We have presented two simple methods to produce a feasible (ie real, symmetric, and
positivesemidefinite) correlation matrix when the econometric one is either noisy, unavailable, or …

… Hedger and the Fox, Rebonato looks at derivatives pricing from … Praise for the First Edition:“In
this book, Dr Rebonato brings … In this book, Riccardo Rebonato presents the subject in his …

… In this book, Riccardo Rebonato draws on his academic and professional experience, …
Rebonato begins by presenting the conceptual foundations for the application of the LIBOR …

Riccardo Rebonato offers a critical analysis of the Libertarian Paternalist approach that has
taken the political landscape by storm. This book explores the justifications used by states to …

It is shown in this paper that it is not only possible, but indeed expedient and advisable, to
perform a simultaneous calibration of a log-normal BGM interest-rate model to the percentage …

This paper tries to assess to what extent libertarian paternalism lives up to its libertarian
credentials, and whether this “softer” version of paternalism is more or less desirable than the …

… In Plight of the Fortune Tellers, Riccardo Rebonato forcefully … , and decision theory, Rebonato
challenges us to rethink the standard … In a new preface, Rebonato explains how the ideas …

Model risk is a topic of great, and growing, interest in the risk management arena. Financial
institutions are obviously concerned about the possibility of direct losses arising from mis-…

… "A book that has all the hallmarks of Riccardo Rebonato: rigorous theory, up-to-date market
… "In this concise book Riccardo Rebonato and his co-authors introduce a new financially …

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 …