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The market price of volatility risk and the dynamics of market and actuarial implied volatilities
Rebonato, Riccardo - In: The journal of derivatives : the official publication … 24 (2017) 4, pp. 21-51
Persistent link: https://www.econbiz.de/10011687425
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Is it possible to reconcile the caplet and swaption markets? : evidence from the US-Dollar market
Rebonato, Riccardo; Pogudin, Andrey - In: The journal of derivatives : the official publication … 19 (2011) 2, pp. 8-31
Persistent link: https://www.econbiz.de/10009413615
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A financially motivated extension of the Heston model for a joint P- and Q-dynamics analysis of variance
Rebonato, Riccardo; Ng, Chu Ming - In: The journal of derivatives : the official publication … 25 (2018) 3, pp. 55-80
Persistent link: https://www.econbiz.de/10011941367
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Is It Possible to Reconcile the Caplet and Swaption Markets? Evidence from the U.S.-Dollar Market
Rebonato, Riccardo; Pogudin, Andrey - In: The journal of derivatives : the official publication … 19 (2011) 2, pp. 8-32
Persistent link: https://www.econbiz.de/10009812424