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Riccardo Rebonato · Study
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Author
Riccardo Rebonato
27 works
· latest 2019
· 3 institutions
cluster: provisional
ORCID 0000-0003-1378-8346
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24
Citations
2,149
Works here
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Most cited in this library
The most general methodology for creating a valid correlation matrix for risk management and option pricing purposes
2000 · 286 citations
Interest-rate option models
1996 · 275 citations
Volatility and Correlation
2004 · 253 citations
Modern Pricing of Interest-Rate Derivatives The LIBOR Market Model and Beyond
2002 · 152 citations
A Crisis of Beliefs: Investor Psychology and Financial Fragility
2019 · 129 citations
Works
27 shown
A Crisis of Beliefs: Investor Psychology and Financial Fragility
Quantitative Finance
·
2019
·
1 author
·
other
129
citations
Behavioral Risk Management
Quantitative Finance
·
2016
·
1 author
·
other
·
Open access
2
citations
A Critical Assessment of Libertarian Paternalism
Journal of Consumer Policy
·
2014
·
1 author
104
citations
Utility theory: problems and remedies
Cambridge University Press eBooks
·
2013
·
2 authors
·
chapter
0
citations
The nature of the dependence of the magnitude of rate moves on the rates levels: a universal relationship
Quantitative Finance
·
2013
·
3 authors
·
Open access
32
citations
Modern Pricing of Interest-Rate Derivatives
Princeton University Press eBooks
·
2012
·
1 author
·
book
21
citations
The Most General Methodology to Create a Valid Correlation Matrix for Risk Management and Option Pricing Purposes
SSRN Electronic Journal
·
2011
·
2 authors
·
preprint
·
Open access
116
citations
Plight of the Fortune Tellers
Princeton University Press eBooks
·
2010
·
1 author
·
book
43
citations
Coherent Stress Testing: A Bayesian Approach to the Analysis of Financial Stress
·
2010
·
1 author
53
citations
Linking caplets and swaptions prices in the LMM-SABR model
The Journal of Computational Finance
·
2009
·
1 author
23
citations
The SABR/LIBOR Market Model: Pricing, Calibration and Hedging for Complex Interest-Rate Derivatives
·
2009
·
1 author
·
other
78
citations
Plight of the Fortune Tellers
·
2007
·
1 author
·
book
27
citations
Introduction to Plight of the Fortune Tellers: Why We Need to Manage Financial Risk Differently
RePEc: Research Papers in Economics
·
2007
·
1 author
·
Open access
0
citations
Evolving yield curves in the real-world measures: a semi-parametric approach
The Journal of Risk
·
2005
·
5 authors
33
citations
Volatility and Correlation
Wiley eBooks
·
2004
·
1 author
·
book
253
citations
Review Paper. Interest–rate term–structure pricing models: a review
Proceedings of the Royal Society A Mathematical Physical and Engineering Sciences
·
2004
·
1 author
31
citations
A displaced-diffusion stochastic volatility LIBOR market model: motivation, definition and implementation
Quantitative Finance
·
2003
·
2 authors
72
citations
The link between caplet and swaption volatilities in a Brace–Gatarek–Musiela/Jamshidian framework: approximate solutions and empirical evidence
The Journal of Computational Finance
·
2003
·
2 authors
39
citations
Term-Structure Models: a Review
·
2003
·
1 author
21
citations
A JOINT EMPIRICAL AND THEORETICAL INVESTIGATION OF THE MODES OF DEFORMATION OF SWAPTION MATRICES: IMPLICATIONS FOR MODEL CHOICE
International Journal of Theoretical and Applied Finance
·
2002
·
2 authors
56
citations
Modern Pricing of Interest-Rate Derivatives The LIBOR Market Model and Beyond
·
2002
·
1 author
·
other
152
citations
The most general methodology for creating a valid correlation matrix for risk management and option pricing purposes
The Journal of Risk
·
2000
·
2 authors
286
citations
Volatility and correlation in the pricing of equity, FX, and interest-rate options
·
1999
·
1 author
98
citations
On the simultaneous calibration of multifactor lognormal interest rate models to Black volatilities and to the correlation matrix
The Journal of Computational Finance
·
1999
·
1 author
93
citations
On the pricing implications of the joint lognormal assumption for the swaption and cap markets
The Journal of Computational Finance
·
1999
·
1 author
32
citations
Interest-Rate Option Models: Understanding, Analysing and Using Models for Exotic Interest-Rate Options
·
1998
·
1 author
80
citations
Interest-rate option models
·
1996
·
1 author
·
book
275
citations