Similar Search Results

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

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

Volatility and correlation in the pricing of equity, FX, and interest-rate options

Rebonato, Riccardo - 1999

Persistent link: https://www.econbiz.de/10001376705

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

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

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

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

[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 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