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

A Critical Assessment of Libertarian Paternalism

Riccardo Rebonato

Journal:

Journal of Consumer Policy

Year:

2014

Language:

english

File:

PDF, 606 KB

english, 2014

5

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

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

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

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

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

11

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

12

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

13

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

14

Probably Approximately Correct

Rebonato, Riccardo

Journal:

Quantitative Finance

Year:

2016

Language:

english

File:

PDF, 418 KB

english, 2016

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

Kinetic Component Analysis

Lopez de Prado, Marcos, Rebonato, Riccardo

Journal:

SSRN Electronic Journal

Year:

2014

Language:

english

File:

PDF, 942 KB

english, 2014

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

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

19

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

20

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

21

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

22

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

23

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

24

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

25

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

26

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

27

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

28

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

29

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

30

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

31

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

32

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

33

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

34

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

35

A Crisis of Beliefs: Investor Psychology and Financial Fragility

Rebonato, Riccardo

Journal:

Quantitative Finance

Year:

2019

Language:

english

File:

PDF, 462 KB

english, 2019

36

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

37

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

38

Evidence for state transition and altered serial codependence in US$ interest rates

Rebonato, Riccardo, Chen, Jian

Journal:

Quantitative Finance

Year:

2009

Language:

english

File:

PDF, 1.68 MB

english, 2009

39

Coupling backward induction with Monte Carlo simulations: a fast Fourier transform (FFT) approach

Rebonato, Riccardo, Cooper, Ian

Journal:

Applied Mathematical Finance

Year:

1998

Language:

english

File:

PDF, 230 KB

english, 1998

40

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

41

Analysis of drawdowns and drawups in the US$ interest-rate market

Rebonato, Riccardo, Gaspari, Valerio

Journal:

Quantitative Finance

Year:

2006

Language:

english

File:

PDF, 433 KB

english, 2006

42

FORWARD-RATE VOLATILITIES AND THE SWAPTION MATRIX: WHY NEITHER TIME-HOMOGENEITY NOR TIME-DEPENDENCE ARE ENOUGH

REBONATO, RICCARDO

Journal:

International Journal of Theoretical and Applied Finance

Year:

2006

Language:

english

File:

PDF, 1004 KB

english, 2006

43

Current Status of Interventional Radiology in the Management of Gastro-Entero-Pancreatic Neuroendocrine Tumours (GEP-NETs)

Orgera, Gianluigi, Krokidis, Miltiadis, Cappucci, Matteo, Gourtsoyianni, Sofia, Tipaldi, Marcello Andrea, Hatzidakis, Adam, Rebonato, Alberto, Rossi, Michele

Journal:

CardioVascular and Interventional Radiology

Year:

2015

Language:

english

File:

PDF, 645 KB

english, 2015

44

High-frequency Trading

Rebonato, Riccardo

Journal:

Quantitative Finance

Year:

2015

Language:

english

File:

PDF, 166 KB

english, 2015

45

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

46

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

47

RETURN-PREDICTING FACTORS FOR US TREASURIES: ON THE SIMILARITY OF "TENTS" AND "BATS"

REBONATO, RICCARDO

Journal:

International Journal of Theoretical and Applied Finance

Year:

2015

Language:

english

File:

PDF, 465 KB

english, 2015

48

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

49

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

50

Portfolio Management Under Stress (A Bayesian-Net Approach to Coherent Asset Allocation) || Building scenarios for causal Bayesian nets

Rebonato, Riccardo, Denev, Alexander

Year:

2013

Language:

english

File:

PDF, 91 KB

english, 2013

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