A. Rebonato : rechercher sur Z-Library

Journal:

Année:

2017

Langue:

english

Fichier:

PDF, 508 KB

english, 2017

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

Journal:

Année:

2015

Langue:

english

Fichier:

PDF, 209 KB

english, 2015

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

Journal:

Journal of Consumer Policy

Année:

2015

Langue:

english

Fichier:

PDF, 606 KB

english, 2015

A Critical Assessment of Libertarian Paternalism

Riccardo Rebonato

Journal:

Année:

2014

Langue:

english

Fichier:

PDF, 606 KB

english, 2014

Kinetic Component Analysis

López de Prado, Marcos, Rebonato, Riccardo

Journal:

The Journal of Investing

Année:

2016

Langue:

english

Fichier:

PDF, 2.58 MB

english, 2016

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

Année:

2012

Langue:

english

Fichier:

PDF, 19.26 MB

english, 2012

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

Année:

2018

Langue:

english

Fichier:

PDF, 229 KB

english, 2018

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

The Journal of Derivatives

Journal:

Année:

2017

Langue:

english

Fichier:

PDF, 5.89 MB

english, 2017

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

Année:

2018

Langue:

english

Fichier:

PDF, 4.65 MB

english, 2018

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

Année:

2011

Langue:

english

Fichier:

PDF, 3.67 MB

english, 2011

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

Année:

2018

Langue:

english

Fichier:

PDF, 647 KB

english, 2018

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

Année:

2020

Langue:

english

Fichier:

PDF, 1.28 MB

english, 2020

A Coherent Aggregation Framework for Stress Testing and Scenario Analysis

Kwiatkowski, Jan, Rebonato, Riccardo

Journal:

Applied Mathematical Finance

Année:

2011

Langue:

english

Fichier:

PDF, 153 KB

english, 2011

Probably Approximately Correct

Journal:

Année:

2016

Langue:

english

Fichier:

PDF, 418 KB

english, 2016

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

Lopez de Prado, Marcos, Rebonato, Riccardo

Année:

2012

Langue:

english

Fichier:

PDF, 5.56 MB

english, 2012

Kinetic Component Analysis

Journal:

SSRN Electronic Journal

Année:

2014

Langue:

english

Fichier:

PDF, 942 KB

english, 2014

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:

International Journal of Theoretical and Applied Finance

Année:

2013

Langue:

english

Fichier:

PDF, 909 KB

english, 2013

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

REBONATO, RICCARDO

Journal:

Année:

2003

Langue:

english

Fichier:

PDF, 907 KB

english, 2003

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

REBONATO, RICCARDO, KAINTH, DHERMINDER

Journal:

International Journal of Theoretical and Applied Finance

Année:

2004

Langue:

english

Fichier:

PDF, 472 KB

english, 2004

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

Année:

2015

Langue:

english

Fichier:

PDF, 590 KB

english, 2015

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

Joshi, Mark S, Rebonato, Riccardo

Journal:

Année:

2003

Langue:

english

Fichier:

PDF, 320 KB

english, 2003

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

Année:

2013

Langue:

english

Fichier:

PDF, 124 KB

english, 2013

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

Année:

2013

Langue:

english

Fichier:

PDF, 421 KB

english, 2013

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

Année:

2012

Langue:

english

Fichier:

PDF, 88 KB

english, 2012

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

Année:

2012

Langue:

english

Fichier:

PDF, 51 KB

english, 2012

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

Année:

2012

Langue:

english

Fichier:

PDF, 8.90 MB

english, 2012

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

Année:

2012

Langue:

english

Fichier:

PDF, 722 KB

english, 2012

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

Année:

2018

Langue:

english

Fichier:

PDF, 438 KB

english, 2018

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

Année:

2018

Langue:

english

Fichier:

PDF, 171 KB

english, 2018

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

Année:

2018

Langue:

english

Fichier:

PDF, 484 KB

english, 2018

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

Année:

2018

Langue:

english

Fichier:

PDF, 271 KB

english, 2018

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

Année:

2012

Langue:

english

Fichier:

PDF, 675 KB

english, 2012

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

Année:

2012

Langue:

english

Fichier:

PDF, 837 KB

english, 2012

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

Année:

2012

Langue:

english

Fichier:

PDF, 452 KB

english, 2012

A Crisis of Beliefs: Investor Psychology and Financial Fragility

Journal:

Année:

2019

Langue:

english

Fichier:

PDF, 462 KB

english, 2019

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

Journal of Nuclear Materials

Année:

2012

Langue:

english

Fichier:

PDF, 5.63 MB

english, 2012

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:

Année:

1984

Langue:

english

Fichier:

PDF, 944 KB

english, 1984

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

Rebonato, Riccardo, Chen, Jian

Journal:

Rebonato, Riccardo, Cooper, Ian

Année:

2009

Langue:

english

Fichier:

PDF, 1.68 MB

english, 2009

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

Journal:

Applied Mathematical Finance

Année:

1998

Langue:

english

Fichier:

PDF, 230 KB

english, 1998

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

Applied Mathematical Finance

Journal:

Année:

1997

Langue:

english

Fichier:

PDF, 356 KB

english, 1997

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

Rebonato, Riccardo, Gaspari, Valerio

Journal:

International Journal of Theoretical and Applied Finance

Année:

2006

Langue:

english

Fichier:

PDF, 433 KB

english, 2006

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

REBONATO, RICCARDO

Journal:

Année:

2006

Langue:

english

Fichier:

PDF, 1004 KB

english, 2006

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

Année:

2015

Langue:

english

Fichier:

PDF, 645 KB

english, 2015

High-frequency Trading

Journal:

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

Année:

2015

Langue:

english

Fichier:

PDF, 166 KB

english, 2015

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

Journal:

European Radiology

Année:

2016

Langue:

english

Fichier:

PDF, 1.20 MB

english, 2016

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

Journal:

International Journal of Theoretical and Applied Finance

Année:

2011

Langue:

english

Fichier:

PDF, 221 KB

english, 2011

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

REBONATO, RICCARDO

Journal:

Année:

2015

Langue:

english

Fichier:

PDF, 465 KB

english, 2015

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

Année:

2013

Langue:

english

Fichier:

PDF, 38 KB

english, 2013

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

Année:

2013

Langue:

english

Fichier:

PDF, 205 KB

english, 2013

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