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The SABR/LIBOR Market Model :...
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Rebonato, Riccardo
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International journal of theoretical and applied finance
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Risk : managing risk in the world's financial markets
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1
The SABR/LIBOR market model : pricing, calibrating and hedging for complex interst-rate derivatives
Rebonato, Riccardo
;
McKay, Kenneth
;
White, Richard
-
2009
Persistent link: https://www.econbiz.de/10003767860
Saved in:
2
Derivatives markets
Anderson, Ronald W.
;
McKay, Kenneth
- In:
Handbook of European financial markets and institutions
,
(pp. 568-596)
.
2008
Persistent link: https://www.econbiz.de/10003605627
Saved in:
3
The SABR/LIBOR market model : pricing, calibrating and hedging for complex interest-rate derivatives
Rebonato, Riccardo
;
McKay, Kenneth
;
White, Richard
-
2009
Persistent link: https://www.econbiz.de/10004931607
Saved in:
4
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
Saved in:
5
A swaption volatility model using Markov regime switching
White, Richard
;
Rebonato, Riccardo
- In:
The journal of computational finance
12
(
2008
)
1
,
pp. 79-114
Persistent link: https://www.econbiz.de/10009534634
Saved in:
6
Executing production schedules in the face of uncertainties: A review and some future directions
Aytug, Haldun
;
Lawley, Mark A.
;
Mckay, Kenneth
;
Mohan, …
- In:
European journal of operational research : EJOR
161
(
2005
)
1
,
pp. 86-110
Persistent link: https://www.econbiz.de/10006641830
Saved in:
7
Executing production schedules in the face of uncertainties: A review and some future directions
Aytug, Haldun
;
Lawley, Mark A.
;
McKay, Kenneth
;
Mohan, …
- In:
European Journal of Operational Research
161
(
2005
)
1
,
pp. 86-110
Persistent link: https://www.econbiz.de/10005287561
Saved in:
8
Practice-Focused Research Issues for Scheduling Systems
McKay, Kenneth
;
Pinedo, Michael
;
Webster, Scott
- In:
Production and operations management : an international …
11
(
2002
)
2
,
pp. 249-258
Persistent link: https://www.econbiz.de/10007165240
Saved in:
9
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
Saved in:
10
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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