Riccardo Rebonato

University of Oxford - Mathematical Institute

Visiting Lecturer

United Kingdom

SCHOLARLY PAPERS

12

DOWNLOADS
Rank 7,173

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Top 7,173

in Total Papers Downloads

12,950

TOTAL CITATIONS
Rank 41,238

SSRN RANKINGS

Top 41,238

in Total Papers Citations

38

Scholarly Papers (12)

1.

Kinetic Component Analysis

Journal of Investing, Vol. 25, No. 3, 2016
Number of pages: 24 Posted: 21 May 2019 Last Revised: 30 May 2019
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority and University of Oxford - Mathematical Institute
Downloads 7,028 (2,220)

Abstract:

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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 2,126 (16,039)
Citation 24

Abstract:

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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 829 (64,306)
Citation 2

Abstract:

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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 697 (80,702)
Citation 4

Abstract:

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

5.

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 626 (92,553)
Citation 3

Abstract:

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yield curve modelling, affine models, convexity

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 472 (131,468)

Abstract:

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derivatives models, interest models, structured products

7.

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 263 (250,369)
Citation 1

Abstract:

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affine models, market price of risk, return predicting factor

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 258 (255,331)

Abstract:

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

9.

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 235 (280,097)
Citation 2

Abstract:

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

10.

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 211 (310,708)
Citation 1

Abstract:

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

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 205 (319,272)
Citation 1

Abstract:

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term premia, excess returns, return-predicting factor

12.

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

Posted: 30 May 2014
Ivan Saroka and Riccardo Rebonato
University of Oxford - Mathematical Institute and University of Oxford - Mathematical Institute

Abstract:

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principal components, yield curve modelling, risk management