Concepedia

Riccardo Rebonato

RR

33

Publications

1.4K

Citations

17

H-Index

1982

Active since

Affiliations

University of Oxford(Current)

Royal Bank of Scotland (United Kingdom)

Imperial College London

Joint Research Centre

Ecole des Hautes Etudes Commerciales du Nord

Riccardo Rebonato is an author at University of Oxford specializing in business, asset pricing, and finance.

Top concepts

BusinessFinanceEngineeringAsset PricingStatisticsEconomicsFinancial EngineeringVolatility ModelingFinancial EconomicsPhysics

Publications per year

1982–2019

33

Publications

33

The most general methodology for creating a valid correlation matrix for risk management and option pricing purposes

Riccardo Rebonato, Peter Jäckel · The Journal of Risk · 2000 · 290 citations

Engineering, Risk Metric, Portfolio Management +22

A Crisis of Beliefs: Investor Psychology and Financial Fragility

Riccardo Rebonato · Quantitative Finance · 2019 · 138 citations

Economics, Behavioural Finance, Financialization +10

The Most General Methodology to Create a Valid Correlation Matrix for Risk Management and Option Pricing Purposes

Riccardo Rebonato, Peter Jaeckel · SSRN Electronic Journal · 2011 · 121 citations · Full text

A Critical Assessment of Libertarian Paternalism

Riccardo Rebonato · Journal of Consumer Policy · 2014 · 99 citations

Public Policy, Normative Economics, Libertarian Paternalism

On the simultaneous calibration of multifactor lognormal interest rate models to Black volatilities and to the correlation matrix

Riccardo Rebonato · The Journal of Computational Finance · 1999 · 95 citations

Volatility Modeling, Term Structure Model, Engineering +17

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