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On the simultaneous calibration of multifactor lognormal interest rate models to Black volatilities and to the correlation matrix
Rebonato, Riccardo - In: The journal of computational finance 2 (1999) 4, pp. 5-27
Persistent link: https://www.econbiz.de/10001517294
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On the pricing implications of the joint lognormal assumption for the swaption and cap markets
Rebonato, Riccardo - In: The journal of computational finance 2 (1999) 3, pp. 57-76
Persistent link: https://www.econbiz.de/10001638598
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A simple approximation for the no-arbitrage drifts in Libor market model–SABR-family interest-rate models
Rebonato, Riccardo - In: The journal of computational finance 19 (2015) 1, pp. 1-10
Persistent link: https://www.econbiz.de/10011480695
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The link between caplet and swaption volatilities in a Brace-Gatarek-Musiela/Jamshidian framework : approximate solutions and empirical evidence
Jaeckel, Peter; Rebonato, Riccardo - In: The journal of computational finance 6 (2003) 4, pp. 41-59
Persistent link: https://www.econbiz.de/10001782185
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Linking caplets and swaptions prices in the LMM-SABR model
Rebonato, Riccardo; White, Richard - In: The journal of computational finance 13 (2009/10) 2, pp. 19-45
Persistent link: https://www.econbiz.de/10003949865
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A swaption volatility model using Markov regime switching
White, Richard; Rebonato, Riccardo - In: The journal of computational finance 12 (2008) 1, pp. 79-114
Persistent link: https://www.econbiz.de/10009534634