Riccardo Rebonato

University of Oxford - Mathematical Institute

Visiting Lecturer

United Kingdom

SCHOLARLY PAPERS

13

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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
Lawrence Berkeley National Laboratory and University of Oxford - Mathematical Institute
Downloads 1,477 (3,040)

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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 482 (16,273)

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

3.

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 185 (92,757)

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derivatives models, interest models, structured products

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 175 (74,546)

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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 151 (86,505)

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principal components, yield curve modelling, risk management

6.

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 78 (158,007)

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

7.

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 52 (245,063)

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term premia, excess returns, return-predicting factor

8.

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 45 (132,093)

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yield curve modelling, affine models, convexity

9.

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 44 (246,762)

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

10.

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 40 (230,616)

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affine models, market price of risk, return predicting factor

11.

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 36 (76,275)

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interest rates, volatility

12.

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 27 (248,453)

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

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 (601,572)
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Libor Market Model, SABR, No-Arbitrage Drifts