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~isPartOf:"International journal of theoretical and applied finance"
~language:"eng"
~person:"Rebonato, Riccardo"
~subject:"Volatility"
~type_genre:"Article in journal"
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Rebonato, Riccardo
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International journal of theoretical and applied finance
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Forward-rate volatilities and the swaption matrix : why neither time-homogeneity nor time-dependence are enough
Rebonato, Riccardo
- In:
International journal of theoretical and applied finance
9
(
2006
)
5
,
pp. 705-746
Persistent link: https://www.econbiz.de/10003378994
Saved in:
2
A two-regime, stochastic-volatility extension of the libor market model
Rebonato, Riccardo
;
Kainth, Dherminder
- In:
International journal of theoretical and applied finance
7
(
2004
)
5
,
pp. 555-575
Persistent link: https://www.econbiz.de/10002171465
Saved in:
3
Which process gives rise to the observed dependence of swaption implied volatility on the underlying?
Rebonato, Riccardo
- In:
International journal of theoretical and applied finance
6
(
2003
)
4
,
pp. 419-442
Persistent link: https://www.econbiz.de/10001779831
Saved in:
4
A joint empirical and theoretical investigation of the modes of deformation of swaption matrices : implications for model choice
Rebonato, Riccardo
;
Joshi, Mark
- In:
International journal of theoretical and applied finance
5
(
2002
)
7
,
pp. 667-694
Persistent link: https://www.econbiz.de/10001743233
Saved in:
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