114:, NY. He was Junior Research Fellow in Physics at Corpus Christi College, Oxford (1988-1989), Post-Doctoral Fellow at the Physical Chemistry Laboratory, Oxford University (1987-1989), Visiting Scientist at the Brookhaven National Laboratory X-ray synchrotron facility (1984-1987) and Chercheur Invite' at the high-flux research nuclear reactor at the Institut Laue Langevin, Grenoble (1980-1981).
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Professor
Rebonato is a specialist in asset pricing and its applications to bond portfolio management, fixed-income derivatives and the impact of climate change on asset prices and risk management. He is Series Editor for the Elements in Quantitative Finance, Cambridge University Press.
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and climate change. In 2022 he was granted the PRM Quant of the Year award for 'outstanding contributions to the field of quantitative portfolio theory'. Prior to this, he was Global Head of Rates and FX Analytics at
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75:(GARP). He is currently on the Board of the Nine Dots Prize. Previously, he was global head of market risk and global head of the Quantitative Research Team at the
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The SABR/LIBOR Market Model: Pricing, Calibration and
Hedging for Complex Interest-Rate Derivatives. 2009. Wiley.
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Interest-Rate Option Models: Understanding, Analysing and Using Models for Exotic
Interest-Rate Options. 1998.
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Portfolio
Management Under Stress: A Bayesian-Net Approach to Coherent Asset Allocation. 2013.
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Coherent Stress
Testing: A Bayesian Approach to the Analysis of Financial Stress. 2010. Wiley.
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Academically, he is an editor of financial journals and was until 2016 a visiting lecturer at
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Modern
Pricing of Interest-Rate Derivatives: The LIBOR Market Model and Beyond. 2002. Wiley.
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Plight of the
Fortune Tellers: Why We Need to Manage Financial Risk Differently. 2007.
79:(RBS), and sat on the Investment Committee of RBS Asset Management. He was Head of the
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Volatility and
Correlation: The Perfect Hedger and the Fox. 2004. Wiley.
280:"Teaching Staff | Mathematical Institute - University of Oxford"
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Bond
Pricing and Yield Curve Modelling: A Structural Approach. 2013.
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Bond
Pricing and Yield Curve Modeling: A Structural Approach. 2018.
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from Politecnico di Milano 'Leonardo da Vinci', Italy and a
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69:International Swaps and Derivatives Association
266:"EDHEC Business School adds finance professor"
126:How to Think About Climate Change -- . 2018.
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397:"Rebonato on Risk Management and the Crisis"
370:Mathematical Institute, University of Oxford
71:(ISDA) and the board of trustees for the
73:Global Association of Risk Professionals
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429:Academics of the University of Oxford
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439:Academics of Imperial College London
122:Books authored by Rebonato include:
83:Trading Desk and Research Group at
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407:Library of Economics and Liberty
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434:Stony Brook University alumni
19:is Professor of Finance at
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341:"GARP - Board of Trustees"
238:Cambridge University Press
224:Cambridge University Press
200:Princeton University Press
142:Cambridge University Press
128:Cambridge University Press
305:"Imperial College London"
59:and adjunct professor at
104:condensed matter physics
112:Stony Brook University
77:Royal Bank of Scotland
65:Tanaka Business School
21:EDHEC Business School
424:Financial economists
108:science of materials
29:Mathematical Finance
25:EDHEC-Risk Institute
96:nuclear engineering
81:Complex Derivatives
33:derivatives pricing
246:978-1-107-16585-4
232:978-1-107-04811-9
150:978-1-107-16585-4
136:978-1-107-16585-4
57:Oxford University
17:Riccardo Rebonato
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395:(June 8, 2009).
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402:EconTalk
381:Profile
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