Marc Henrard : Citation Profile


Are you Marc Henrard?

4

H index

1

i10 index

74

Citations

RESEARCH PRODUCTION:

4

Articles

21

Papers

RESEARCH ACTIVITY:

   16 years (2003 - 2019). See details.
   Cites by year: 4
   Journals where Marc Henrard has often published
   Relations with other researchers
   Recent citing documents: 2.    Total self citations: 15 (16.85 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/phe51
   Updated: 2024-01-16    RAS profile: 2022-05-09    
   Missing citations? Add them    Incorrect content? Let us know

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:

Gnoatto, Alessandro (7)

Pallavicini, Andrea (6)

Brigo, Damiano (5)

Schlogl, Erik (4)

Prigent, Jean-Luc (3)

Urga, Giovanni (2)

Witzany, Jiří (2)

Dec, Marcin (2)

Kang, Boda (2)

Jondeau, Eric (1)

Oosterlee, Cornelis (1)

Cites to:

Jarrow, Robert (11)

White, Alan (3)

White, Alan (3)

Yildirim, Yildiray (2)

Joshi, Mark (1)

Sandmann, Klaus (1)

Scholes, Myron (1)

Jamshidian, Farshid (1)

Benhamou, Eric (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 (2024 and 2023)


YearTitle of citing document
2023Term structure modelling with overnight rates beyond stochastic continuity. (2022). Schmidt, Thorsten ; Grbac, Zorana ; Fontana, Claudio. In: Papers. RePEc:arx:papers:2202.00929.

Full description at Econpapers || Download paper

2023Caplet pricing in affine models for risk-free rates. (2022). Fontana, Claudio. In: Papers. RePEc:arx:papers:2202.09116.

Full description at Econpapers || Download paper

Works by Marc Henrard:


YearTitleTypeCited
2009Efficient swaptions price in Hull-White one factor model In: Papers.
[Full Text][Citation analysis]
paper0
2019LIBOR Fallback and Quantitative Finance In: Risks.
[Full Text][Citation analysis]
article6
2006TIPS Options in the Jarrow-Yildirim model In: MPRA Paper.
[Full Text][Citation analysis]
paper0
2007Skewed Libor Market Model and Gaussian HJM explicit approaches to rolled deposit options In: MPRA Paper.
[Full Text][Citation analysis]
paper1
2006Bonds futures and their options: more than the cheapest-to-deliver; quality option and marginning In: MPRA Paper.
[Full Text][Citation analysis]
paper0
2006Bonds futures: Delta? No gamma! In: MPRA Paper.
[Full Text][Citation analysis]
paper0
2007The irony in the derivatives discounting In: MPRA Paper.
[Full Text][Citation analysis]
paper44
2007CMS swaps in separable one-factor Gaussian LLM and HJM model In: MPRA Paper.
[Full Text][Citation analysis]
paper3
2006A Semi-Explicit Approach to Canary Swaptions in HJM One-Factor Model In: Applied Mathematical Finance.
[Full Text][Citation analysis]
article0
2004A semi-analytical approach to Canary swaptions in HJM one-factor model In: Finance.
[Full Text][Citation analysis]
paper0
2003Explicit bond option and swaption formula in Heath-Jarrow-Morton one factor model In: Finance.
[Full Text][Citation analysis]
paper4
2004Overnight Indexed Swaps and Floored Compounded Instrument in HJM One-Factor Model In: Finance.
[Full Text][Citation analysis]
paper2
2004Swaptions: 1 price, 10 deltas, and ... 6 1/2 gammas. In: Finance.
[Full Text][Citation analysis]
paper3
2005Semi-explicit Delta and Gamma for European swaptions in Hull- White one factor model In: Finance.
[Full Text][Citation analysis]
paper0
2005Eurodollar futures and options: convexity adjustment in HJM one- factor model In: Finance.
[Full Text][Citation analysis]
paper3
2005Bermudan swaptions in Hull-White one-factor model: analytical and numerical approaches In: Finance.
[Full Text][Citation analysis]
paper1
2005Convexity adjustment and delivery option in Australian dollar 90 Day Bills Futures In: Finance.
[Full Text][Citation analysis]
paper1
2005Inflation bond option pricing in Jarrow-Yildirim model In: Finance.
[Full Text][Citation analysis]
paper0
2005Libor Market Model and Gaussian HJM explicit approaches to option on composition In: Finance.
[Full Text][Citation analysis]
paper0
2003Comparisons of cashflow maps for value-at-risk In: Risk and Insurance.
[Full Text][Citation analysis]
paper0
2003Parameter risk in the Black and Scholes model In: Risk and Insurance.
[Full Text][Citation analysis]
paper1
2003Currency basket as asset or base currency in value-at-risk computation In: Risk and Insurance.
[Full Text][Citation analysis]
paper0
2005Value-at-Risk: The Delta-normal Approach In: Risk and Insurance.
[Full Text][Citation analysis]
paper0
2003EXPLICIT BOND OPTION FORMULA IN HEATH–JARROW–MORTON ONE FACTOR MODEL In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]
article4
2012CMS, CMS SPREADS AND SIMILAR OPTIONS IN THE MULTI-FACTOR HJM FRAMEWORK In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]
article1

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated December, 10 2023. Contact: CitEc Team