| 12
result(s) -
Result(s) 1 to
10 |
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| 1. | Numerical integration approach to Canary swaption in gaussian JHM model
Publishing author: HENRARD Marc
Co-author(s):
Presentation (2006 - Numerical methods in finance - INRIA Rocquencourt - 2 February 2006) - English
Online since 2006.01.31 at 14:18:25 -
61 download(s) - 0
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Abstract | Download (.pdf - 155 KB) - Zip version (121 KB) |
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| 2. | Swaption: 1 price, 10 risks / Model uncertainty in market risk measurement
Publishing author: HENRARD Marc
Co-author(s):
Presentation (2005 - Quant congress Europe 2005, London (UK)) - English
Online since 2005.11.04 at 11:58:02 -
122 download(s) - 1
rating(s)
- Average rating (/5): 5
Abstract | Download (.pps - 571 KB) - Zip version (339 KB) |
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| 3. | Value-at-Risk: The Delta-normal Approach
Publishing author: HENRARD Marc
Co-author(s):
Monograph (2005) - English
Online since 2005.11.04 at 11:50:12 -
204 download(s) - 1
rating(s)
- Average rating (/5): 4
Abstract | Download (.pdf - 973 KB) - Zip version (522 KB) |
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| 4. | Eurodollar futures and options: convexity adjustment in HJM one-factor model
Publishing author: HENRARD Marc
Co-author(s):
Working paper (2005) - English
Online since 2005.04.29 at 14:22:52 -
136 download(s) - 0
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Abstract | Download (.pdf - 176 KB) - Zip version (148 KB) |
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| 5. | Swaptions: 1 price, 10 deltas, and ... 6 1/2 gammas.
Publishing author: HENRARD Marc
Co-author(s):
Working paper (2005) - English
Online since 2005.04.29 at 14:30:28 -
124 download(s) - 0
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Abstract | Download (.pdf - 152 KB) - Zip version (129 KB) |
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| 6. | Libor Market Model and Gaussian HJM explicit approaches to option on composition
Publishing author: HENRARD Marc
Co-author(s):
Working paper (2005 - Bank for International Settlements) - English
Online since 2006.01.03 at 08:28:58 -
87 download(s) - 0
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Abstract | Download (.pdf - 233 KB) - Zip version (188 KB) |
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| 7. | Floored Instruments on Compounded Overnight
Publishing author: HENRARD Marc
Co-author(s):
Working paper (2005) - English
Online since 2005.04.29 at 14:25:46 -
35 download(s) - 0
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Abstract | Download (.pdf - 225 KB) - Zip version (190 KB) |
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| 8. | Semi-explicit Delta and Gamma for European swaptions in Hull-White one factor model
Publishing author: HENRARD Marc
Co-author(s):
Working paper (2004 - Bank for International Settlements (BIS)) - English
Online since 2004.12.31 at 09:41:16 -
59 download(s) - 0
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Abstract | Download (.pdf - 114 KB) - Zip version (99 KB) |
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| 9. | A semi-analytical approach to Canary swaptions in HJM one-factor model
Publishing author: HENRARD Marc
Co-author(s):
Working paper (2003) - English
Online since 2004.02.17 at 13:30:25 -
81 download(s) - 1
rating(s)
- Average rating (/5): 5
Abstract | Download (.pdf - 191 KB) - Zip version (162 KB) |
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| 10. | Currency basket as asset or base currency in value-at-risk computation
Publishing author: HENRARD Marc
Co-author(s):
Working paper (2002) - English
Online since 2003.01.23 at 12:19:24 -
94 download(s) - 1
rating(s)
- Average rating (/5): 4
Abstract | Download (.pdf - 167 KB) - Zip version (113 KB) |
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