Riccardo Rebonato

• Plight of the Fortune Tellers
• Taking liberties
• The SABR/LIBOR market model
• Volatility and Correlation
• Portfolio Management under Stress
• Bond Pricing and Yield Curve Modeling
• Interest-rate option models
• Modern pricing of interest-rate derivatives
• Portfolio Management Under Stress A Bayesiannet Approach To Coherent Asset Allocation
• Volatility and Correlation
• Volatility and correlation in the pricing of equity, FX, and interest-rate options
• Coherent stress testing