| . |
Rebonato, Riccardo's
Scholarly Papers
Click on the title of any column to sort the table by that
column. |
|
|
| |
|
|
Aggregate Statistics |
|
Total
Downloads
559 |
Total
Citations
0 |
|
|
|
|
|
1.
|
|
What Interest Rate Models to Use? Buy Side Versus Sell Side
|
Show Abstracts |
Hide Abstracts |
Versions (2)
|
hide multiple versions |
Export Bibliographic Info |
|
Nawalkha, Sanjay K.
University of Massachusetts at Amherst - Isenberg School of Management Rebonato, Riccardo
Royal Bank of Scotland
|
|
Posted:
|
|
12 Dec 10
|
|
Last Revised:
|
|
24 Aug 11
|
|
407
(33,313)
|
|
|
|
|
|
Nawalkha, Sanjay K.
University of Massachusetts at Amherst - Isenberg School of Management Rebonato, Riccardo
Royal Bank of Scotland
|
|
0
|
|
|
| |
|
| |
LMM-SABR model, interest rate models, affine models, quadratic models, caps, swaptions
|
|
|
|
|
|
|
Nawalkha, Sanjay K.
University of Massachusetts at Amherst - Isenberg School of Management Rebonato, Riccardo
Royal Bank of Scotland
|
| Posted: |
|
12 Dec 10
|
|
Last Revised:
|
|
18 Jun 11
|
|
407
|
|
|
| |
|
| |
Interest rate models, affine, quadratic, LMM, SABR, caps, swaptions
|
|
|
|
|
|
2.
|
|
|
Rebonato, Riccardo
Royal Bank of Scotland Denev, Alexander
Royal Bank of Scotland (RBS)
|
| Posted: |
|
28 Apr 11
|
|
Last Revised:
|
|
06 May 13
|
|
152
(96,694)
|
|
|
| |
|
| |
|
|
|
3.
|
|
|
Rebonato, Riccardo
Royal Bank of Scotland
|
|
|
|
|
| |
|
| |
Stress testing, Bayesian nets, causality, diversification, Linear Programming
|
|
|
4.
|
|
|
Rebonato, Riccardo
Royal Bank of Scotland Mahal, Sukhdeep
Royal Bank of Scotland Joshi, Mark S.
University of Melbourne - Centre for Actuarial Studies Buchholz, Lars-Dierk
Independent Nyholm, Ken
European Central Bank (ECB) - Risk Management Division
|
|
|
|
|
| |
|
| |
Yield curve, semi-parametric, eigenvalues, eigenvectors
|
|
Records 1 -
4
of 4 matches
[
1
]
|
© 2013 Social Science Electronic Publishing, Inc. All Rights Reserved.
FAQ
Terms of Use
Privacy Policy
Copyright
This page was processed by apollo3 in 0.172 seconds
|
