. Henrard Marc, 2003. "A semi-analytical approach to Canary swaptions in HJM one-factor model," Finance 0310008, EconWPA, revised 25 Nov 2004.

Articles

  1. Pierre Hanton & Marc Henrard, 2012. "Cms, Cms Spreads And Similar Options In The Multi-Factor Hjm Framework," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 15(07), pages 1250048-1-1.
  2. Marc Henrard, 2006. "A Semi-Explicit Approach to Canary Swaptions in HJM One-Factor Model," Applied Mathematical Finance, Taylor & Francis Journals, vol. 13(1), pages 1-18.

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

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