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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
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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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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
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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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Affine models with stochastic market price of risk
Rebonato, Riccardo - In: International journal of theoretical and applied finance 20 (2017) 4, pp. 1-38
Persistent link: https://www.econbiz.de/10011687047
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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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The quickest way to lose the money you cannot afford to lose : reverse stress testing with maximum entropy
Rebonato, Riccardo - In: Journal of risk 20 (2017/2018) 3, pp. 83-93
Persistent link: https://www.econbiz.de/10011847481
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A financially justifiable and practically implementable approach to coherent stress testing
Rebonato, Riccardo - In: Quantitative finance 19 (2019) 5, pp. 827-842
Persistent link: https://www.econbiz.de/10012194718