Marc Henrard

Personal Details

First Name:	Marc
Middle Name:
Last Name:	Henrard
Suffix:
RePEc Short-ID:	phe51
	http://multi-curve-framework.blogspot.com/
	muRisQ Rue du chemin de fer 8 B-1210 Brussels Belgium
Terminal Degree:	1996 (from RePEc Genealogy)

Affiliation

(75%) muRisQ Advisory

http://murisq.com/
Belgium/Brussels

(20%) OpenGamma

http://www.opengamma.com
United Kingdom, London

(5%) University College London - Department of mathematics

https://www.ucl.ac.uk/maths/
UK, London

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

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

   Cited by:

   1. Jaroslav Baran & Jiří Witzany, 2014. "Konstrukce výnosových křivek v pokrizovém období [Yield Curve Construction after Crisis]," Politická ekonomie, Prague University of Economics and Business, vol. 2014(1), pages 67-99.
   2. N. Moreni & A. Pallavicini, 2014. "Parsimonious HJM modelling for multiple yield curve dynamics," Quantitative Finance, Taylor & Francis Journals, vol. 14(2), pages 199-210, February.
      • Nicola Moreni & Andrea Pallavicini, 2010. "Parsimonious HJM Modelling for Multiple Yield-Curve Dynamics," Papers 1011.0828, arXiv.org.
   3. Roberto Baviera, 2017. "Back-of-the-envelope swaptions in a very parsimonious multicurve interest rate model," Papers 1712.06466, arXiv.org.
   4. Bianchetti, Marco, 2008. "Two Curves, One Price :Pricing & Hedging Interest Rate Derivatives Decoupling Forwarding and Discounting Yield Curves," MPRA Paper 22022, University Library of Munich, Germany, revised 24 Jan 2010.
   5. Ernst Eberlein & Christoph Gerhart & Zorana Grbac, 2018. "Multiple curve L\'evy forward price model allowing for negative interest rates," Papers 1805.02605, arXiv.org.
   6. Mesias Alfeus & Martino Grasselli & Erik Schlögl, 2017. "A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors," Research Paper Series 384, Quantitative Finance Research Centre, University of Technology, Sydney.
      • Alfeus, Mesias & Grasselli, Martino & Schlögl, Erik, 2020. "A consistent stochastic model of the term structure of interest rates for multiple tenors," Journal of Economic Dynamics and Control, Elsevier, vol. 114(C).
      • Mesias Alfeus & Martino Grasselli & Erik Schlogl, 2018. "A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors," Papers 1809.06643, arXiv.org.
   7. Alessandro Gnoatto & Nicole Seiffert, 2020. "Cross Currency Valuation and Hedging in the Multiple Curve Framework," Working Papers 03/2020, University of Verona, Department of Economics.
      • Alessandro Gnoatto & Nicole Seiffert, 2020. "Cross Currency Valuation and Hedging in the Multiple Curve Framework," Papers 2001.11012, arXiv.org, revised Mar 2021.
   8. Backwell, Alex & Hayes, Joshua, 2022. "Expected and Unexpected Jumps in the Overnight Rate: Consistent Management of the Libor Transition," Journal of Banking & Finance, Elsevier, vol. 145(C).
   9. The Anh Nguyen & Frank Thomas Seifried, 2015. "The Multi-Curve Potential Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(07), pages 1-32, November.
   10. Marco, Bianchetti & Mattia, Carlicchi, 2012. "Interest Rates After The Credit Crunch: Multiple-Curve Vanilla Derivatives and SABR," MPRA Paper 42248, University Library of Munich, Germany.
   11. Alessandro Gnoatto & Silvia Lavagnini, 2023. "Cross-Currency Heath-Jarrow-Morton Framework in the Multiple-Curve Setting," Papers 2312.13057, arXiv.org.
   12. Christa Cuchiero & Claudio Fontana & Alessandro Gnoatto, 2016. "Affine multiple yield curve models," Papers 1603.00527, arXiv.org, revised Feb 2017.
       • Christa Cuchiero & Claudio Fontana & Alessandro Gnoatto, 2019. "Affine multiple yield curve models," Mathematical Finance, Wiley Blackwell, vol. 29(2), pages 568-611, April.
   13. Roberto Baviera, 2019. "Back-Of-The-Envelope Swaptions In A Very Parsimonious Multi-Curve Interest Rate Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(05), pages 1-24, August.
   14. Damiano Brigo & Andrea Pallavicini, 2013. "CCPs, Central Clearing, CSA, Credit Collateral and Funding Costs Valuation FAQ: Re-hypothecation, CVA, Closeout, Netting, WWR, Gap-Risk, Initial and Variation Margins, Multiple Discount Curves, FVA?," Papers 1312.0128, arXiv.org, revised Dec 2013.
   15. Giacomo Morelli, 2021. "Fair prices under a unified lattice approach for interest rate derivatives," Annals of Operations Research, Springer, vol. 299(1), pages 429-441, April.
   16. Andrea Pallavicini & Damiano Brigo, 2013. "Interest-Rate Modelling in Collateralized Markets: Multiple curves, credit-liquidity effects, CCPs," Papers 1304.1397, arXiv.org.
   17. Eric Jondeau & Benoit Mojon & Jean-Guillaume Sahuc, 2020. "Bank Funding Cost and Liquidity Supply Regimes," BIS Working Papers 854, Bank for International Settlements.
   18. Gerhart, Christoph & Lütkebohmert, Eva, 2020. "Empirical analysis and forecasting of multiple yield curves," Insurance: Mathematics and Economics, Elsevier, vol. 95(C), pages 59-78.
   19. Eduard Gim'enez & Alberto Elices & Giovanna Villani, 2014. "A heuristic pricing and hedging framework for multi-currency fixed income desks," Papers 1406.1811, arXiv.org, revised Jan 2017.
   20. Claudio Fontana & Zorana Grbac & Sandrine Gümbel & Thorsten Schmidt, 2020. "Term structure modelling for multiple curves with stochastic discontinuities," Finance and Stochastics, Springer, vol. 24(2), pages 465-511, April.
   21. Jean-Paul Laurent & Philippe Amzelek & Joe Bonnaud, 2014. "An overview of the valuation of collateralized derivative contracts," Review of Derivatives Research, Springer, vol. 17(3), pages 261-286, October.
   22. Fanelli, Viviana, 2017. "Implications of implicit credit spread volatilities on interest rate modelling," European Journal of Operational Research, Elsevier, vol. 263(2), pages 707-718.
   23. Filipović, Damir & Trolle, Anders B., 2013. "The term structure of interbank risk," Journal of Financial Economics, Elsevier, vol. 109(3), pages 707-733.
   24. Yangfan Zhong, 2018. "LIBOR market model with multiplicative basis," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 5(02), pages 1-38, June.
   25. Lorenzo Silotto & Marco Scaringi & Marco Bianchetti, 2021. "Everything You Always Wanted to Know About XVA Model Risk but Were Afraid to Ask," Papers 2107.10377, arXiv.org.
   26. Chiara Sabelli & Michele Pioppi & Luca Sitzia & Giacomo Bormetti, 2014. "Multi-curve HJM modelling for risk management," Papers 1411.3977, arXiv.org, revised Oct 2015.
   27. Zorana Grbac & Antonis Papapantoleon & John Schoenmakers & David Skovmand, 2014. "Affine LIBOR models with multiple curves: theory, examples and calibration," Papers 1405.2450, arXiv.org, revised Aug 2015.
   28. Schmidt, Wolfgang M., 2011. "Interest rate term structure modelling," European Journal of Operational Research, Elsevier, vol. 214(1), pages 1-14, October.

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

   Cited by:

   1. Jiří Witzany, 2009. "Valuation of Convexity Related Interest Rate Derivatives," Prague Economic Papers, Prague University of Economics and Business, vol. 2009(4), pages 309-326.
   2. Nikolaos Karouzakis & John Hatgioannides & Kostas Andriosopoulos, 2018. "Convexity adjustment for constant maturity swaps in a multi-curve framework," Annals of Operations Research, Springer, vol. 266(1), pages 159-181, July.
   3. Bin Chen & Cornelis W. Oosterlee & Sacha Van Weeren, 2010. "Analytical Approximation To Constant Maturity Swap Convexity Corrections In A Multi-Factor Sabr Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 13(07), pages 1019-1046.

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.

   Cited by:

   1. Henrard, Marc, 2007. "CMS swaps in separable one-factor Gaussian LLM and HJM model," MPRA Paper 3228, University Library of Munich, Germany.
   2. Sander Willems, 2020. "SABR smiles for RFR caplets," Papers 2004.04501, arXiv.org, revised May 2020.

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.

   Cited by:

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

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

   Cited by:

   1. 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. Marc Henrard, 2005. "Convexity adjustment and delivery option in Australian dollar 90 Day Bills Futures," Finance 0509027, University Library of Munich, Germany.

   Cited by:

   1. Leccadito, Arturo & Tunaru, Radu S. & Urga, Giovanni, 2015. "Trading strategies with implied forward credit default swap spreads," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 361-375.

7. Marc Henrard, 2005. "Libor Market Model and Gaussian HJM explicit approaches to option on composition," Finance 0511016, University Library of Munich, Germany, revised 07 Dec 2005.

   Cited by:

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

8. Marc Henrard, 2005. "Bermudan swaptions in Hull-White one-factor model: analytical and numerical approaches," Finance 0505023, University Library of Munich, Germany.

   Cited by:

   1. Bünyamin Erkan & Jean-Luc Prigent, 2020. "About Long-Term Cross-Currency Bermuda Swaption Pricing," Post-Print hal-03679412, HAL.
      • Bünyamin Erkan & Jean-Luc Prigent, 2020. "About Long-Term Cross-Currency Bermuda Swaption Pricing," Computational Economics, Springer;Society for Computational Economics, vol. 56(1), pages 239-262, June.
   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.

9. Henrard Marc, 2005. "Eurodollar futures and options: convexity adjustment in HJM one- factor model," Finance 0503005, University Library of Munich, Germany.

   Cited by:

   1. Vladimir Pozdnyakov & J. Michael Steele, 2009. "Convexity Bias in Eurodollar Futures Prices: A Dimension-Free HJM Criterion," Methodology and Computing in Applied Probability, Springer, vol. 11(4), pages 551-560, December.
   2. Henrard, Marc, 2007. "The irony in the derivatives discounting," MPRA Paper 3115, University Library of Munich, Germany.
   3. Dan Pirjol, 2016. "Eurodollar futures pricing in log-normal interest rate models in discrete time," Applied Mathematical Finance, Taylor & Francis Journals, vol. 23(6), pages 445-464, November.
   4. Leccadito, Arturo & Tunaru, Radu S. & Urga, Giovanni, 2015. "Trading strategies with implied forward credit default swap spreads," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 361-375.

10. Marc Henrard, 2005. "Value-at-Risk: The Delta-normal Approach," Risk and Insurance 0509001, University Library of Munich, Germany.

    Cited by:

    1. Marc Henrard, 2003. "Currency basket as asset or base currency in value-at-risk computation," Risk and Insurance 0310003, University Library of Munich, Germany, revised 12 Oct 2003.

11. Marc Henrard, 2004. "Swaptions: 1 price, 10 deltas, and ... 6 1/2 gammas," Finance 0407018, University Library of Munich, Germany, revised 27 Sep 2005.

    Cited by:

    1. Wolfgang Kluge & Antonis Papapantoleon, 2009. "On the valuation of compositions in Levy term structure models," Quantitative Finance, Taylor & Francis Journals, vol. 9(8), pages 951-959.
    2. Wolfgang Kluge & Antonis Papapantoleon, 2009. "On the valuation of compositions in L\'evy term structure models," Papers 0902.3456, arXiv.org.
    3. 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.
    4. Marc Henrard, 2005. "Libor Market Model and Gaussian HJM explicit approaches to option on composition," Finance 0511016, University Library of Munich, Germany, revised 07 Dec 2005.
    5. Linus Kaisajuntti & Joanne Kennedy, 2014. "Stochastic volatility for interest rate derivatives," Quantitative Finance, Taylor & Francis Journals, vol. 14(3), pages 457-480, March.

12. Marc Henrard, 2004. "Semi-explicit Delta and Gamma for European swaptions in Hull- White one factor model," Finance 0411036, University Library of Munich, Germany, revised 25 Jan 2005.

    Cited by:

    1. 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.
    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.

13. Marc Henrard, 2004. "Overnight Indexed Swaps and Floored Compounded Instrument in HJM One-Factor Model," Finance 0402008, University Library of Munich, Germany.

    Cited by:

    1. Sander Willems, 2020. "SABR smiles for RFR caplets," Papers 2004.04501, arXiv.org, revised May 2020.
    2. Henrard, Marc, 2007. "The irony in the derivatives discounting," MPRA Paper 3115, University Library of Munich, Germany.
    3. Marc Pierre Henrard, 2019. "LIBOR Fallback and Quantitative Finance," Risks, MDPI, vol. 7(3), pages 1-15, August.
    4. Claudio Fontana, 2022. "Caplet pricing in affine models for alternative risk-free rates," Papers 2202.09116, arXiv.org, revised Jan 2023.

14. Henrard Marc, 2003. "Parameter risk in the Black and Scholes model," Risk and Insurance 0310002, University Library of Munich, Germany.

    Cited by:

    1. Simon Ellersgaard & Martin Jönsson & Rolf Poulsen, 2017. "The Fundamental Theorem of Derivative Trading - exposition, extensions and experiments," Quantitative Finance, Taylor & Francis Journals, vol. 17(4), pages 515-529, April.

15. Henrard Marc, 2003. "A semi-analytical approach to Canary swaptions in HJM one-factor model," Finance 0310008, University Library of Munich, Germany, revised 25 Nov 2004.

    Cited by:

    1. Marc Henrard, 2005. "Inflation bond option pricing in Jarrow-Yildirim model," Finance 0510027, University Library of Munich, Germany.

16. Marc Henrard, 2003. "Explicit bond option and swaption formula in Heath-Jarrow-Morton one factor model," Finance 0310009, University Library of Munich, Germany.

    Cited by:

    1. Marc Henrard, 2005. "Bermudan swaptions in Hull-White one-factor model: analytical and numerical approaches," Finance 0505023, University Library of Munich, Germany.
    2. Bünyamin Erkan & Jean-Luc Prigent, 2020. "About Long-Term Cross-Currency Bermuda Swaption Pricing," Post-Print hal-03679412, HAL.
       • Bünyamin Erkan & Jean-Luc Prigent, 2020. "About Long-Term Cross-Currency Bermuda Swaption Pricing," Computational Economics, Springer;Society for Computational Economics, vol. 56(1), pages 239-262, June.
    3. Henrard, Marc, 2007. "CMS swaps in separable one-factor Gaussian LLM and HJM model," MPRA Paper 3228, University Library of Munich, Germany.
    4. Marc Henrard, 2004. "Semi-explicit Delta and Gamma for European swaptions in Hull- White one factor model," Finance 0411036, University Library of Munich, Germany, revised 25 Jan 2005.
    5. Ingo Beyna, 2013. "Interest Rate Derivatives," Lecture Notes in Economics and Mathematical Systems, Springer, edition 127, number 978-3-642-34925-6, July.
    6. 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.
    7. Marcin Dec, 2018. "Markovian and multi-curve friendly parametrisation of HJM model used in valuation adjustment of interest rate derivatives," KAE Working Papers 2018-038, Warsaw School of Economics, Collegium of Economic Analysis.
       • Marcin Dec, 2019. "Markovian and multi-curve friendly parametrisation of a HJM model used in valuation adjustment of interest rate derivatives," Bank i Kredyt, Narodowy Bank Polski, vol. 50(2), pages 107-148.
    8. Ingo Beyna & Carl Chiarella & Boda Kang, 2012. "Pricing Interest Rate Derivatives in a Multifactor HJM Model with Time," Research Paper Series 317, Quantitative Finance Research Centre, University of Technology, Sydney.
    9. Marc Henrard, 2004. "Overnight Indexed Swaps and Floored Compounded Instrument in HJM One-Factor Model," Finance 0402008, University Library of Munich, Germany.
    10. Henrard, Marc, 2006. "Bonds futures: Delta? No gamma!," MPRA Paper 2249, University Library of Munich, Germany, revised 01 May 2006.
    11. 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.
    12. Marc Henrard, 2005. "Inflation bond option pricing in Jarrow-Yildirim model," Finance 0510027, University Library of Munich, Germany.
    13. Henrard, Marc, 2006. "TIPS Options in the Jarrow-Yildirim model," MPRA Paper 1423, University Library of Munich, Germany.

Articles

1. Marc Pierre Henrard, 2019. "LIBOR Fallback and Quantitative Finance," Risks, MDPI, vol. 7(3), pages 1-15, August.

   Cited by:

   1. Andrea Macrina & David Skovmand, 2020. "Rational Savings Account Models for Backward-Looking Interest Rate Benchmarks," Risks, MDPI, vol. 8(1), pages 1-18, March.
   2. Michele Azzone & Roberto Baviera, 2020. "Synthetic forwards and cost of funding in the equity derivative market," Papers 2011.03795, arXiv.org, revised Jan 2022.
   3. Sander Willems, 2020. "SABR smiles for RFR caplets," Papers 2004.04501, arXiv.org, revised May 2020.
   4. Azzone, Michele & Baviera, Roberto, 2021. "Synthetic forwards and cost of funding in the equity derivative market," Finance Research Letters, Elsevier, vol. 41(C).
   5. Alessandro Gnoatto & Silvia Lavagnini, 2023. "Cross-Currency Heath-Jarrow-Morton Framework in the Multiple-Curve Setting," Papers 2312.13057, arXiv.org.
   6. Claudio Fontana & Zorana Grbac & Thorsten Schmidt, 2022. "Term structure modelling with overnight rates beyond stochastic continuity," Papers 2202.00929, arXiv.org, revised Aug 2023.
   7. Jacob Bjerre Skov & David Skovmand, 2021. "Dynamic term structure models for SOFR futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(10), pages 1520-1544, October.

2. 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 1-18.

   Cited by:

   1. Parviz Rakhmonov & Firuz Rakhmonov, 2022. "CMS spread options in quadratic Gaussian model," Review of Derivatives Research, Springer, vol. 25(3), pages 283-291, October.

3. 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.

   Cited by:

   1. Henrard, Marc, 2007. "CMS swaps in separable one-factor Gaussian LLM and HJM model," MPRA Paper 3228, University Library of Munich, Germany.
   2. 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.
   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, 2006. "Bonds futures: Delta? No gamma!," MPRA Paper 2249, University Library of Munich, Germany, revised 01 May 2006.
   5. Henrard, Marc, 2006. "TIPS Options in the Jarrow-Yildirim model," MPRA Paper 1423, University Library of Munich, Germany.

4. Marc Henrard, 2003. "Explicit Bond Option Formula In Heath–Jarrow–Morton One Factor Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 6(01), pages 57-72.

   Cited by:

   1. Marc Henrard, 2005. "Bermudan swaptions in Hull-White one-factor model: analytical and numerical approaches," Finance 0505023, University Library of Munich, Germany.
   2. Bünyamin Erkan & Jean-Luc Prigent, 2020. "About Long-Term Cross-Currency Bermuda Swaption Pricing," Post-Print hal-03679412, HAL.
      • Bünyamin Erkan & Jean-Luc Prigent, 2020. "About Long-Term Cross-Currency Bermuda Swaption Pricing," Computational Economics, Springer;Society for Computational Economics, vol. 56(1), pages 239-262, June.
   3. Henrard, Marc, 2007. "CMS swaps in separable one-factor Gaussian LLM and HJM model," MPRA Paper 3228, University Library of Munich, Germany.
   4. Ingo Beyna, 2013. "Interest Rate Derivatives," Lecture Notes in Economics and Mathematical Systems, Springer, edition 127, number 978-3-642-34925-6, July.
   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. Marcin Dec, 2018. "Markovian and multi-curve friendly parametrisation of HJM model used in valuation adjustment of interest rate derivatives," KAE Working Papers 2018-038, Warsaw School of Economics, Collegium of Economic Analysis.
      • Marcin Dec, 2019. "Markovian and multi-curve friendly parametrisation of a HJM model used in valuation adjustment of interest rate derivatives," Bank i Kredyt, Narodowy Bank Polski, vol. 50(2), pages 107-148.
   7. Ingo Beyna & Carl Chiarella & Boda Kang, 2012. "Pricing Interest Rate Derivatives in a Multifactor HJM Model with Time," Research Paper Series 317, Quantitative Finance Research Centre, University of Technology, Sydney.
   8. Marc Henrard, 2004. "Overnight Indexed Swaps and Floored Compounded Instrument in HJM One-Factor Model," Finance 0402008, University Library of Munich, Germany.
   9. Henrard, Marc, 2006. "Bonds futures: Delta? No gamma!," MPRA Paper 2249, University Library of Munich, Germany, revised 01 May 2006.
   10. 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.
   11. Marc Henrard, 2005. "Inflation bond option pricing in Jarrow-Yildirim model," Finance 0510027, University Library of Munich, Germany.
   12. Henrard, Marc, 2006. "TIPS Options in the Jarrow-Yildirim model," MPRA Paper 1423, University Library of Munich, Germany.

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NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 19 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.

1. 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
2. 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
3. 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
4. NEP-CFN: Corporate Finance (4) 2003-10-12 2003-10-20 2004-02-15 2004-07-26
5. NEP-CMP: Computational Economics (3) 2003-10-12 2004-07-26 2005-06-05
6. NEP-FMK: Financial Markets (2) 2005-10-04 2007-03-10
7. NEP-IFN: International Finance (1) 2003-10-20

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