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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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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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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
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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