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Robust and interpretable liquidity proxies for market and funding liquidity
Rebonato, Riccardo; Sherwin, Hong - In: The journal of fixed income : JFI 30 (2021) 3, pp. 67-82
Persistent link: https://www.econbiz.de/10012423028
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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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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
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Volatility and correlation in the pricing of equity, FX, and interest-rate options
Rebonato, Riccardo - 1999
Persistent link: https://www.econbiz.de/10001376705
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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
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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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Volatility and correlation : the perfect hedger and the fox
Rebonato, Riccardo - 2004 - 2. ed.
Persistent link: https://www.econbiz.de/10001932788
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Interest-rate option models : understanding, analysing and using models for exotic interest-rate options
Rebonato, Riccardo - 1998 - 2. ed.
Persistent link: https://www.econbiz.de/10013491195
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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
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Taking liberties : a critical examination of libertarian paternalism
Rebonato, Riccardo - 2012
"Libertarian Paternalists claim to have reconciled two radically different perspectives, offering a "Third Way" for contemporary democratic governments. In this book, Riccardo Rebonato offers a critical exploration of a philosophy which has taken the political landscape by storm, counting the US...
Persistent link: https://www.econbiz.de/10009666890