… I discuss the evolution of these models in detail in Rebonato (2004), where I explain why
this practice was abandoned in favour of working directly in the risk-neutral measure. While …

… This if, for instance, the route taken by Rebonato [8] for his calibration of the BGM … element
has exactly the same weight, has been shown by Rebonato [7, 8, 9] to have desirable global …

… 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 …

… But Rebonato's analysis goes much further than a dissection of libertarian paternalism:
Rebonato identifies crucial normative and empirical questions that any attempt to apply …

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 …

… at things, see Rebonato (2002) and Rebonato (2004a). For a discussion of the historical
development of interest-rate modelling leading to the LMM and beyond, see Rebonato (2004b). …

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 …

… More importantly, Rebonato (1999c) shows that this feature is a direct consequence of the
requirement that the computational tree should be recombining. This ‘technical’ constraint, …

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 …