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Riccardo Rebonato

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The SABR/LIBOR Market Model. Pricing, Calibration and Hedging for Complex Interest-Rate Derivatives
The SABR/LIBOR Market Model. Pricing, Calibration and Hedging for Complex Interest-Rate Derivatives
электронная книга
0
Год написания книги 2018
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...
Coherent Stress Testing. A Bayesian Approach to the Analysis of Financial Stress
Coherent Stress Testing. A Bayesian Approach to the Analysis of Financial Stress
электронная книга
0
Год написания книги 2018
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....

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