Marc Henrard : Citation Profile


Are you Marc Henrard?

3

H index

1

i10 index

54

Citations

RESEARCH PRODUCTION:

3

Articles

21

Papers

RESEARCH ACTIVITY:

   9 years (2003 - 2012). See details.
   Cites by year: 6
   Journals where Marc Henrard has often published
   Relations with other researchers
   Recent citing documents: 17.    Total self citations: 14 (20.59 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/phe51
   Updated: 2019-11-10    RAS profile: 2018-11-08    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Marc Henrard.

Is cited by:

Pallavicini, Andrea (6)

Brigo, Damiano (5)

Gnoatto, Alessandro (4)

Witzany, Jiří (2)

Dec, Marcin (2)

Urga, Giovanni (2)

Schlogl, Erik (2)

Lafuente, Juan Angel (1)

Kang, Boda (1)

Chiarella, Carl (1)

Cites to:

Jarrow, Robert (11)

White, Alan (3)

White, Alan (3)

Benhamou, Eric (1)

Jamshidian, Farshid (1)

Scholes, Myron (1)

Sandmann, Klaus (1)

Joshi, Mark (1)

Main data


Where Marc Henrard has published?


Journals with more than one article published# docs
International Journal of Theoretical and Applied Finance (IJTAF)2

Working Papers Series with more than one paper published# docs
Finance / University Library of Munich, Germany10
MPRA Paper / University Library of Munich, Germany6
Risk and Insurance / University Library of Munich, Germany4

Recent works citing Marc Henrard (2018 and 2017)


YearTitle of citing document
2017A heuristic pricing and hedging framework for multi-currency fixed income desks. (2017). Elices, Alberto ; Villani, Giovanna ; Eduard Gim'enez, . In: Papers. RePEc:arx:papers:1406.1811.

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2017Affine multiple yield curve models. (2017). Gnoatto, Alessandro ; Cuchiero, Christa ; Fontana, Claudio. In: Papers. RePEc:arx:papers:1603.00527.

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2017Back-of-the-envelope swaptions in a very parsimonious multicurve interest rate model. (2017). Baviera, Roberto. In: Papers. RePEc:arx:papers:1712.06466.

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2018Multiple curve L\evy forward price model allowing for negative interest rates. (2018). Grbac, Zorana ; Gerhart, Christoph ; Eberlein, Ernst. In: Papers. RePEc:arx:papers:1805.02605.

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2018A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors. (2018). Schlogl, Erik ; Grasselli, Martino ; Alfeus, Mesias. In: Papers. RePEc:arx:papers:1809.06643.

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2019Affine multiple yield curve models. (2019). Gnoatto, Alessandro ; Fontana, Claudio ; Cuchiero, Christa. In: Mathematical Finance. RePEc:bla:mathfi:v:29:y:2019:i:2:p:568-611.

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2017Implications of implicit credit spread volatilities on interest rate modelling. (2017). Fanelli, Viviana . In: European Journal of Operational Research. RePEc:eee:ejores:v:263:y:2017:i:2:p:707-718.

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2018Quantitative assessment of common practice procedures in the fair evaluation of embedded options in insurance contracts. (2018). Gambaro, Anna Maria ; Ghilarducci, Alessandro ; Fusai, Gianluca ; Casalini, Riccardo. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:81:y:2018:i:c:p:117-129.

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2019Pricing factors in multiple-term structures from interbank rates. (2019). Lafuente, Juan Angel ; Serrano, Pedro ; Petit, Nuria. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:91:y:2019:i:c:p:138-159.

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2019LIBOR Fallback and Quantitative Finance. (2019). Henrard, Marc Pierre. In: Risks. RePEc:gam:jrisks:v:7:y:2019:i:3:p:88-:d:257801.

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2018Markovian and multi-curve friendly parametrisation of HJM model used in valuation adjustment of interest rate derivatives. (2018). Dec, Marcin. In: Working Papers. RePEc:sgh:kaewps:2018038.

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2018Convexity adjustment for constant maturity swaps in a multi-curve framework. (2018). Karouzakis, Nikolaos ; Andriosopoulos, Kostas ; Hatgioannides, John. In: Annals of Operations Research. RePEc:spr:annopr:v:266:y:2018:i:1:d:10.1007_s10479-017-2430-6.

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2017The Fundamental Theorem of Derivative Trading - exposition, extensions and experiments. (2017). Ellersgaard, Simon ; Poulsen, Rolf ; Jonsson, Martin. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:4:p:515-529.

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2019Stochastic Modelling of New Phenomena in Financial Markets. (2019). Alfeus, Mesias. In: PhD Thesis. RePEc:uts:finphd:1-2019.

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2019Stochastic Modelling of New Phenomena in Financial Markets. (2019). Alfeus, Mesias. In: PhD Thesis. RePEc:uts:finphd:41.

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2017A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors. (2017). Schlogl, Erik ; Grasselli, Martino ; Alfeus, Mesias. In: Research Paper Series. RePEc:uts:rpaper:384.

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2018LIBOR market model with multiplicative basis. (2018). Zhong, Yangfan. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:05:y:2018:i:02:n:s2424786318500147.

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Works by Marc Henrard:


YearTitleTypeCited
2009Efficient swaptions price in Hull-White one factor model In: Papers.
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paper0
2006TIPS Options in the Jarrow-Yildirim model In: MPRA Paper.
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paper0
2007Skewed Libor Market Model and Gaussian HJM explicit approaches to rolled deposit options In: MPRA Paper.
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paper0
2006Bonds futures and their options: more than the cheapest-to-deliver; quality option and marginning In: MPRA Paper.
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paper1
2006Bonds futures: Delta? No gamma! In: MPRA Paper.
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paper0
2007The irony in the derivatives discounting In: MPRA Paper.
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paper38
2007CMS swaps in separable one-factor Gaussian LLM and HJM model In: MPRA Paper.
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paper3
2006A Semi-Explicit Approach to Canary Swaptions in HJM One-Factor Model In: Applied Mathematical Finance.
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article0
2004A semi-analytical approach to Canary swaptions in HJM one-factor model In: Finance.
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paper0
2003Explicit bond option and swaption formula in Heath-Jarrow-Morton one factor model In: Finance.
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paper3
2004Overnight Indexed Swaps and Floored Compounded Instrument in HJM One-Factor Model In: Finance.
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paper1
2004Swaptions: 1 price, 10 deltas, and ... 6 1/2 gammas. In: Finance.
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paper3
2005Semi-explicit Delta and Gamma for European swaptions in Hull- White one factor model In: Finance.
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paper0
2005Eurodollar futures and options: convexity adjustment in HJM one- factor model In: Finance.
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paper2
2005Bermudan swaptions in Hull-White one-factor model: analytical and numerical approaches In: Finance.
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paper0
2005Convexity adjustment and delivery option in Australian dollar 90 Day Bills Futures In: Finance.
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paper1
2005Inflation bond option pricing in Jarrow-Yildirim model In: Finance.
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paper0
2005Libor Market Model and Gaussian HJM explicit approaches to option on composition In: Finance.
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paper0
2003Comparisons of cashflow maps for value-at-risk In: Risk and Insurance.
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paper0
2003Parameter risk in the Black and Scholes model In: Risk and Insurance.
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paper1
2003Currency basket as asset or base currency in value-at-risk computation In: Risk and Insurance.
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paper0
2005Value-at-Risk: The Delta-normal Approach In: Risk and Insurance.
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paper0
2003EXPLICIT BOND OPTION FORMULA IN HEATH–JARROW–MORTON ONE FACTOR MODEL In: International Journal of Theoretical and Applied Finance (IJTAF).
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article1
2012CMS, CMS SPREADS AND SIMILAR OPTIONS IN THE MULTI-FACTOR HJM FRAMEWORK In: International Journal of Theoretical and Applied Finance (IJTAF).
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article0

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated November, 11 2019. Contact: CitEc Team