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Interest rate option models :...
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Theorie
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Rebonato, Riccardo
126
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6
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5
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4
Nyholm, Ken
4
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4
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3
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3
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3
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3
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3
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3
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2
Hatano, Taku
2
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2
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2
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2
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Risk : managing risk in the world's financial markets
8
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6
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6
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ECONIS (ZBW)
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7
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41
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
Saved in:
42
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
Saved in:
43
[Rezension von: Rebonato, Riccardo, Plight of the fortune tellers: why we need to manage financial risk differently]
Jorion, Philippe
- In:
Journal of economic literature
47
(
2009
)
2
,
pp. 510-512
Persistent link: https://www.econbiz.de/10008702969
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44
Combining non-constant weights with historical simulation VaR
Rebonato, Riccardo
;
Shanbhogue, Vasant
- In:
Journal of risk management in financial institutions
3
(
2009/10
)
4
,
pp. 392-404
Persistent link: https://www.econbiz.de/10008736815
Saved in:
45
A coherent aggregation framework for stress testing and scenario analysis
Kwiatkowski, Jan
;
Rebonato, Riccardo
- In:
Applied mathematical finance
18
(
2011
)
1/2
,
pp. 139-154
Persistent link: https://www.econbiz.de/10009155487
Saved in:
46
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
Saved in:
47
Coherent asset allocation and diversification in the presence of stress events
Rebonato, Riccardo
;
Denev, Alexander
- In:
Journal of investment management : JOIM
10
(
2012
)
4
,
pp. 19-53
Persistent link: https://www.econbiz.de/10009710893
Saved in:
48
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
Saved in:
49
Long-horizon yield curve projections : comparison of semi-parametric and parametric approaches
Nyholm, Ken
;
Rebonato, Riccardo
- In:
Applied financial economics
18
(
2008
)
18/21
,
pp. 1597-1611
Persistent link: https://www.econbiz.de/10003800185
Saved in:
50
[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
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