Riccardo Rebonato

University of Oxford - Mathematical Institute

Visiting Lecturer

United Kingdom

SCHOLARLY PAPERS

13

DOWNLOADS
Rank 6,165

SSRN RANKINGS

Top 6,165

in Total Papers Downloads

6,451

CITATIONS

0

Scholarly Papers (13)

1.

Kinetic Component Analysis

Number of pages: 24 Posted: 08 Apr 2014 Last Revised: 08 Aug 2016
Marcos Lopez de Prado and Riccardo Rebonato
Cornell University - Operations Research & Industrial Engineering and University of Oxford - Mathematical Institute
Downloads 3,183 (2,943)

Abstract:

Loading...

Kinetic Component Analysis, Time Series, Principal Component Analysis, LOWESS, Fourier Analysis, Kalman Filter

2.

A Critical Assessment of Libertarian Paternalism

Number of pages: 68 Posted: 28 Oct 2013
Riccardo Rebonato
University of Oxford - Mathematical Institute
Downloads 1,126 (16,314)

Abstract:

Loading...

libertarianism, paternalism, libertarian paternalism, theory of choice, nudging

3.

The Nature of the Dependence of Magnitude of Rate Moves on the Rates Levels: A Universal Relationship

Number of pages: 34 Posted: 17 Jun 2015
Nick Guillaume, Riccardo Rebonato and Andrei Pogudin
University of Oxford, University of Oxford - Mathematical Institute and University of Oxford
Downloads 362 (74,330)

Abstract:

Loading...

interest rates, volatility

4.

A Principal-Component-Based Affine Term Structure Model

Number of pages: 42 Posted: 18 Jun 2014
Riccardo Rebonato, Ivan Saroka and Vladyslav Putyatin
University of Oxford - Mathematical Institute, University of Oxford - Mathematical Institute and Pacific Investment Management Company (PIMCO)
Downloads 362 (74,330)

Abstract:

Loading...

term structure modelling, yield curve modelling, affine models, principal components

5.

How to Deform a Yield Curve: The Most Likely Deformation of a Yield Curve Consistent with Subjective Views

Number of pages: 17 Posted: 30 May 2014
Ivan Saroka and Riccardo Rebonato
University of Oxford - Mathematical Institute and University of Oxford - Mathematical Institute
Downloads 325 (84,155)

Abstract:

Loading...

principal components, yield curve modelling, risk management

6.

How Derivatives and Risk Models Really Work: Sociological Pricing and the Role of Co-Ordination

Number of pages: 76 Posted: 11 Dec 2013
Riccardo Rebonato
University of Oxford - Mathematical Institute
Downloads 301 (91,649)

Abstract:

Loading...

derivatives models, interest models, structured products

7.

The Value of Convexity: A Theoretical and Empirical Investigation

Number of pages: 33 Posted: 02 Sep 2015
Riccardo Rebonato and Vladislav Putyatin
University of Oxford - Mathematical Institute and University of Oxford
Downloads 215 (129,816)

Abstract:

Loading...

yield curve modelling, affine models, convexity

8.

Why Does the Market Price of Risk Depend on the Slope of the Yield Curve?

Number of pages: 11 Posted: 04 Nov 2014
Riccardo Rebonato
University of Oxford - Mathematical Institute
Downloads 174 (157,773)

Abstract:

Loading...

excess returns, term premia, yield curve modelling, slope of yield curve

9.

An Extension of the Double Vasicek Model to Account for Stochastic Risk Premia

Number of pages: 18 Posted: 01 Nov 2014
Riccardo Rebonato
University of Oxford - Mathematical Institute
Downloads 108 (231,120)

Abstract:

Loading...

affine models, market price of risk, return predicting factor

10.

An Interpretation of the Cieslak-Povala Return-Predicting Factor

Number of pages: 12 Posted: 05 Jul 2015
Riccardo Rebonato
University of Oxford - Mathematical Institute
Downloads 99 (247,231)

Abstract:

Loading...

bond excess return, Cochrane and Piazzesi tent factor, return predicting factor, bond pricing

11.

Return-Predicting Factors for US Treasuries: On the Similarity of ‘Tents’ and ‘Bats’

Number of pages: 15 Posted: 30 May 2014
Riccardo Rebonato
University of Oxford - Mathematical Institute
Downloads 99 (245,598)

Abstract:

Loading...

term premia, excess returns, return-predicting factor

12.

A Simple Approximation for the No-Arbitrage Drifts for LMM-SABR-Family Interest-Rate Models

Number of pages: 10 Posted: 05 Feb 2015
Riccardo Rebonato
University of Oxford - Mathematical Institute
Downloads 97 (248,927)

Abstract:

Loading...

LMM model, SABR model, LMM-SABR model, interest-rate models, correlation, drift correction

13.

A Simple Approximation for the No-Arbitrage Drifts in Libor Market Model-SABR-Family Interest-Rate Models

Journal of Computational Finance, Vol. 19, No. 1, Pages 1–10, 2015
Number of pages: 10 Posted: 15 Jun 2016
Riccardo Rebonato
University of Oxford - Mathematical Institute
Downloads 0 (607,895)
  • Add to Cart

Abstract:

Loading...

Libor Market Model, SABR, No-Arbitrage Drifts