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Modern pricing of interest-rate derivatives : the LIBOR market model and beyond

Rebonato, Riccardo - 2002

Persistent link: https://www.econbiz.de/10001693803

The Q-measure dynamics of forward rates

Rebonato, Riccardo - In: Annual review of financial economics 15 (2023), pp. 493-522

Persistent link: https://www.econbiz.de/10014426352

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

Investors at a crossroads : implications for risk management, trading and the real economy

Rebonato, Riccardo - In: Journal of risk management in financial institutions 2 (2008/09) 1, pp. 26-35

Persistent link: https://www.econbiz.de/10003790615

Modern Pricing of Interest-Rate Derivatives : The LIBOR Market Model and Beyond

Rebonato, Riccardo - 2003

Biographical note: RebonatoRiccardo: Riccardo Rebonato is Head of Group Market Risk and Head of the Quantitative Research Centre (QUARC) for the Royal Bank of Scotland Group. He is also a Visiting Lecturer at Oxford University's Mathematical Institute, where he teaches for the MSC/Diploma in...

Persistent link: https://www.econbiz.de/10014488388

[Rezension von: Rebonato, Riccardo, Modern pricing of interest-rate derivatives, the LIBOR market model and beyond]

Das, Sanjiv R. - In: Journal of economic literature 42 (2004) 2, pp. 528-529

Persistent link: https://www.econbiz.de/10002166536

The SABR/LIBOR market model : pricing, calibrating and hedging for complex interst-rate derivatives

Rebonato, Riccardo; McKay, Kenneth; White, Richard - 2009

Persistent link: https://www.econbiz.de/10003767860

The value of convexity : a theoretical and empirical investigation

Rebonato, Riccardo; Putyatin, Vladislav - In: Quantitative finance 18 (2018) 1, pp. 11-30

Persistent link: https://www.econbiz.de/10011905821

The SABR/LIBOR Market Model : Pricing, Calibration and Hedging for Complex Interest-Rate Derivatives

Rebonato, Riccardo - 2009 - 1st ed.

"This is the best of Rebonato's books. The conversational spirit of the previous manuscripts is here pleasantly retained. But, the value added is the mathematical rigor that permeates the description of the proposed model. Definitely a must." Fabio Mercurio, Senior Quantitative Analyst,...

Persistent link: https://www.econbiz.de/10012688953