Riccardo Rebonato is Professor of Finance at EDHEC Business School, France. He has been Global Head of Fixed Income and FX Analytics at Pacific Investment Management Company, LLC (PIMCO), and Head of Research, Risk Management and Derivatives Trading at several major international banks. He has previously held academic positions at Imperial College of Science, Technology and Medicine, University of London and University of Oxford, and has been a Board Director for the International Swaps and Derivatives Association (ISDA). He currently is a Professorial Visiting Fellow at the University of Edinburgh, and sits on the Board of Global Association of Risk Professionals (GARP). He is the author of several books and articles in finance and risk management, including Portfolio Management under Stress (Cambridge, 2014).
Télécharger le livre :  The SABR/LIBOR Market Model

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 plain vanilla hedging instruments (swaptions and caplets) of all strikes and maturities...
Editeur : Wiley
Parution : 2011-03-01

Format(s) : PDF, ePub
81,23

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Télécharger le livre :  Coherent Stress Testing

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 management toolkit. Based on the author's extensive work, research and presentations in...
Editeur : Wiley
Parution : 2010-06-10
Collection : The Wiley Finance Series
Format(s) : PDF, ePub
58,45

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Télécharger le livre :  Volatility and Correlation

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 and theoretical applications, this is a thorough update of the highly successful Volatility...
Editeur : Wiley
Parution : 2005-07-08
Collection : The Wiley Finance Series
Format(s) : PDF
124,49

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