{"title":"Riccardo Rebonato","description":"\u003cp\u003eDelve into the world of Riccardo Rebonato, where finance meets profound insight. Explore his works on interest rate modelling and beyond, perfect for the analytically minded reader. Start your discovery now.\u003c\/p\u003e","products":[{"product_id":"interest-rate-option-models-book-riccardo-rebonato-9780471979586","title":"Interest Rate Option Models","description":"Option modelling is a highly complex and fast moving area of finance. This major revision of the first edition sees the introduction of five new chapters together with the inclusion of complex quantitative material. 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The academic and practitioners' communities, however, have not always communicated as productively as would have been desirable. As a result, their research programs have often developed with little constructive interference. In this book, Riccardo Rebonato draws on his academic and professional experience, straddling both sides of the divide to bring together and build on what theory and trading have to offer. Rebonato begins by presenting the conceptual foundations for the application of the LIBOR market model to the pricing of interest-rate derivatives. Next he treats in great detail the calibration of this model to market prices, asking how possible and advisable it is to enforce a simultaneous fitting to several market observables. He does so with an eye not only to mathematical feasibility but also to financial justification, while devoting special scrutiny to the implications of market incompleteness. Much of the book concerns an original extension of the LIBOR market model, devised to account for implied volatility smiles. This is done by introducing a stochastic-volatility, displaced-diffusion version of the model. The emphasis again is on the financial justification and on the computational feasibility of the proposed solution to the smile problem. This book is must reading for quantitative researchers in financial houses, sophisticated practitioners in the derivatives area, and students of finance.","brand":"WoB","offers":[{"title":"GB \/ LIKE_NEW \/ INTERNAL","offer_id":49580019024145,"sku":"GOR013765077","price":0.0,"currency_code":"GBP","in_stock":false},{"title":"GB \/ VERY_GOOD \/ INTERNAL","offer_id":49870205124881,"sku":"GOR006184077","price":0.0,"currency_code":"GBP","in_stock":false},{"title":"US \/ GOOD \/ SBYB","offer_id":50360151081233,"sku":"CIN0691089736G","price":0.0,"currency_code":"GBP","in_stock":true},{"title":"US \/ VERY_GOOD \/ SBYB","offer_id":53433092079889,"sku":"CIN0691089736VG","price":0.0,"currency_code":"GBP","in_stock":false}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0784\/4072\/6801\/files\/0691089736.jpg?v=1750944487"},{"product_id":"how-to-think-about-climate-change-book-riccardo-rebonato-9781009405003","title":"How To Think About Climate Change","description":"Caught in the crossfire between climate deniers and catastrophists, the intelligent layperson is understandably bewildered when faced with the complexity of climate change. How To Think About Climate Change shows that economics provides not just a suitable, but an indispensable perspective to understand the root causes of the climate-change problem: scarcity of resources, externalities and free riding. Riccardo Rebonato argues that there are no silver bullets or easy solutions. However, he shows that the new-generation economics models offer a radically different insight about our best course of action from what most early models recommended - in particular, they suggest that fast and large-scale climate action can now be justified as the most cost-effective strategy without requiring the 'infinite altruism' of earlier models. Given the conceptual tools provided in this book, readers can decide whether they agree with these conclusions - and, if they do, what the most effective courses of action are.","brand":"WoB","offers":[{"title":"GB \/ VERY_GOOD \/ INTERNAL","offer_id":49581885587729,"sku":"GOR013636520","price":0.0,"currency_code":"GBP","in_stock":false},{"title":"GB \/ NEW \/ GARDNERS","offer_id":50097393271057,"sku":"NGR9781009405003","price":0.0,"currency_code":"GBP","in_stock":true},{"title":"US \/ NEW \/ INGRAM","offer_id":51012290576657,"sku":"NIN9781009405003","price":0.0,"currency_code":"GBP","in_stock":true},{"title":"GB \/ NEW \/ INGRAM","offer_id":52613616075025,"sku":"NLS9781009405003","price":0.0,"currency_code":"GBP","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0784\/4072\/6801\/files\/1009405004.jpg?v=1761391720"},{"product_id":"volatility-and-correlation-in-the-pricing-of-equity-fx-and-interest-rate-options-book-riccardo-rebonato-9780471899983","title":"Volatility and Correlation in the Pricing of Equity, FX and Interest-rate Options","description":"In his new book, Riccardo Rebonato introduces financial professionals to the practical and subtle use of the concepts of volatility (the degree of randomness in a price movement) and correlation (the relationship between the changes in value of two financial assets) in the pricing of complex options. By explaining this approach in clear and accessible terms, the author provides traders, risk managers, financial professionals and students with the tools to undertake an effective investigation of option pricing models both at the qualitative and quantitative level. Dr Riccardo Rebonato is Head of Group Market Risk for the NatWest Group, London, UK. He holds Doctorates in Nuclear Engineering and Science of Materials\/Solid State Physics. He has recently been appointed Lecturer in Mathematical Finance at Oxford University. Prior to joining NatWest, he was, at the same time, Head of the Complex Derivatives Trading desk and of the Complex Derivatives Research Group at Barclays Capital, where he worked for nine years. Before that he was a Research Fellow in Physics at Corpus Christi College, Oxford He is the author of the highly successful book Interest-Rate Option Models (Wiley, second edition 1998) and has published several papers on finance in academic journals. He is a regular speaker at conferences world-wide.","brand":"WoB","offers":[{"title":"GB \/ VERY_GOOD \/ INTERNAL","offer_id":49604746903825,"sku":"GOR003067662","price":0.0,"currency_code":"GBP","in_stock":false}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0784\/4072\/6801\/files\/0471899984.jpg?v=1751007945"},{"product_id":"plight-of-the-fortune-tellers-book-riccardo-rebonato-9780691133614","title":"Plight of the Fortune Tellers","description":"Argues that we must restore genuine decision making to our financial planning, and shows us how to do it using probability, experimental psychology, and decision theory. 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Based on the author's extensive work, research and presentations in the area, the book fills a gap in quantitative risk management by introducing a new and very intuitively appealing approach to stress testing based on expert judgement and Bayesian networks. It constitutes a radical departure from the traditional statistical methodologies based on Economic Capital or Extreme-Value-Theory approaches.   The book is split into four parts. Part I looks at stress testing and at its role in modern risk management. It discusses the distinctions between risk and uncertainty, the different types of probability that are used in risk management today and for which tasks they are best used. Stress testing is positioned as a bridge between the statistical areas where VaR can be effective and the domain of total Keynesian uncertainty. Part II lays down the quantitative foundations for the concepts described in the rest of the book. Part III takes readers through the application of the tools discussed in part II, and introduces two different systematic approaches to obtaining a coherent stress testing output that can satisfy the needs of industry users and regulators. In part IV the author addresses more practical questions such as embedding the suggestions of the book into a viable governance structure.","brand":"WoB","offers":[{"title":"GB \/ GOOD \/ INTERNAL","offer_id":49654525559057,"sku":"GOR013419710","price":0.0,"currency_code":"GBP","in_stock":false},{"title":"GB \/ VERY_GOOD \/ INTERNAL","offer_id":49931387371793,"sku":"GOR006426066","price":0.0,"currency_code":"GBP","in_stock":false},{"title":"US \/ GOOD \/ SBYB","offer_id":50355821019409,"sku":"CIN0470666013G","price":0.0,"currency_code":"GBP","in_stock":false},{"title":"US \/ NEW \/ INGRAM","offer_id":51002701086993,"sku":"NIN9780470666012","price":0.0,"currency_code":"GBP","in_stock":false},{"title":"GB \/ NEW \/ INGRAM","offer_id":52144475210001,"sku":"NLS9780470666012","price":0.0,"currency_code":"GBP","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0784\/4072\/6801\/files\/0470666013.jpg?v=1750879116"},{"product_id":"sabr-libor-market-model-book-riccardo-rebonato-9780470740057","title":"The SABR\/LIBOR Market Model","description":"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 produced by the SABR model. The authors show how to accurately recover the whole of the SABR smile surface using their extension of the LIBOR market model. This is not just a new model, this is a new way of option pricing that takes into account the need to calibrate as accurately as possible to the plain vanilla reference hedging instruments and the need to obtain prices and hedges in reasonable time whilst reproducing a realistic future evolution of the smile surface. It removes the hard choice between accuracy and time because the framework that the authors provide reproduces today's market prices of plain vanilla options almost exactly and simultaneously gives a reasonable future evolution for the smile surface.    The authors take the SABR model as the starting point for their extension of the LMM because it is a good model for European options. The problem, however with SABR is that it treats each European option in isolation and the processes for the various underlyings (forward and swap rates) do not talk to each other so it isn't obvious how to relate these processes into the dynamics of the whole yield curve. With this new model, the authors bring the dynamics of the various forward rates and stochastic volatilities under a single umbrella. To ensure the absence of arbitrage they derive drift adjustments to be applied to both the forward rates and their volatilities. When this is completed, complex derivatives that depend on the joint realisation of all relevant forward rates can now be priced.    Contents  THE THEORETICAL SET-UP  The Libor Market model  The SABR Model  The LMM-SABR Model    IMPLEMENTATION AND CALIBRATION  Calibrating the LMM-SABR model to Market Caplet prices  Calibrating the LMM\/SABR model to Market Swaption Prices  Calibrating the Correlation Structure    EMPIRICAL EVIDENCE  The Empirical problem  Estimating the volatility of the forward rates  Estimating the correlation structure  Estimating the volatility of the volatility    HEDGING  Hedging the Volatility Structure  Hedging the Correlation Structure  Hedging in conditions of market stress","brand":"WoB","offers":[{"title":"GB \/ LIKE_NEW \/ INTERNAL","offer_id":49950072897809,"sku":"GOR011790887","price":0.0,"currency_code":"GBP","in_stock":false},{"title":"US \/ VERY_GOOD \/ SBYB","offer_id":50356307001617,"sku":"CIN0470740051VG","price":0.0,"currency_code":"GBP","in_stock":false},{"title":"GB \/ VERY_GOOD \/ INTERNAL","offer_id":50797393019153,"sku":"GOR005753924","price":0.0,"currency_code":"GBP","in_stock":false},{"title":"GB \/ NEW \/ INGRAM","offer_id":52125724410129,"sku":"NLS9780470740057","price":0.0,"currency_code":"GBP","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0784\/4072\/6801\/files\/0470740051.jpg?v=1750845414"},{"product_id":"interest-rate-option-models-book-riccardo-rebonato-9780471965695","title":"Interest-Rate Option Models","description":"An interest rate option is a contract giving the beneficiary the right but not an obligation to pay or receive a specific interest rate on a predetermined principle for a set interval. Writing in accessible and non-technical language, the author reviews all the commonly-used interest rate option models, showing how they can be applied and implemented. This book is aimed at market professionals and postgraduate students internationally, working with interest rate dependent options, who find a barrier to entry in the very technical nature of current academic and research literature. Mathematical derivations of the models are only reported in so far as they enhance the understanding of the model - the emphasis is on accessibility and ease of understanding.","brand":"WoB","offers":[{"title":"US \/ GOOD \/ SBYB","offer_id":50045063987473,"sku":"CIN0471965693G","price":0.0,"currency_code":"GBP","in_stock":false},{"title":"GB \/ VERY_GOOD \/ INTERNAL","offer_id":50907904737553,"sku":"GOR005575999","price":0.0,"currency_code":"GBP","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0784\/4072\/6801\/files\/0471965693.jpg?v=1751391349"},{"product_id":"bond-pricing-and-yield-curve-modeling-book-riccardo-rebonato-9781107165854","title":"Bond Pricing and Yield Curve Modeling","description":"In this book, well-known expert Riccardo Rebonato provides the theoretical foundations (no-arbitrage, convexity, expectations, risk premia) needed for the affine modeling of the government bond markets. 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Rebonato weaves precise theory with up-to-date empirical evidence to build, with the minimum mathematical sophistication required for the task, a critical understanding of what drives the government bond market.","brand":"WoB","offers":[{"title":"GB \/ NEW \/ GARDNERS","offer_id":50097010180369,"sku":"NGR9781107165854","price":0.0,"currency_code":"GBP","in_stock":true},{"title":"US \/ NEW \/ INGRAM","offer_id":51729907187985,"sku":"NIN9781107165854","price":0.0,"currency_code":"GBP","in_stock":true},{"title":"US \/ GOOD \/ SBYB","offer_id":52106075504913,"sku":"CIN1107165857G","price":0.0,"currency_code":"GBP","in_stock":false},{"title":"GB \/ NEW \/ INGRAM","offer_id":52481731002641,"sku":"NLS9781107165854","price":0.0,"currency_code":"GBP","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0784\/4072\/6801\/files\/1107165857.jpg?v=1751457016"},{"product_id":"volatility-and-correlation-book-riccardo-rebonato-9780470091395","title":"Volatility and Correlation","description":"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 \u0026amp; Correlation – with over 80% new or fully reworked material and is a must have both for practitioners and for students.  The new and updated material includes a critical examination of the ‘perfect-replication’ approach to derivatives pricing, with special attention given to exotic options; a thorough analysis of the role of quadratic variation in derivatives pricing and hedging; a discussion of the informational efficiency of markets in commonly-used calibration and hedging practices. Treatment of new models including Variance Gamma, displaced diffusion, stochastic volatility for interest-rate smiles and equity\/FX options.   The book is split into four parts. Part I deals with a Black world without smiles, sets out the author’s ‘philosophical’ approach and covers deterministic volatility. Part II looks at smiles in equity and FX worlds. It begins with a review of relevant empirical information about smiles, and provides coverage of local-stochastic-volatility, general-stochastic-volatility, jump-diffusion and Variance-Gamma processes. Part II concludes with an important chapter that discusses if and to what extent one can dispense with an explicit specification of a model, and can directly prescribe the dynamics of the smile surface.   Part III focusses on interest rates when the volatility is deterministic. Part IV extends this setting in order to account for smiles in a financially motivated and computationally tractable manner. In this final part the author deals with CEV processes, with diffusive stochastic volatility and with Markov-chain processes.   Praise for the First Edition:   “In this book, Dr Rebonato brings his penetrating eye to bear on option pricing and hedging.… The book is a must-read for those who already know the basics of options and are looking for an edge in applying the more sophisticated approaches that have recently been developed.”  —Professor Ian Cooper, London Business School   “Volatility and correlation are at the very core of all option pricing and hedging. In this book, Riccardo Rebonato presents the subject in his characteristically elegant and simple fashion…A rare combination of intellectual insight and practical common sense.”  —Anthony Neuberger, London Business School","brand":"WoB","offers":[{"title":"US \/ GOOD \/ SBYB","offer_id":50354513576209,"sku":"CIN0470091398G","price":0.0,"currency_code":"GBP","in_stock":false},{"title":"US \/ VERY_GOOD \/ SBYB","offer_id":50354518982929,"sku":"CIN0470091398VG","price":0.0,"currency_code":"GBP","in_stock":false},{"title":"GB \/ VERY_GOOD \/ INTERNAL","offer_id":50537777561873,"sku":"GOR005159834","price":0.0,"currency_code":"GBP","in_stock":false},{"title":"GB \/ NEW \/ INGRAM","offer_id":52671994462481,"sku":"NLS9780470091395","price":0.0,"currency_code":"GBP","in_stock":true},{"title":"US \/ NEW \/ INGRAM","offer_id":52735325077777,"sku":"NIN9780470091395","price":0.0,"currency_code":"GBP","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0784\/4072\/6801\/files\/0470091398.jpg?v=1769076178"},{"product_id":"portfolio-management-under-stress-book-riccardo-rebonato-9781107048119","title":"Portfolio Management under Stress","description":"Portfolio Management under Stress offers a novel way to apply the well-established Bayesian-net methodology to the important problem of asset allocation under conditions of market distress or, more generally, when an investor believes that a particular scenario (such as the break-up of the Euro) may occur. 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