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Predicting returns in US treasuries : do tents matter?
Rebonato, Riccardo - In: International journal of theoretical and applied finance 21 (2018) 7, pp. 1-13
Persistent link: https://www.econbiz.de/10011957124
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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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Combining non-constant weights with historical simulation VaR
Rebonato, Riccardo; Shanbhogue, Vasant - In: Journal of risk management in financial institutions 3 (2009/10) 4, pp. 392-404
Persistent link: https://www.econbiz.de/10008736815
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Cross-sectional and time-series momentum in the US sovereign bond market
Martellini, Lionel; Rebonato, Riccardo; Maeso, Jean-Michel - 2022
Persistent link: https://www.econbiz.de/10012802444
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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