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A Robust and Interpretable Liquidity Proxy

Rebonato, Riccardo - 2020

In this paper we provide an operational definition of market and funding liquidity, and we introduce a method to create two interpretable liquidity measures, which we associate to these two types of liquidity. The construction is based on creating two parsimonious linear combinations of the many...

Persistent link: https://www.econbiz.de/10012852457

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

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

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

Volatility and correlation : the perfect hedger and the fox

Rebonato, Riccardo - 2004 - 2. ed.

Persistent link: https://www.econbiz.de/10001932788

Which process gives rise to the observed dependence of swaption implied volatility on the underlying?

Rebonato, Riccardo - In: International journal of theoretical and applied finance 6 (2003) 4, pp. 419-442

Persistent link: https://www.econbiz.de/10001779831

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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