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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/10003320021

Skewed Libor market model and Gaussian HJM explicit approaches to rolled deposit options

Henrard, Marc - In: Journal of risk 9 (2006/07) 4, pp. 95-116

Persistent link: https://www.econbiz.de/10003502689

Adjoint algortihmic differentiation : calibration and implicit function theorem

Henrard, Marc - In: The journal of computational finance 17 (2014) 4, pp. 37-47

Persistent link: https://www.econbiz.de/10010387861

Bond futures and their options : more than the cheapest-to-deliver, quality options and margining

Henrard, Marc - In: The journal of fixed income 16 (2006) 2, pp. 62-75

Persistent link: https://www.econbiz.de/10003400089

Explicit bond option formula in Heath-Jarrow-Morton one factor model

Henrard, Marc - In: International journal of theoretical and applied finance 6 (2003) 1, pp. 57-72

Persistent link: https://www.econbiz.de/10001769116

Algorithmic differentiation in finance explained

Henrard, Marc - 2017

Persistent link: https://www.econbiz.de/10011663783

LIBOR : Don't Fallback, Step Forward

Henrard, Marc - In: Wilmott 2019 (2019) 104, pp. 24-35

Persistent link: https://www.econbiz.de/10012274298

Irony in derivative discounting : after the crisis

Henrard, Marc - In: Interest rate modelling after the financial crisis, (pp. 217-239). 2013

Persistent link: https://www.econbiz.de/10011456981

CMS, CMS spreads and similar options in the multi-factor HJM framework

Hanton, Pierre; Henrard, Marc - In: International journal of theoretical and applied finance 15 (2012) 7, pp. 1-18

Persistent link: https://www.econbiz.de/10009685893

Algorithmic Differentiation in Finance Explained

Henrard, Marc - 2017

This book provides the first practical guide to the function and implementation of algorithmic differentiation in finance. Written in a highly accessible way, Algorithmic Differentiation Explained will take readers through all the major applications of AD in the derivatives setting with a focus...

Persistent link: https://www.econbiz.de/10012397445