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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 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

A class of arbitrage-free log-normal-short-rate two-factor models

Rebonato, Riccardo - In: Applied mathematical finance 4 (1997) 4, pp. 223-236

Persistent link: https://www.econbiz.de/10001238758

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

Rebonato, Riccardo - 1999

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

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

Modern pricing of interest-rate derivatives : the LIBOR market model and beyond

Rebonato, Riccardo - 2002

Persistent link: https://www.econbiz.de/10001693803

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

The link between caplet and swaption volatilities in a Brace-Gatarek-Musiela/Jamshidian framework : approximate solutions and empirical evidence

Jaeckel, Peter; Rebonato, Riccardo - In: The journal of computational finance 6 (2003) 4, pp. 41-59

Persistent link: https://www.econbiz.de/10001782185

Is convexity efficiently priced? : evidence from international swap markets

Rebonato, Riccardo; Ronzani, Riccardo - In: Journal of empirical finance 63 (2021), pp. 392-413

Persistent link: https://www.econbiz.de/10013259275