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totalt 3 träffar
Volatility and Correlation
inbunden,
2004,
Engelska,
ISBN 9780470091395
In Volatility and Correlation 2nd edition: The Perfect Hedger and the Fox, Rebonato looks at derivatives pricing from the angle of volatility and correlation. With both practical …
The SABR/LIBOR Market Model
inbunden,
2009,
Engelska,
ISBN 9780470740057
This book presents a major innovation in the interest rate space. It explains a financially motivated extension of the LIBOR Market model which accurately reproduces the prices for …
Coherent Stress Testing
inbunden,
2010,
Engelska,
ISBN 9780470666012
In Coherent Stress Testing: A Bayesian Approach, industry expert Riccardo Rebonato presents a groundbreaking new approach to this important but often undervalued part of the risk …