4
H index
1
i10 index
80
Citations
Marc Henrard : Citation Profile
| RESEARCH PRODUCTION: 7 Articles 21 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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16 years (2003 - 2019). 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:
| Cites to:
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Main data
Where Marc Henrard has published?
| Journals with more than one article published | # docs |
|---|---|
| Journal of Risk | 2 |
| 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 (2025 and 2024)
| Year | Title of citing document |
|---|---|
| 2025 | Everything You Always Wanted to Know About XVA Model Risk but Were Afraid to Ask. (2025). Bianchetti, Marco ; Scaringi, Marco ; Silotto, Lorenzo. In: Papers. RePEc:arx:papers:2107.10377. Full description at Econpapers || Download paper |
| 2024 | Cross-Currency Heath-Jarrow-Morton Framework in the Multiple-Curve Setting. (2024). Lavagnini, Silvia ; Gnoatto, Alessandro. In: Papers. RePEc:arx:papers:2312.13057. Full description at Econpapers || Download paper |
| 2025 | Multi-Layer Deep xVA: Structural Credit Models, Measure Changes and Convergence Analysis. (2025). Andersson, Kristoffer ; Gnoatto, Alessandro. In: Papers. RePEc:arx:papers:2502.14766. Full description at Econpapers || Download paper |
| 2025 | Berms without Calibration. (2025). Feldman, K E. In: Papers. RePEc:arx:papers:2510.15984. 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 |
| Skewed Libor market model and Gaussian HJM explicit approaches to rolled deposit options.() In: Journal of Risk. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | ||
| 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 | 46 |
| 2007 | CMS swaps in separable one-factor Gaussian LLM and HJM model In: MPRA Paper. [Full Text][Citation analysis] | paper | 3 |
| Adjoint algorithmic differentiation: calibration and implicit function theorem In: Journal of Computational Finance. [Full Text][Citation analysis] | article | 0 | |
| Comparison of cashflow maps for value-at-risk In: Journal of Risk. [Full Text][Citation analysis] | article | 0 | |
| 2003 | Comparisons of cashflow maps for value-at-risk.(2003) In: Risk and Insurance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2006 | A Semi-Explicit Approach to Canary Swaptions in HJM One-Factor Model In: Applied Mathematical Finance. [Full Text][Citation analysis] | article | 1 |
| 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 | 5 |
| 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 | 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 HEATH–JARROW–MORTON ONE FACTOR MODEL In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 5 |
| 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 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated December, 22 2025. Contact: CitEc Team