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Affine models with stochastic market price of risk

Rebonato, Riccardo - In: International journal of theoretical and applied finance 20 (2017) 4, pp. 1-38

Persistent link: https://www.econbiz.de/10011687047

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

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

A two-regime, stochastic-volatility extension of the libor market model

Rebonato, Riccardo; Kainth, Dherminder - In: International journal of theoretical and applied finance 7 (2004) 5, pp. 555-575

Persistent link: https://www.econbiz.de/10002171465

A financially motivated extension of the Heston model for a joint P- and Q-dynamics analysis of variance

Rebonato, Riccardo; Ng, Chu Ming - In: The journal of derivatives : the official publication … 25 (2018) 3, pp. 55-80

Persistent link: https://www.econbiz.de/10011941367

An Extension of the Double Vasicek Model to Account for Stochastic Risk Premia

Rebonato, Riccardo - 2014

We present a stochastic-market-risk extension of a popular doubly-mean-reverting Vasicek model. The model straddles the P and Q measures. By allowing for a stochastic market price of risk, we break the determninisitc link between the return-predicting factor and the market-price of risk, but we...

Persistent link: https://www.econbiz.de/10013044807