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A class of arbitrage-free log-normal-short-rate two-factor models
Rebonato, Riccardo - In: Applied mathematical finance 4 (1997) 4, pp. 223-236
Persistent link: https://www.econbiz.de/10001238758
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Coupling backward induction with Monte Carlo simulations : a fast Fourier transform (FFT) approach
Rebonato, Riccardo - In: Applied mathematical finance 5 (1998) 2, pp. 131-141
Persistent link: https://www.econbiz.de/10001245473
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Coupling backward induction with Monte Carlo simulations: A fast Fourier transform (FFT) approach
Rebonato, Riccardo; Cooper, Ian - In: Applied mathematical finance 5 (1998) 2, pp. 131
Persistent link: https://www.econbiz.de/10008218760
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A class of arbitrage-free log-normal-short-rate two-factor models
Rebonato, Riccardo - In: Applied mathematical finance 4 (1997) 4, pp. 223-236
Persistent link: https://www.econbiz.de/10008219543
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A Coherent Aggregation Framework for Stress Testing and Scenario Analysis
Kwiatkowski, Jan; Rebonato, Riccardo - In: Applied mathematical finance 18 (2011) 2, pp. 139-155
Persistent link: https://www.econbiz.de/10008878460
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A coherent aggregation framework for stress testing and scenario analysis
Kwiatkowski, Jan; Rebonato, Riccardo - In: Applied mathematical finance 18 (2011) 1/2, pp. 139-154
Persistent link: https://www.econbiz.de/10009155487