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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
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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
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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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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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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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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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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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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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Volatility and correlation : in the pricing of equity, FX and interest rate options
Rebonato, Riccardo - 1999
Persistent link: https://www.econbiz.de/10004599959
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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