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Bonds Futures and their Options: More than the Cheapest-to-Deliver; Quality Option and Margining
Henrard, Marc - In: The journal of fixed income 16 (2006) 2, pp. 62-75
Persistent link: https://www.econbiz.de/10007305997
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A Semi‐Explicit Approach to Canary Swaptions in HJM One‐Factor Model
Henrard, Marc - In: Applied mathematical finance 13 (2006) 1, pp. 1-18
Persistent link: https://www.econbiz.de/10008222709
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CUTTING EDGE: BRIEF COMMUNICATION Tips options in the Jarrow-Yildirim model The author proposes an explicit pricing formula for inflation bond options using the Jarrow-Yildirim mod...
Henrard, Marc - In: Risk : managing risk in the world's financial markets 19 (2006) 3, pp. 82-83
Persistent link: https://www.econbiz.de/10007221917