… The foundations of the multi-curve framework presented in this book are mainly based on
the approach described in Henrard (2010) and Henrard (2013a), the first version of which …

… A general pricing formula for eurodollar futures in the Gaussian HJM model was proposed
in Henrard (2005a). The formula extended a previous result proposed in Kirikos and Novak (…

… HENRARD … [2] M. Henrard. Overnight indexed swaps and floored compounded instrument
in HJM one-factor model. Ewp-fin 0402008, Economics Working Paper Archive, 2004. …

… If : and ; are strict lower and upper solutions, M has no fixed point on S. We know also that
all fixed points u of M and M in S are such that &u&1<R. So S is admissible for the degree. …

We hereby present an explicit formula for European options on coupon bearing bonds in the
Heath–Jarrow–Morton one factor model with non-stochastic volatility. The formula extends …

… The terminology and notations of this note are the one used in Henrard (2014) where the …
Those issues have been publicly (eg, Henrard 2019a) and privately mentioned and have …

… The conditions on r(a) and r(a) imply that the solution makes at least m. – 1 half turns
after its first contact with A and at most m. If m is even, then …

… The pricing method for the vanilla and the amortised swaption is the efficient approximation
described in Henrard (2010b). The calibration is performed as follows: for each yearly period …

… But I’m very biased in this. I’m like a newly converted faithful to a religion, I don’t understand
… at https://github.com/marc-henrard/analysis That repository contains examples related to this …

… Henrard, Topological degree methods in boundary value problems: existence and multiplicity
… [26] M. Henrard, Homoclinic and multibump solutions for perturbed second order systems …