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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

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

A simple approximation for the no-arbitrage drifts in Libor market model–SABR-family interest-rate models

Rebonato, Riccardo - In: The journal of computational finance 19 (2015) 1, pp. 1-10

Persistent link: https://www.econbiz.de/10011480695

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

Volatility and correlation in the pricing of equity, FX, and interest-rate options

Rebonato, Riccardo - 1999

Persistent link: https://www.econbiz.de/10001376705

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

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

The SABR/LIBOR Market Model : Pricing, Calibration and Hedging for Complex Interest-Rate Derivatives

Rebonato, Riccardo - 2009 - 1st ed.

"This is the best of Rebonato's books. The conversational spirit of the previous manuscripts is here pleasantly retained. But, the value added is the mathematical rigor that permeates the description of the proposed model. Definitely a must." Fabio Mercurio, Senior Quantitative Analyst,...

Persistent link: https://www.econbiz.de/10012688953

[Rezension von: Rebonato, Riccardo, Modern pricing of interest-rate derivatives, the LIBOR market model and beyond]

Das, Sanjiv R. - In: Journal of economic literature 42 (2004) 2, pp. 528-529

Persistent link: https://www.econbiz.de/10002166536