Citation profile for Marc Henrard

Marc Henrard : Citation Profile

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Citations

RESEARCH PRODUCTION:

Articles

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: 4.    Total self citations: 15 (16.48 %)

MORE DETAILS IN:

EconPapers Author's homepage

ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/phe51
   Updated: 2024-11-04    RAS profile: 2022-05-09
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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:

Gnoatto, Alessandro (7)

Pallavicini, Andrea (6)

Brigo, Damiano (5)

Schlogl, Erik (4)

Prigent, Jean-Luc (3)

Dec, Marcin (2)

Urga, Giovanni (2)

Witzany, Jiří (2)

Kang, Boda (2)

Jondeau, Eric (1)

Lütkebohmert, Eva (1)

Cites to:

Jarrow, Robert (11)

White, Alan (3)

Yildirim, Yildiray (2)

Scholes, Myron (1)

Joshi, Mark (1)

Jamshidian, Farshid (1)

Benhamou, Eric (1)

Sandmann, Klaus (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, Germany	10
MPRA Paper / University Library of Munich, Germany	6
Risk and Insurance / University Library of Munich, Germany	4

Recent works citing Marc Henrard (2024 and 2023)

Year	Title of citing document
2023	Term 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
2023	Caplet 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:

Year	Title	Type	Cited
2009	Efficient swaptions price in Hull-White one factor model In: Papers. [Full Text][Citation analysis]	paper	0
2019	LIBOR Fallback and Quantitative Finance In: Risks. [Full Text][Citation analysis]	article	7
2006	TIPS Options in the Jarrow-Yildirim model In: MPRA Paper. [Full Text][Citation analysis]	paper	0
2007	Skewed Libor Market Model and Gaussian HJM explicit approaches to rolled deposit options In: MPRA Paper. [Full Text][Citation analysis]	paper	1
2006	Bonds futures and their options: more than the cheapest-to-deliver; quality option and marginning In: MPRA Paper. [Full Text][Citation analysis]	paper	0
2006	Bonds futures: Delta? No gamma! In: MPRA Paper. [Full Text][Citation analysis]	paper	0
2007	The irony in the derivatives discounting In: MPRA Paper. [Full Text][Citation analysis]	paper	45
2007	CMS swaps in separable one-factor Gaussian LLM and HJM model In: MPRA Paper. [Full Text][Citation analysis]	paper	3
2006	A Semi-Explicit Approach to Canary Swaptions in HJM One-Factor Model In: Applied Mathematical Finance. [Full Text][Citation analysis]	article	0
2004	A semi-analytical approach to Canary swaptions in HJM one-factor model In: Finance. [Full Text][Citation analysis]	paper	0
2003	Explicit bond option and swaption formula in Heath-Jarrow-Morton one factor model In: Finance. [Full Text][Citation analysis]	paper	4
2004	Overnight Indexed Swaps and Floored Compounded Instrument in HJM One-Factor Model In: Finance. [Full Text][Citation analysis]	paper	2
2004	Swaptions: 1 price, 10 deltas, and ... 6 1/2 gammas. In: Finance. [Full Text][Citation analysis]	paper	3
2005	Semi-explicit Delta and Gamma for European swaptions in Hull- White one factor model In: Finance. [Full Text][Citation analysis]	paper	0
2005	Eurodollar futures and options: convexity adjustment in HJM one- factor model In: Finance. [Full Text][Citation analysis]	paper	3
2005	Bermudan swaptions in Hull-White one-factor model: analytical and numerical approaches In: Finance. [Full Text][Citation analysis]	paper	1
2005	Convexity adjustment and delivery option in Australian dollar 90 Day Bills Futures In: Finance. [Full Text][Citation analysis]	paper	1
2005	Inflation bond option pricing in Jarrow-Yildirim model In: Finance. [Full Text][Citation analysis]	paper	0
2005	Libor Market Model and Gaussian HJM explicit approaches to option on composition In: Finance. [Full Text][Citation analysis]	paper	0
2003	Comparisons of cashflow maps for value-at-risk In: Risk and Insurance. [Full Text][Citation analysis]	paper	0
2003	Parameter risk in the Black and Scholes model In: Risk and Insurance. [Full Text][Citation analysis]	paper	1
2003	Currency basket as asset or base currency in value-at-risk computation In: Risk and Insurance. [Full Text][Citation analysis]	paper	0
2005	Value-at-Risk: The Delta-normal Approach In: Risk and Insurance. [Full Text][Citation analysis]	paper	0
2003	EXPLICIT BOND OPTION FORMULA IN HEATHâ€“JARROWâ€“MORTON ONE FACTOR MODEL In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis]	article	4
2012	CMS, CMS SPREADS AND SIMILAR OPTIONS IN THE MULTI-FACTOR HJM FRAMEWORK In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis]	article	1