Marc Henrard - Multi-curve framework

L'inflation belge accélère à 2,4% en novembre. Titre d'un article de l'Echo aujourd'hui . Dérivée troisième, Ah ! Que J’aime entendre ta voix ! L’inflation est le changement de prix, une accélération est la dérivée seconde de la position d’inflation. Nous sommes donc en présence d’un article sur la dérivée troisième des prix comme fonction du temps. Malheureusement la première ligne de l’article déçoit immédiatement les fans de la dérivée troisième, car elle indique: L'inflation [...] est repartie à la hausse. Seulement une dérivée seconde! Ce que l’article n’indique pas est que l’inflation généralement commentée est l’inflation annuelle. Quand on compare l'inflation d'"octobre 2025" à l'inflation de "novembre 2025", il y a 11 mois en commun. Par conséquent, on compare novembre 2025 — qui entre dans la période annuelle — à novembre 2024 — qui en sort. Pour comprendre ce qui ce passe, il faut aller à la source (Stabel) mais mal...

The Bachelier Finance Society has published today its BFS-Newsletter Vol. 13 No. 1 I had the honor to be invited to write the Leading Article for the newsletter: Failures in Benchmark Transitions

On 6 March 2020, the ARRC published a document on a proposed legislative solution for the USD LIBOR contracts . I read in the ARRC document the confirmation of the cautionary tale published published in Risk.Net a little bit that a month ago. The markets movements over the last days had already confirmed the legitimacy of such a caution. An updated version of the graph published in the tale is proposed below I'm using two extracts of the document to justify the claim of the ARRC's confimation: Alternatively, many parties would likely choose to litigate the outcome or otherwise ask the courts for direction. This is the starting point of my tale, the start of the " fiction " part of it. A fiction now corroborated by the ARRC. For ARRC also it is natural that the affected parties will ask an external arbitrator (the courts) for direction and naturally the arbitrator will base its decision on information available at the time of the decision (not only based on...

One of my recent papers related to the LIBOR fallback has been accepted for publication in Wilmott Magazine LIBOR: Don't fallback, step forward The paper will be published in the November 2019 issue. I will present the main results at a CQF Institute seminar on 18 September 2019 . Abstract There is a general consensus that LIBOR's publication will be discontinued in the coming years. The best preparation for the discontinuation is to transition all trades, new and legacy, to different benchmarks. The option of last resort is to rely on the fallback language of existing contracts. The language for derivatives is currently not fit for purpose and is in the process to be reworded. In recent months several fallback-related consultations have taken place. The theme of this article is the fallback proposals. To the author point of view, the proposals are not satisfactory; the main proposal is not achievable in practice and a fundamental revision of the fallback's foundati...

The Wall Street Journal (WSJ) ran a piece this week-end titled " The Quants Run Wall Street Now ". Some pictures of me are in the WSJ library; they took them at a presentation I gave at The Thalesians last month. They used one of those pictures to illustrate "the quants". The picture illustrating the article is Figure 1: Me with the first step of AAD printed on my face and the recursive formula on my shirt. Following the article, I feel the need to clarify a couple of "details". First of all, I'm not running anything or anybody at Wall Street. You may thing that this is a pity for human society, but personally, I feel very good about it and I don't want to run anything or anybody; nevertheless I don't mind speaking to people who want to listen to me willingly. This is the case for practitioners, regulators, academics, and journalists. Now about the content of the article. It discusses the increasing importance of "quants"...