Riccardo Rebonato | Academic Influence

Riccardo Rebonato's AcademicInfluence.com Rankings

Riccardo Rebonato

Economics

#2473

World Rank

#2826

Historical Rank

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Economics

Riccardo Rebonato's Degrees

Bachelors Economics Bocconi University

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Why Is Riccardo Rebonato Influential?

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According to Wikipedia, Riccardo Rebonato is Professor of Finance at EDHEC Business School and EDHEC-Risk Institute, Scientific Director of the EDHEC Risk Climate Impact Institute , and author of journal articles and books on Mathematical Finance, covering derivatives pricing, risk management, asset allocation and climate change. Prior to this, he was Global Head of Rates and FX Analytics at PIMCO.

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Riccardo Rebonato's Published Works

Number of citations in a given year to any of this author's works

Total number of citations to an author for the works they published in a given year. This highlights publication of the most important work(s) by the author

Published Works

Interest-rate option models (1996) (312)
The Most General Methodology to Create a Valid Correlation Matrix for Risk Management and Option Pricing Purposes (2011) (282)
Volatility and correlation : the perfect hedger and the fox (2004) (254)
Taking Liberties: A Critical Examination of Libertarian Paternalism (2012) (143)
Interest-Rate Option Models: Understanding, Analysing and Using Models for Exotic Interest-Rate Options (1998) (114)
Volatility and Correlation: In the Pricing of Equity, FX, and Interest-Rate Options (1999) (108)
The most general methodology for creating a valid correlation matrix for risk management and option pricing purposes (2000) (104)
A Critical Assessment of Libertarian Paternalism (2013) (96)
On the simultaneous calibration of multifactor lognormal interest rate models to Black volatilities and to the correlation matrix (1999) (94)
The SABR/LIBOR Market Model: Pricing, Calibration and Hedging for Complex Interest-Rate Derivatives (2009) (92)
Modern pricing of interest-rate derivatives (2002) (90)
Modern Pricing of Interest-Rate Derivatives: The LIBOR Market Model and Beyond (2012) (84)
A displaced-diffusion stochastic volatility LIBOR market model: motivation, definition and implementation (2003) (67)
Coherent Stress Testing: A Bayesian Approach to the Analysis of Financial Stress (2010) (58)
Plight of the Fortune Tellers: Why We Need to Manage Financial Risk Differently (2010) (52)
Volatility and Correlation (2004) (48)
A modification of the Finnis-Sinclair potentials for highly deformed and defective transition metals (1987) (44)
A stochastic-volatility, displaced-diffusion extension of the LIBOR Market Model (2003) (43)
Yield Curve Modeling and Forecasting—The Dynamic Nelson–Siegel Approach (2015) (42)
The link between caplet and swaption volatilities in a Brace–Gatarek–Musiela/Jamshidian framework: approximate solutions and empirical evidence (2003) (40)
A JOINT EMPIRICAL AND THEORETICAL INVESTIGATION OF THE MODES OF DEFORMATION OF SWAPTION MATRICES: IMPLICATIONS FOR MODEL CHOICE (2002) (34)
Linking Caplet and Swaption Volatilities in a BGM/J Framework: Approximate Solutions (2000) (31)
On the pricing implications of the joint lognormal assumption for the swaption and cap markets (1999) (31)
The nature of the dependence of the magnitude of rate moves on the rates levels: a universal relationship (2013) (29)
Review Paper. Interest–rate term–structure pricing models: a review (2004) (29)
Plight of the Fortune Tellers (2007) (28)
Term-Structure Models: a Review (2003) (27)
Evolving Yield Curves in the Real-World Measures: A Semi-Parametric Approach (2005) (26)
Portfolio Management under Stress: A Bayesian-Net Approach to Coherent Asset Allocation (2014) (23)
Calculation of the phonon dispersion curves for b.c.c. transition metals using the Finnis-Sinclair potentials (1987) (20)
Linking caplets and swaptions prices in the LMM-SABR model (2009) (20)
A Time-Homogenous, SABR-Consistent Extension of the LMM: Calibration and Numerical Results (2007) (19)
A Time-Homogenous, SABR-Consistent Extension of the LMM: Calibration and Numerical Results (2007) (19)
Financial Enterprise Risk Management (2017) (18)
Unconstrained fitting of implied volatility surfaces using a mixture of normals (2004) (17)
The Economy: Economics for a Changing World (2018) (17)
A TWO-REGIME, STOCHASTIC-VOLATILITY EXTENSION OF THE LIBOR MARKET MODEL (2004) (15)
High-resolution microdiffraction study of notch-tip deformation in Mo single crystals using x-ray synchrotron radiation (1989) (15)
Analysis of drawdowns and drawups in the US$ interest-rate market (2006) (14)
Closed-form solutions for option pricing in the presence of volatility smiles: a density-function approach (2001) (14)
A Bayesian Approach to Stress Testing and Scenario Analysis (2010) (14)
Long-horizon yield curve projections: comparison of semi-parametric and parametric approaches (2008) (12)
What Interest Rate Models to Use? Buy Side Versus Sell Side (2011) (12)
Theory and Practice of Model Risk Management (2002) (12)
Coherent Asset Allocation and Diversification in the Presence of Stress Events (2011) (12)
FORWARD-RATE VOLATILITIES AND THE SWAPTION MATRIX: WHY NEITHER TIME-HOMOGENEITY NOR TIME-DEPENDENCE ARE ENOUGH (2006) (12)
Bond Pricing and Yield Curve Modeling: A Structural Approach (2018) (11)
Coupling backward induction with Monte Carlo simulations: a fast Fourier transform (FFT) approach (1998) (10)
WHICH PROCESS GIVES RISE TO THE OBSERVED DEPENDENCE OF SWAPTION IMPLIED VOLATILITY ON THE UNDERLYING (2003) (10)
Time dependence at 550 and 700°C of M23C6 precipitate composition in AISI 304 stainless steel (1983) (9)
Study of the M23C6 precipitation at 550°C and 700°C in AISI 304 stainless steel by small angle neutron scattering (1984) (8)
A Coherent Aggregation Framework for Stress Testing and Scenario Analysis (2011) (7)
Neutron Interferometric Determination of the Coherent Scattering Length of Natural Uranium (1982) (7)
The value of convexity: a theoretical and empirical investigation (2015) (6)
Accurate and optimal calibration to co-terminal European swaptions in a FRA-based BGM framework (2001) (6)
Valuing American options in the presence of user-defined smiles and time-dependent volatility: scenario analysis, model stress and lower-bound pricing applications (2001) (5)
How to Deform a Yield Curve: The Most Likely Deformation of a Yield Curve Consistent with Subjective Views (2014) (5)
The SABR Model (2012) (5)
A financially justifiable and practically implementable approach to coherent stress testing (2018) (4)
Evidence for state transition and altered serial codependence in US$ interest rates (2009) (4)
The Economic Origin of Treasury Excess Returns: A Cycles and Trend Explanation (2018) (4)
The Nature of the Dependence of Magnitude of Rate Moves on the Rates Levels: A Universal Relationship (2010) (4)
The Link between Caplet andSwaption Volatilities in a BGM/J Framework: Approximate Solutions and Empirical Evidence (2002) (4)
A Principal-Component-Based Affine Term Structure Model (2014) (4)
A Critical Assessment of Libertarian Paternalism (2014) (4)
Is It Possible to Reconcile the Caplet and Swaption Markets? Evidence from the U.S.-Dollar Market (2011) (4)
A swaption volatility model using Markov regime switching (2008) (4)
An Interpretation of the Cieslak-Povala Return-Predicting Factor (2015) (4)
Adaptation of the Finnis-Sinclair potentials for conditions of extension and for b.c.c. transition metal alloys (1989) (3)
Portfolio Management under Stress (2014) (3)
The Market Price of Volatility Risk and the Dynamics of Market and Actuarial Implied Volatilities (2017) (3)
Mostly Harmless Econometrics: An Empiricist’s Companion; Mastering ‘Metrics: The Path from Cause to Effect (2016) (3)
A Simple Approximation for the No-Arbitrage Drifts for LMM-SABR-Family Interest-Rate Models (2013) (3)
New features of the core structure of screw dislocations in b.c.c. transition metals using non-local potentials (1989) (3)
How Derivatives and Risk Models Really Work: Sociological Pricing and the Role of Co-Ordination (2013) (3)
Draft:Assigning Future Smile Surfaces: Conditions for Uniqueness and Absence of Arbitrage (2002) (3)
Factor Investing in US Sovereign Bond Markets: A New Generation of Conditional Carry Strategies with Applications in Asset-Only and Asset-Liability Management (2019) (3)
What Does Today’s Smile Imply About Future Volatilities? (2020) (2)
RETURN-PREDICTING FACTORS FOR US TREASURIES: ON THE SIMILARITY OF "TENTS" AND "BATS" (2015) (2)
AFFINE MODELS WITH STOCHASTIC MARKET PRICE OF RISK (2017) (2)
Structural Affine Models for Yield Curve Modeling (2016) (2)
A class of arbitrage-free log-normal-short-rate two-factor models (1997) (2)
Unconstrained Fitting of Non-Central Risk-Neutral Densities Using a Mixture of Normals (2003) (2)
Stress Testing with Bayesian Nets and Related Techniques: Meeting the Engineering Challenges (2017) (2)
A Financially Motivated Extension of the Heston Model for a Joint ℙ- and ℚ-Dynamics Analysis of Variance (2018) (2)
Predicting Future Yields and Risk Premia: The Blue-Dot Affine Model (2020) (1)
A Robust and Interpretable Liquidity Proxy (2018) (1)
Portfolio Management Under Stress: Bayesian nets (2014) (1)
Why This Book Matters (2011) (1)
Defining and Exploiting Value in US Treasury Bonds (2019) (1)
Plight of the Fortune Tellers: Why We Need to Manage Risk Difierently (2008) (1)
How Big Banks Fail and What to Do about It, by Darrell Duffie (2011) (1)
Bond Pricing and Yield Curve Modeling (2018) (1)
Cross-Sectional and Time-Series Momentum in the US Sovereign Bond Market (2021) (1)
What Kind of Probability Do We Need in Risk Management (2012) (1)
PREDICTING RETURNS IN US TREASURIES: DO TENTS MATTER? (2018) (1)
Post-crisis financial risk management: Some suggestions (2010) (1)
Kinetic Component Analysis (2016) (1)
Pricing Options in the Presence of Smiles (2013) (1)
A Simple Approximation for the No-Arbitrage Drifts in Libor Market Model-SABR-Family Interest-Rate Models (2015) (1)
Estimating the Correlation Structure (2012) (1)
How This Book Came to Be (2019) (1)
Specifying the Instantaneous Correlation Among Forward Rates (2013) (0)
Instantaneous and Terminal Correlation (2013) (0)
The Role of Models in Risk Management and Stress Testing (2012) (0)
Learning from Data (2016) (0)
Bayesian Nets II: Constructing Probability Tables (2012) (0)
The Building Blocks (2013) (0)
The Quickest Way to Lose the Money You Cannot Afford to Lose: Reverse Stress Testing With Maximum Entropy (2018) (0)
10 What CanWe Do Instead (2010) (0)
Portfolio Management Under Stress: How we deal with exceptional events (2014) (0)
4 Making Choices (2010) (0)
Predictability of Treasury Bond Returns: Risk Premia or Overreaction? (2019) (0)
Are the New-Generation Treasury Return-Predictive Factors Economically Significant? A Cross-Currency and Out-of-Sample Investigation (2019) (0)
Working with the full distribution (2013) (0)
8 Which Type of Probability Matters in Risk Management (2010) (0)
A Crisis of Beliefs: Investor Psychology and Financial Fragility (2019) (0)
Behavioral Risk Management (2017) (0)
Asset Management: A Systematic Approach to Factor Investing (2017) (0)
Portfolio Management Under Stress: References (2014) (0)
An Extension of the Double Vasicek Model to Account for Stochastic Risk Premia (2014) (0)
How to Model Interest‐Rate Smiles (2013) (0)
Part IV. Beyond the Standard Approach: Accounting for Smiles (2012) (0)
Climate Output at Risk (2022) (0)
Portfolio Management Under Stress: Utility theory: problems and remedies (2014) (0)
Empirical Facts about Smiles (2013) (0)
Calibrating the Correlation Structure (2012) (0)
Specifying the Instantaneous Volatility of Forward Rates (2013) (0)
Portfolio Management Under Stress: Building scenarios for causal Bayesian nets (2014) (0)
Which Abatement Policies Are Best Away from Optimality? (2021) (0)
Portfolio Management Under Stress: Applying expected utility (2014) (0)
Various Types of Hedging (2012) (0)
Portfolio Management Under Stress: Approximations (2014) (0)
Portfolio Management Under Stress: How to use Bayesian nets: our recommended approach (2014) (0)
Hedging the Correlation Structure (2012) (0)
Estimating the Volatility of the Forward Rates (2012) (0)
Why Does the Cieslak–Povala Model Predict Treasury Returns? A Reinterpretation (2022) (0)
Portfolio Management Under Stress: Definitions and notation (2014) (0)
Part III. Calibration of the LIBOR Market Model (2012) (0)
Portfolio Management Under Stress: Numerical analysis (2014) (0)
Local‐Volatility Models: the Derman‐and‐Kani Approach (2013) (0)
Optimal Climate Policy with Negative Emissions (2023) (0)
Bonds: Their Risks and Their Compensations (2018) (0)
Portfolio Management Under Stress: Specifying scenarios: the Meucci approach (2014) (0)
How Do the Volatilities of Rates Depend on Their Level? The “Universal Relationship” Revisited (2021) (0)
Portfolio Management Under Stress: Econophysics (2014) (0)
Robust and Interpretable Liquidity Proxies for Market and Funding Liquidity (2020) (0)
More advanced topics: elicitation (2013) (0)
Volatility and Correlation in the LIBOR Market Model (2013) (0)
Investors at a crossroads: Implications for risk management, trading and the real economy (2008) (0)
Portfolio Management Under Stress: Analysis of portfolio allocation (2014) (0)
Jump–Diffusion Processes (2013) (0)
9 The Promise of Economic Capital (2010) (0)
Extracting the Local Volatility from Option Prices (2013) (0)
Displaced Diffusions and Generalizations (2013) (0)
Predicting Risk Premia for Treasury Bonds: The ERI Risk Premium Monitor (2018) (0)
(LMM)-SABR Hedging in Practice: Evidence from Market Data (2012) (0)
3 Thinking about Probabilities (2010) (0)
Quadratic Variation and Smiles (2013) (0)
Portfolio Management Under Stress: Extreme Value Theory (2014) (0)
No‐Arbitrage Restrictions on the Dynamics of Smile Surfaces (2013) (0)
What This Book Is About (2018) (0)
Portfolio Management Under Stress: Building Bayesian nets in practice (2014) (0)
Probability with Boolean Variables I: Marginal and Conditional Probabilities (2012) (0)
Theory and Practice of Option Modelling (2013) (0)
CEV) Processes in the Context of the LMM (2013) (0)
A Simple Introduction to Linear Programming (2012) (0)
Portfolio Management Under Stress: Correlation and causation (2014) (0)
Portfolio Management Under Stress: The links with CAPM and private valuations (2014) (0)
Portfolio Management Under Stress: Optimizing the expected utility over the weights (2014) (0)
The LIBOR Market Model (2012) (0)
Calibrating the LMM-SABR Model to Market Swaption Prices (2012) (0)
Hedging in Conditions of Market Stress (2012) (0)
Probability with Boolean Variables II: Joint Probabilities (2012) (0)
Mean Reversion in Interest‐Rate Models (2013) (0)
Return-Predicting Factors for US Treasuries: On the Similarity of ‘Tents’ and ‘Bats’ (2014) (0)
Identification of the body of the distribution (2013) (0)
Preface to the Paperback Edition (2010) (0)
Part II. The Inputs to the General Framework (2012) (0)
The LMM-SABR Model (2012) (0)
Calibration Strategies for the LIBOR Market Model (2013) (0)
Calibrating the LMM-SABR Model to Market Caplet Prices (2012) (0)
High-frequency Trading (2015) (0)
Stochastic‐Volatility Processes (2013) (0)
Portfolio Management Under Stress: Applied tools (2014) (0)
Portfolio Management Under Stress: Diversification and stability in the Black–Litterman model (2014) (0)
Variance and Mean Reversion in the Real and the Risk‐Adjusted Worlds (2013) (0)
The Input Data: Fitting an Exogenous Smile Surface (2013) (0)
6 VaR & Co: How It All Started (2010) (0)
Portfolio Management Under Stress: A real-life example: building a realistic Bayesian net (2014) (0)
Stochastic‐Volatility Extensions of the LMM (2013) (0)
Portfolio Management Under Stress: Dealing with extreme events (2014) (0)
2 Thinking about Risk (2010) (0)
Creating Probability Bounds (2012) (0)
Portfolio Management Under Stress: Dealing with normal-times returns (2014) (0)
Portfolio Management Under Stress: A framework for choice (2014) (0)
Portfolio Management Under Stress: Diversification in Modern Portfolio Theory (2014) (0)
Portfolio Management Under Stress: Our approach in its context (2014) (0)
General Features of Smile‐Modelling Approaches (2013) (0)
Selecting and Combining Stress Scenarios (2012) (0)
Why Does the Market Price of Risk Depend on the Slope of the Yield Curve? (2014) (0)
Stochastic‐Volatility Extension of the LMM: Two‐Regime Instantaneous Volatility (2013) (0)
Does the Cochrane-Piazzesi Factor Predict? An International Resampling Perspective (2023) (0)
The Dynamics of the Swaption Matrix (2013) (0)
The Empirical Problem (2012) (0)
Portfolio Management Under Stress: Additional more advanced topics (2014) (0)
Portfolio Management Under Stress: Stability analysis (2014) (0)
Stability: a first look (2013) (0)
5. What Is Risk Management For (2010) (0)
Is convexity efficiently priced? Evidence from international swap markets (2021) (0)
Hedging against Moves in the Forward Rate and in the Volatility (2012) (0)
The links with the Black–Litterman approach (2013) (0)
The ERI Stress Testing Tool: A Coherent Approach to Stress Testing (2017) (0)
7 Looking Beneath the Surface: Hidden Problems (2010) (0)
Part I. The Structure of the LIBOR Market Model (2012) (0)
Portfolio Management Under Stress: Diversification and subjective views (2014) (0)
Portfolio Management Under Stress: Constructing the marginals (2014) (0)
Portfolio Management Under Stress: Numerical implementation (2014) (0)
Obtaining a Coherent Solution II: Bayesian Nets (2012) (0)
Unconditional Variance , Mean Reversion and Short Rate Volatility in the Calibration of the Black-Derman and Toy Model and of Two-Dimensional Log-Normal Short Rate Models (1998) (0)
Portfolio Management Under Stress: The full allocation procedure: a case study (2014) (0)
Overcoming Our Cognitive Biases (2012) (0)
Portfolio Management Under Stress: Choosing and fitting the copula (2014) (0)
Probably Approximately Correct (2016) (0)
Risk and Uncertainty - or, Why Stress Testing isNotEnough (2012) (0)
Portfolio Management Under Stress: Splicing the normal and exceptional distributions (2014) (0)
Obtaining a Coherent Solution I: Linear Programming (2012) (0)
PRINCIPAL-COMPONENT-BASED GAUSSIAN AFFINE TERM STRUCTURE MODELS: CONSTRAINTS AND THEIR FINANCIAL IMPLICATIONS (2020) (0)
Portfolio Management Under Stress: Predictability and causality (2014) (0)
A computer simulation study and critical evaluation of the displacement fields and elastic dipole tensors of oxygen and nitrogen in b.c.c. transition metals (1989) (0)
Bayesian Nets I: An Introduction (2012) (0)

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