R. Rebonato: search on Z-Library

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1

Asset Management: A Systematic Approach to Factor Investing

Rebonato, Riccardo

Journal:

Quantitative Finance

Year:

2017

Language:

english

File:

PDF, 508 KB

english, 2017

2

Yield Curve Modeling and Forecasting—The Dynamic Nelson–Siegel Approach

Rebonato, Riccardo

Journal:

Quantitative Finance

Year:

2015

Language:

english

File:

PDF, 209 KB

english, 2015

3

Mostly Harmless Econometrics: An Empiricist’s Companion; Mastering ‘Metrics: The Path from Cause to Effect

Rebonato, Riccardo

Journal:

Quantitative Finance

Year:

2015

Language:

english

File:

PDF, 606 KB

english, 2015

4

Kinetic Component Analysis

López de Prado, Marcos, Rebonato, Riccardo

Journal:

The Journal of Investing

Year:

2016

Language:

english

File:

PDF, 2.58 MB

english, 2016

5

Bond Pricing and Yield Curve Modeling (A Structural Approach) || Excess Returns: Setting the Scene

Rebonato, Riccardo

Year:

2018

Language:

english

File:

PDF, 229 KB

english, 2018

6

Modern Pricing of Interest-Rate Derivatives (The LIBOR Market Model and Beyond) || Part I. The Structure of the LIBOR Market Model

Rebonato, Riccardo

Year:

2012

Language:

english

File:

PDF, 19.26 MB

english, 2012

7

A Critical Assessment of Libertarian Paternalism

Riccardo Rebonato

Journal:

Journal of Consumer Policy

Year:

2014

Language:

english

File:

PDF, 606 KB

english, 2014

8

The Market Price of Volatility Risk and the Dynamics of Market and Actuarial Implied Volatilities

Rebonato, Riccardo

Journal:

The Journal of Derivatives

Year:

2017

Language:

english

File:

PDF, 5.89 MB

english, 2017

9

A Financially Motivated Extension of the Heston Model for a Joint ℙ- and ℚ-Dynamics Analysis of Variance

Rebonato, Riccardo, Ng, Chu Ming

Journal:

The Journal of Derivatives

Year:

2018

Language:

english

File:

PDF, 4.65 MB

english, 2018

10

Principal-Component-Based Gaussian Affine Term Structure Models: Constraints and Their Financial Implications

Rebonato, Riccardo, Saroka, Ivan, Putiatyn, Vlad

Journal:

International Journal of Theoretical and Applied Finance

Year:

2020

Language:

english

File:

PDF, 1.28 MB

english, 2020

11

Probably Approximately Correct

Rebonato, Riccardo

Journal:

Quantitative Finance

Year:

2016

Language:

english

File:

PDF, 418 KB

english, 2016

12

Trans Arterial Embolization of Non-variceal Upper Gastrointestinal Bleeding: Is the Use of Ethylene–Vinyl Alcohol Copolymer as Safe as Coils?

Tipaldi, Marcello Andrea, Orgera, Gianluigi, Krokidis, Miltiadis, Rebonato, Alberto, Maiettini, Daniele, Vagnarelli, Simone, Ambrogi, Cesare, Rossi, Michele

Journal:

CardioVascular and Interventional Radiology

Year:

2018

Language:

english

File:

PDF, 647 KB

english, 2018

13

Is It Possible to Reconcile the Caplet and Swaption Markets? Evidence from the U.S.-Dollar Market

Rebonato, Riccardo, Pogudin, Andrey

Journal:

The Journal of Derivatives

Year:

2011

Language:

english

File:

PDF, 3.67 MB

english, 2011

14

A Coherent Aggregation Framework for Stress Testing and Scenario Analysis

Kwiatkowski, Jan, Rebonato, Riccardo

Journal:

Applied Mathematical Finance

Year:

2011

Language:

english

File:

PDF, 153 KB

english, 2011

15

Modern Pricing of Interest-Rate Derivatives (The LIBOR Market Model and Beyond) || Part II. The Inputs to the General Framework

Rebonato, Riccardo

Year:

2012

Language:

english

File:

PDF, 5.56 MB

english, 2012

16

High-frequency Trading

Rebonato, Riccardo

Journal:

Quantitative Finance

Year:

2015

Language:

english

File:

PDF, 166 KB

english, 2015

17

The nature of the dependence of the magnitude of rate moves on the rates levels: a universal relationship

DEGUILLAUME, NICK, REBONATO, RICCARDO, POGUDIN, ANDREY

Journal:

Quantitative Finance

Year:

2013

Language:

english

File:

PDF, 909 KB

english, 2013

18

Kinetic Component Analysis

Lopez de Prado, Marcos, Rebonato, Riccardo

Journal:

SSRN Electronic Journal

Year:

2014

Language:

english

File:

PDF, 942 KB

english, 2014

19

The SABR/LIBOR Market Model (Pricing, Calibration and Hedging for Complex Interest-Rate Derivatives) || Calibrating the Correlation Structure

Rebonato, Riccardo, McKay, Kenneth, White, Richard

Year:

2012

Language:

english

File:

PDF, 675 KB

english, 2012

20

Coherent Stress Testing (A Bayesian Approach to the Analysis of Financial Stress) || Risk and Uncertainty - or, Why Stress Testing is Not Enough

Rebonato, Riccardo

Year:

2012

Language:

english

File:

PDF, 51 KB

english, 2012

21

The SABR/LIBOR Market Model (Pricing, Calibration and Hedging for Complex Interest-Rate Derivatives) || Hedging in Conditions of Market Stress

Rebonato, Riccardo, McKay, Kenneth, White, Richard

Year:

2012

Language:

english

File:

PDF, 722 KB

english, 2012

22

A Crisis of Beliefs: Investor Psychology and Financial Fragility

Rebonato, Riccardo

Journal:

Quantitative Finance

Year:

2019

Language:

english

File:

PDF, 462 KB

english, 2019

23

Pharmacotherapeutic options for treating brain metastases in non-small cell lung cancer

G. Metro, R. Chiari, B. Ricciuti, A. Rebonato, M. Lupattelli, S. Gori, C. Bennati, C. Castrioto, P. Floridi, V. Minotti, P. Chiarini, L. Crinò

Year:

2015

Language:

english

File:

PDF, 590 KB

english, 2015

24

Portfolio Management Under Stress (A Bayesian-Net Approach to Coherent Asset Allocation) || Specifying scenarios: the Meucci approach

Rebonato, Riccardo, Denev, Alexander

Year:

2013

Language:

english

File:

PDF, 124 KB

english, 2013

25

Modern Pricing of Interest-Rate Derivatives (The LIBOR Market Model and Beyond) || Part III. Calibration of the LIBOR Market Model

Rebonato, Riccardo

Year:

2012

Language:

english

File:

PDF, 8.90 MB

english, 2012

26

Bond Pricing and Yield Curve Modeling (A Structural Approach) || Solving Affine Models: The Vasicek Case

Rebonato, Riccardo

Year:

2018

Language:

english

File:

PDF, 438 KB

english, 2018

27

The SABR/LIBOR Market Model (Pricing, Calibration and Hedging for Complex Interest-Rate Derivatives) || Index

Rebonato, Riccardo, McKay, Kenneth, White, Richard

Year:

2012

Language:

english

File:

PDF, 452 KB

english, 2012

28

A TWO-REGIME, STOCHASTIC-VOLATILITY EXTENSION OF THE LIBOR MARKET MODEL

REBONATO, RICCARDO, KAINTH, DHERMINDER

Journal:

International Journal of Theoretical and Applied Finance

Year:

2004

Language:

english

File:

PDF, 472 KB

english, 2004

29

The Economy: Economics for a Changing World

Rebonato, Riccardo

Journal:

Quantitative Finance

Year:

2018

Language:

english

File:

PDF, 510 KB

english, 2018

30

Bond Pricing and Yield Curve Modeling (A Structural Approach) || Risk Premia, the Market Price of Risk and Expected Excess Returns

Rebonato, Riccardo

Year:

2018

Language:

english

File:

PDF, 271 KB

english, 2018

31

Bond Pricing and Yield Curve Modeling (A Structural Approach) || The Risk Factors in Action

Rebonato, Riccardo

Year:

2018

Language:

english

File:

PDF, 484 KB

english, 2018

32

Portfolio Management Under Stress (A Bayesian-Net Approach to Coherent Asset Allocation) || Choosing and fitting the copula

Rebonato, Riccardo, Denev, Alexander

Year:

2013

Language:

english

File:

PDF, 421 KB

english, 2013

33

The SABR/LIBOR Market Model (Pricing, Calibration and Hedging for Complex Interest-Rate Derivatives) ||

Rebonato, Riccardo, McKay, Kenneth, White, Richard

Year:

2012

Language:

english

File:

PDF, 5.63 MB

english, 2012

34

WHICH PROCESS GIVES RISE TO THE OBSERVED DEPENDENCE OF SWAPTION IMPLIED VOLATILITY ON THE UNDERLYING?

REBONATO, RICCARDO

Journal:

International Journal of Theoretical and Applied Finance

Year:

2003

Language:

english

File:

PDF, 907 KB

english, 2003

35

The SABR/LIBOR Market Model (Pricing, Calibration and Hedging for Complex Interest-Rate Derivatives) || (LMM)-SABR Hedging in Practice: Evidence from Market Data

Rebonato, Riccardo, McKay, Kenneth, White, Richard

Year:

2012

Language:

english

File:

PDF, 837 KB

english, 2012

36

Bond Pricing and Yield Curve Modeling (A Structural Approach) || Convexity: A First Look

Rebonato, Riccardo

Year:

2018

Language:

english

File:

PDF, 171 KB

english, 2018

37

A displaced-diffusion stochastic volatility LIBOR market model: motivation, definition and implementation

Joshi, Mark S, Rebonato, Riccardo

Journal:

Quantitative Finance

Year:

2003

Language:

english

File:

PDF, 320 KB

english, 2003

38

Coherent Stress Testing (A Bayesian Approach to the Analysis of Financial Stress) || Selecting and Combining Stress Scenarios

Rebonato, Riccardo

Year:

2012

Language:

english

File:

PDF, 88 KB

english, 2012

39

Financial Enterprise Risk Management

Rebonato, Riccardo

Journal:

Quantitative Finance

Year:

2017

Language:

english

File:

PDF, 562 KB

english, 2017

40

Study of the M23C6 precipitation at 550°C and 700°C in AISI 304 stainless steel by small angle neutron scattering

A. Boeuf, R.G.M. Caciuffo, R. Coppola, S. Crico, S. Melone, P. Puliti, R. Rebonato, F. Rustichelli

Journal:

Journal of Nuclear Materials

Year:

1984

Language:

english

File:

PDF, 944 KB

english, 1984

41

Portfolio Management Under Stress (A Bayesian-Net Approach to Coherent Asset Allocation) || Analysis of portfolio allocation

Rebonato, Riccardo, Denev, Alexander

Year:

2013

Language:

english

File:

PDF, 38 KB

english, 2013

42

Portfolio Management Under Stress (A Bayesian-Net Approach to Coherent Asset Allocation) || Diversification in Modern Portfolio Theory

Rebonato, Riccardo, Denev, Alexander

Year:

2013

Language:

english

File:

PDF, 205 KB

english, 2013

43

Bond Pricing and Yield Curve Modeling (A Structural Approach) || No-Arbitrage Conditions for Real Bonds

Rebonato, Riccardo

Year:

2018

Language:

english

File:

PDF, 175 KB

english, 2018

44

The SABR/LIBOR Market Model (Pricing, Calibration and Hedging for Complex Interest-Rate Derivatives) || The Empirical Problem

Rebonato, Riccardo, McKay, Kenneth, White, Richard

Year:

2012

Language:

english

File:

PDF, 764 KB

english, 2012

45

Coherent Stress Testing (A Bayesian Approach to the Analysis of Financial Stress) || The Role of Models in Risk Management and Stress Testing

Rebonato, Riccardo

Year:

2012

Language:

english

File:

PDF, 104 KB

english, 2012

46

The SABR/LIBOR Market Model (Pricing, Calibration and Hedging for Complex Interest-Rate Derivatives) || Estimating the Volatility of the Forward Rates

Rebonato, Riccardo, McKay, Kenneth, White, Richard

Year:

2012

Language:

english

File:

PDF, 1.03 MB

english, 2012

47

Endovascular management of massive post-partum haemorrhage in abnormal placental implantation deliveries

Rebonato, Alberto, Mosca, Stefano, Fischer, Matthias, Gerli, Sandro, Orgera, Gianluigi, Graziosi, Luigina, Maiettini, Daniele, Di Renzo, Gian Carlo, Epicoco, Giorgio, Krokidis, Miltiadis, Rossi, Miche

Journal:

European Radiology

Year:

2016

Language:

english

File:

PDF, 1.20 MB

english, 2016

48

Reply to: Ethylene Vinyl Alcohol Copolymer as First Hemostatic Liquid Embolic Agent for Non-variceal Upper Gastrointestinal Bleeding Patients: Pros and Cons

Tipaldi, Marcello Andrea, Orgera, Gianluigi, Krokidis, Miltiadis E., Rebonato, Alberto, Maiettini, Daniele, Vagnarelli, Simone, Ambrogi, Cesare, Rossi, Michele

Journal:

CardioVascular and Interventional Radiology

Year:

2018

Language:

english

File:

PDF, 300 KB

english, 2018

49

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

Rebonato, Riccardo

Journal:

Applied Mathematical Finance

Year:

1997

Language:

english

File:

PDF, 356 KB

english, 1997

50

How Big Banks Fail and What to Do about It, by Darrell Duffie

Rebonato, Riccardo

Journal:

Quantitative Finance

Year:

2011

Language:

english

File:

PDF, 221 KB

english, 2011

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