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Forward-rate volatilities and the swaption matrix : why neither time-homogeneity nor time-dependence are enough
Rebonato, Riccardo - In: International journal of theoretical and applied finance 9 (2006) 5, pp. 705-746
Persistent link: https://www.econbiz.de/10003378994
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Return-predicting factors for us treasuries : on the similarity of “tents” and “bats”
Rebonato, Riccardo - In: International journal of theoretical and applied finance 18 (2015) 4, pp. 1-14
Persistent link: https://www.econbiz.de/10011403787
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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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Affine models with stochastic market price of risk
Rebonato, Riccardo - In: International journal of theoretical and applied finance 20 (2017) 4, pp. 1-38
Persistent link: https://www.econbiz.de/10011687047
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A two-regime, stochastic-volatility extension of the libor market model
Rebonato, Riccardo; Kainth, Dherminder - In: International journal of theoretical and applied finance 7 (2004) 5, pp. 555-575
Persistent link: https://www.econbiz.de/10002171465
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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
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Principal-component-based Gaussian affine term structure models : constraints and their financial implications
Rebonato, Riccardo; Saroka, Ivan; Putiatyn, Vlad - In: International journal of theoretical and applied finance 23 (2020) 2, pp. 1-25
Persistent link: https://www.econbiz.de/10012270944
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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