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Dr Riccardo Rebonato is Global Head of Market Risk and Global Head of the Quantitative Research Team at RBS. He sits on the Investment Committee of RBS Asset Management.
He is a Visiting Lecturer at Oxford University (Mathematical Finance) and Adjunct Professor at Imperial College (Tanaka Business School).
He sits on the Board of Directors of ISDA and on the Board of Trustees for GARP.
He is a member of the Advisory Board for the European Network AMAMEF (Advanced Mathematical Methods in Finance).
He is an Editor for the International Journal of Theoretical and Applied Finance, for Applied Mathematical Finance, for the Journal of Risk and for the Journal of Risk Management in Financial Institutions.
He holds a Doctorate in Nuclear Engineering and a PhD in Condensed Matter Physics/Science of Materials (Stony Brook University, NY). He has been a Visiting Fellow at the Research Nuclear Reactor ILL (Grenoble, France) and Visiting Scientist at Brookhaven National Laboratory (Long Island, NY).
He was a Research Fellow in Physics at Corpus Christi College, Oxford, UK.
He is the author of the books
The Plight of the Fortune-Tellers (2007), Princeton University Press
The Perfect Hedger and the Fox (2004), John Wiley
Modern Pricing of Interest-Rate Derivatives (2002), Princeton University Press
Interest-Rate Option Models’ (1996, 1998), John Wiley
Volatility and Correlation in Option Pricing (1999), John Wiley
He has published widely in finance in academic journals. (See separate list of articles)
He is a regular speaker at conferences world-wide.
Books and Chapters in books
Books:
• Rebonato R ‘The Plight of the Fortune tellers – Why We Need to Manage Financial Risk Differently’, Princeton University Press, (2007)
• Rebonato R ‘The Perfect Hedger and the Fox: Volatility and Correlation in the pricing of FX, Equity and Interest-Rate Options’, Second Edition, (2004) John Wiley .
• Rebonato R ‘Modern Pricing of Interest-Rate Derivatives’ – Princeton University Press, (2002)
• Rebonato R ‘Volatility and Correlation in the pricing of FX, Equity and Interest-rate Options’ (1999) John Wiley
• Rebonato R ‘Interest Rate Option Models’ John Wiley Publ. (Chichester) (1998) Second Edition (280 new pages)
•
• Rebonato R ‘Interest Rate Option Models’ John Wiley Publ. (Chichester) (1996) First Edition
Book Chapters:
‘Modern Risk Management: A History’ (2002) (Chapter : ‘Theory and Practice of Model Risk Management’), Peter Field Editor, RiskWaters Group, London
‘Mastering Risk’ (2001) (Chapter: ‘Managing Model Risk’) FT-Prentice Hall
‘Handbook of Risk management’ John Wiley’s (Chapter: ‘Interest-Rate Models: a Critical Survey’) (Chichester) (1995)
Finance Articles
1) Rebonato R, Cooper I, ‘Limitations of simple two-factor interest-rate models’ Journal Financial Engineering, 5, 1-16, (1995)
2) Rebonato R, ‘Ensuring more accurate pricing of interest-rate derivative products: multi-factor approaches versus time evolution of the term structure of volatilities’ Derivatives - Uses Trading and Regulation (1996)
3) Rebonato R ‘A class of arbitrage-free log-normal-short-rate two-factor models’, Applied Mathematical Finance, 4, 1-14 (1997)
4) Kazziha, S., Rebonato, R. ‘Unconditional variance, mean reversion and short rate volatility in the calibration of the BDT model and of two-dimensional log-normal short rate models’, Net Exposure, 2, Nov 1997, (1997)
5) Rebonato R, Cooper I, ‘Coupling backward induction with Monte Carlo simulations: a Fast Fourier Transform approach’, Applied Mathematical Finance, Vol 5 Number 2, June 1998, 131 (1998)
6) Rebonato R (1998b) “The age of innocence”, Futures and Options World, Summer 1998
7) Rebonato R, “On the pricing implications of the joint log-normality assumption for the cap and swaption markets”, Journal Computational Finance Vol 2, Num 3, Spring 1999, 57-76 (1999)
8) Rebonato R, “On the Simultaneous Calibration of Multifactor Lognormal Interest-rate Models to Black Volatilities and to the correlation matrix’ Journal Computational Finance, Vol 2, Num. 4, Summer 1999, 5-27 (1999)
9) Rebonato R, (1999) “Calibrating the BGM model”, Risk, March 1999, 000-111
10) Rebonato R. (1999), ‘In Praise of Var’, Risk Professional, August 1999
11) Rebonato, R, Jaeckel, P, (1999) ‘The Most General Methodology to Create a Valid Correlation Matrix for Risk Management and Option Pricing Purposes’, Journal of Risk, Vol 2, Number 2, Winter 1999/2000, 17-28.
12) Mirfendereski D, Rebonato R, (2001) ‘Closed-Form Solutions for Option Pricing in the Presence of Volatility Smiles: a Density-Function Approach’ Journal of Risk, Vol 3, No 3, Spring 2001, 5-25
13) Rebonato, R., Jaeckel, P., (2003) ‘Linking Caplet and Swaption Volatilities in a BGM Framework: Approximate Solutions’, Journal of Computational Finance, Vol 6, No 4, Summer 2003, 41-60
14) Jaeckel P, Rebonato R., (2000) ‘Valuing American options in the presence of user-defined smiles and time-dependent volatility: scenario analysis, model stress and lower-bound pricing application’ Journal of Risk, Volume 4/Number 1, Fall 2001, 35-61
15) Rebonato, R, (2001) ‘Model Risk: New Challenges and New Solutions’, Risk, March 2001
16) Joshi M, Rebonato R. (2003) ‘A stochastic-volatility, displaced-diffusion extension of the LIBOR market model’, Quantitative Finance, 3, no 6, 458-469
17) Rebonato R, Joshi M (2002) ‘A Joint Empirical/Theoretical Investigation of the Modes of Deformation of Swaption Matrices: Implications for the Stochastic-Volatility LIBOR Market Model’, International Journal of Theoretical and Applied Finance, Vol 5, No 7, 667-694
18) Rebonato R. (2001c) ‘The Stochastic-Volatility LIBOR Market Model: A Theoretical and Empirical Study’, Risk,
19) Rebonato R (2003) ‘Which Process Gives Rise to the Observed Dependence of Swaption Implied Volatilities on the Underlying?’, International Journal of Theoretical and Applied Finance, Vol 6, No 4, 419-442
20) Rebonato R (2004) ‘Interest-Rate Term-Structure Pricing Models: A Review’, Proceedings of the Royal Society London, 460, 1-62
21) Rebonato R, (2003), 'Theory and Practice of Model Risk Management', Chapter 15 in 'Modern Risk Management: A History', Field P Editor, Risk Books, London
22) Rebonato R (2003) ‘Some thoughts on the Way to Basel’, Risk, July 2003
23) Rebonato R and Kainth D (2004) ‘A Two-Regime Stochastic-Volatility Extension of the LIBOR Market Model’, International Journal of Theoretical and Applied Finance, Vol 7, No 5, 1-21
24) Rebonato R, Cardoso T (2004) ‘Unconstrained Fitting of Implied Volatility Surfaces Using a Mixture of Normals’, Journal of Risk, Vol 7, No 1, Fall 2004, 55-74
25) Rebonato R, Mahal S, Joshi M, Bucholz L-D, (2005), ‘Evolving Yield Curves in the Real-World Measure’, Journal of Risk, Vol 7, No 3, Spring 2005, 29-61
26) Rebonato, R, (2006), ‘Forward-rate Volatilities and the Swaption Matrix: Why Neither Time-Homogeneity Nor Time Dependence Will Do’, International Journal of Theoretical and Applied Finance, Vol 9, No 5, 705-746
27) Nyholm K and Rebonato R, (2007), “Long-Horizon Yield-Curve Forecasts: Comparison of Semi-Parametric and Parametric Approaches”, Accepted for publication in Applied Financial Economics.
28) Rebonato R, Gaspari V, (2006), “Analysis of Drawdowns and Drawups in the US Interest-Rate Market”, Quantitative Finance, 6(4), 297-326
29) White R, Rebonato R, (2007), “A Swaption Model Using Markov Regime Switching”, submitted to Journal of Computational Finance
30) Rebonato R, Chen J, (2007), “Evidence for State Transition and Altered Serial Codependence in US$ Interest Rates’, submitted to Quantitative Finance
31) Rebonato R, (2007). ‘A Time-Homogeneous, SABR-Consistent Extension of the LMM: Calibration and Numerical Results’, Risk, November 2007
32) Rebonato R, White, R, (2007), ‘Linking Caplets and Swaption Prices in the LMM-SABR model, Submitted to Journal of Computational Finance
33) Rebonato R, Shanbhogue V, (2007), ‘Combining Non-Constant Weights with Historical Simulation VaR’, Submitted to Journal of Risk
Associate Editorships
1) International Journal of Theoretical and Applied Finance
2) Journal of Risk
3) Applied Mathematical Finance
4) Journal of Risk Management in Financial Institutions
He is a Visiting Lecturer at Oxford University (Mathematical Finance) and Adjunct Professor at Imperial College (Tanaka Business School).
He sits on the Board of Directors of ISDA and on the Board of Trustees for GARP.
He is a member of the Advisory Board for the European Network AMAMEF (Advanced Mathematical Methods in Finance).
He is an Editor for the International Journal of Theoretical and Applied Finance, for Applied Mathematical Finance, for the Journal of Risk and for the Journal of Risk Management in Financial Institutions.
He holds a Doctorate in Nuclear Engineering and a PhD in Condensed Matter Physics/Science of Materials (Stony Brook University, NY). He has been a Visiting Fellow at the Research Nuclear Reactor ILL (Grenoble, France) and Visiting Scientist at Brookhaven National Laboratory (Long Island, NY).
He was a Research Fellow in Physics at Corpus Christi College, Oxford, UK.
He is the author of the books
The Plight of the Fortune-Tellers (2007), Princeton University Press
The Perfect Hedger and the Fox (2004), John Wiley
Modern Pricing of Interest-Rate Derivatives (2002), Princeton University Press
Interest-Rate Option Models’ (1996, 1998), John Wiley
Volatility and Correlation in Option Pricing (1999), John Wiley
He has published widely in finance in academic journals. (See separate list of articles)
He is a regular speaker at conferences world-wide.
Books and Chapters in books
Books:
• Rebonato R ‘The Plight of the Fortune tellers – Why We Need to Manage Financial Risk Differently’, Princeton University Press, (2007)
• Rebonato R ‘The Perfect Hedger and the Fox: Volatility and Correlation in the pricing of FX, Equity and Interest-Rate Options’, Second Edition, (2004) John Wiley .
• Rebonato R ‘Modern Pricing of Interest-Rate Derivatives’ – Princeton University Press, (2002)
• Rebonato R ‘Volatility and Correlation in the pricing of FX, Equity and Interest-rate Options’ (1999) John Wiley
• Rebonato R ‘Interest Rate Option Models’ John Wiley Publ. (Chichester) (1998) Second Edition (280 new pages)
•
• Rebonato R ‘Interest Rate Option Models’ John Wiley Publ. (Chichester) (1996) First Edition
Book Chapters:
‘Modern Risk Management: A History’ (2002) (Chapter : ‘Theory and Practice of Model Risk Management’), Peter Field Editor, RiskWaters Group, London
‘Mastering Risk’ (2001) (Chapter: ‘Managing Model Risk’) FT-Prentice Hall
‘Handbook of Risk management’ John Wiley’s (Chapter: ‘Interest-Rate Models: a Critical Survey’) (Chichester) (1995)
Finance Articles
1) Rebonato R, Cooper I, ‘Limitations of simple two-factor interest-rate models’ Journal Financial Engineering, 5, 1-16, (1995)
2) Rebonato R, ‘Ensuring more accurate pricing of interest-rate derivative products: multi-factor approaches versus time evolution of the term structure of volatilities’ Derivatives - Uses Trading and Regulation (1996)
3) Rebonato R ‘A class of arbitrage-free log-normal-short-rate two-factor models’, Applied Mathematical Finance, 4, 1-14 (1997)
4) Kazziha, S., Rebonato, R. ‘Unconditional variance, mean reversion and short rate volatility in the calibration of the BDT model and of two-dimensional log-normal short rate models’, Net Exposure, 2, Nov 1997, (1997)
5) Rebonato R, Cooper I, ‘Coupling backward induction with Monte Carlo simulations: a Fast Fourier Transform approach’, Applied Mathematical Finance, Vol 5 Number 2, June 1998, 131 (1998)
6) Rebonato R (1998b) “The age of innocence”, Futures and Options World, Summer 1998
7) Rebonato R, “On the pricing implications of the joint log-normality assumption for the cap and swaption markets”, Journal Computational Finance Vol 2, Num 3, Spring 1999, 57-76 (1999)
8) Rebonato R, “On the Simultaneous Calibration of Multifactor Lognormal Interest-rate Models to Black Volatilities and to the correlation matrix’ Journal Computational Finance, Vol 2, Num. 4, Summer 1999, 5-27 (1999)
9) Rebonato R, (1999) “Calibrating the BGM model”, Risk, March 1999, 000-111
10) Rebonato R. (1999), ‘In Praise of Var’, Risk Professional, August 1999
11) Rebonato, R, Jaeckel, P, (1999) ‘The Most General Methodology to Create a Valid Correlation Matrix for Risk Management and Option Pricing Purposes’, Journal of Risk, Vol 2, Number 2, Winter 1999/2000, 17-28.
12) Mirfendereski D, Rebonato R, (2001) ‘Closed-Form Solutions for Option Pricing in the Presence of Volatility Smiles: a Density-Function Approach’ Journal of Risk, Vol 3, No 3, Spring 2001, 5-25
13) Rebonato, R., Jaeckel, P., (2003) ‘Linking Caplet and Swaption Volatilities in a BGM Framework: Approximate Solutions’, Journal of Computational Finance, Vol 6, No 4, Summer 2003, 41-60
14) Jaeckel P, Rebonato R., (2000) ‘Valuing American options in the presence of user-defined smiles and time-dependent volatility: scenario analysis, model stress and lower-bound pricing application’ Journal of Risk, Volume 4/Number 1, Fall 2001, 35-61
15) Rebonato, R, (2001) ‘Model Risk: New Challenges and New Solutions’, Risk, March 2001
16) Joshi M, Rebonato R. (2003) ‘A stochastic-volatility, displaced-diffusion extension of the LIBOR market model’, Quantitative Finance, 3, no 6, 458-469
17) Rebonato R, Joshi M (2002) ‘A Joint Empirical/Theoretical Investigation of the Modes of Deformation of Swaption Matrices: Implications for the Stochastic-Volatility LIBOR Market Model’, International Journal of Theoretical and Applied Finance, Vol 5, No 7, 667-694
18) Rebonato R. (2001c) ‘The Stochastic-Volatility LIBOR Market Model: A Theoretical and Empirical Study’, Risk,
19) Rebonato R (2003) ‘Which Process Gives Rise to the Observed Dependence of Swaption Implied Volatilities on the Underlying?’, International Journal of Theoretical and Applied Finance, Vol 6, No 4, 419-442
20) Rebonato R (2004) ‘Interest-Rate Term-Structure Pricing Models: A Review’, Proceedings of the Royal Society London, 460, 1-62
21) Rebonato R, (2003), 'Theory and Practice of Model Risk Management', Chapter 15 in 'Modern Risk Management: A History', Field P Editor, Risk Books, London
22) Rebonato R (2003) ‘Some thoughts on the Way to Basel’, Risk, July 2003
23) Rebonato R and Kainth D (2004) ‘A Two-Regime Stochastic-Volatility Extension of the LIBOR Market Model’, International Journal of Theoretical and Applied Finance, Vol 7, No 5, 1-21
24) Rebonato R, Cardoso T (2004) ‘Unconstrained Fitting of Implied Volatility Surfaces Using a Mixture of Normals’, Journal of Risk, Vol 7, No 1, Fall 2004, 55-74
25) Rebonato R, Mahal S, Joshi M, Bucholz L-D, (2005), ‘Evolving Yield Curves in the Real-World Measure’, Journal of Risk, Vol 7, No 3, Spring 2005, 29-61
26) Rebonato, R, (2006), ‘Forward-rate Volatilities and the Swaption Matrix: Why Neither Time-Homogeneity Nor Time Dependence Will Do’, International Journal of Theoretical and Applied Finance, Vol 9, No 5, 705-746
27) Nyholm K and Rebonato R, (2007), “Long-Horizon Yield-Curve Forecasts: Comparison of Semi-Parametric and Parametric Approaches”, Accepted for publication in Applied Financial Economics.
28) Rebonato R, Gaspari V, (2006), “Analysis of Drawdowns and Drawups in the US Interest-Rate Market”, Quantitative Finance, 6(4), 297-326
29) White R, Rebonato R, (2007), “A Swaption Model Using Markov Regime Switching”, submitted to Journal of Computational Finance
30) Rebonato R, Chen J, (2007), “Evidence for State Transition and Altered Serial Codependence in US$ Interest Rates’, submitted to Quantitative Finance
31) Rebonato R, (2007). ‘A Time-Homogeneous, SABR-Consistent Extension of the LMM: Calibration and Numerical Results’, Risk, November 2007
32) Rebonato R, White, R, (2007), ‘Linking Caplets and Swaption Prices in the LMM-SABR model, Submitted to Journal of Computational Finance
33) Rebonato R, Shanbhogue V, (2007), ‘Combining Non-Constant Weights with Historical Simulation VaR’, Submitted to Journal of Risk
Associate Editorships
1) International Journal of Theoretical and Applied Finance
2) Journal of Risk
3) Applied Mathematical Finance
4) Journal of Risk Management in Financial Institutions
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