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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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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
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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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Why does the Cieslak-Povala model predict treasury returns? : a reinterpretation
Rebonato, Riccardo; Hatano, Taku - In: The journal of fixed income : JFI 31 (2022) 4, pp. 20-32
Persistent link: https://www.econbiz.de/10014231337
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Can representativeness explain the predictability of treasury bonds returns?
Rebonato, Riccardo; Ronzani, Riccarco; Tronson, Dimitri - In: The journal of fixed income : JFI 33 (2023) 2, pp. 17-49
Persistent link: https://www.econbiz.de/10014533739