Rebonato, Riccardo
Overview
| Works: | 3 works in 3 publications in 1 languages | |
|---|---|---|
Titles
Coherent stress testing : a Bayesian approach to the analysis of financial stress
by:
Rebonato, Riccardo
(Language materials, printed)
The SABR/LIBOR market model : pricing, calibration and hedging for complex interest-rate derivatives
by:
Rebonato, Riccardo; McKay, Kenneth; White, Richard
(Language materials, printed)
Volatility and correlation in the pricing of equity, FX, and interest-rate options
by:
Rebonato, Riccardo
(Language materials, printed)
Subjects
Options (Finance) - Mathematical models.
Interest rate futures - Mathematical models.
LIBOR market model.
Bayesian statistical decision theory.
658.1550151
332.6323
Risk management.
Hedging (Finance) - Mathematical models.
Interest rate futures.
Probabilities.
Securities - Prices - Mathematical models.
Derivative securities - Accounting.
Options (Finance) - Prices - Mathematical models.