The SABR/LIBOR Market Model

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This book presents a major innovation in the interest rate space. It explains a financially motivated extension of the LIBOR Market model which accurately repro

Volatility and Correlation

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In Volatility and Correlation 2nd edition: The Perfect Hedger and the Fox, Rebonato looks at derivatives pricing from the angle of volatility and correlation. W

Modern Pricing of Interest-Rate Derivatives

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In recent years, interest-rate modeling has developed rapidly in terms of both practice and theory. The academic and practitioners' communities, however, have n

Bond Pricing and Yield Curve Modeling

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Rebonato provides an authoritative, clear, and up-to-date explanation of the cutting-edge innovations in affine modeling for government bonds, and provides read

A Crisis of Beliefs

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How investor expectations move markets and the economy The collapse of Lehman Brothers in September 2008 caught markets and regulators by surprise. Although the