Riccardo Rebonato

Riccardo Rebonato is Professor of Finance at EDHEC Business School[1] and author of journal articles and books on Mathematical Finance, covering derivatives pricing, risk management and asset allocation. Prior to this, he was Global Head of Rates and FX Analytics at PIMCO.

Academically, he is an editor of financial journals and was until 2016 a visiting lecturer at Oxford University [2] and adjunct professor at Imperial College’s Tanaka Business School. [3] He sits on the board of directors of the International Swaps and Derivatives Association (ISDA)[4] and the board of trustees for the Global Association of Risk Professionals (GARP).[5] Previously, he was global head of market risk and global head of the Quantitative Research Team at the Royal Bank of Scotland (RBS), and sat on the Investment Committee of RBS Asset Management. He was Head of the Complex Derivatives Trading Desk and Research Group at Barclays Capital.

He holds a doctorate in nuclear engineering and a PhD in condensed matter physics/science of materials from Stony Brook University, NY.

Bibliography

Books authored by Rebonato include:

  • Interest-Rate Option Models: Understanding, Analysing and Using Models for Exotic Interest-Rate Options. 1998. Wiley. ISBN 0-471-97958-9
  • Modern Pricing of Interest-Rate Derivatives: The LIBOR Market Model and Beyond. 2002. Wiley. ISBN 0-691-08973-6
  • Volatility and Correlation: The Perfect Hedger and the Fox. 2004. Wiley. ISBN 0-470-09139-8
  • The SABR/LIBOR Market Model: Pricing, Calibration and Hedging for Complex Interest-Rate Derivatives. 2009. Wiley. ISBN 0-470-74005-1
  • Plight of the Fortune Tellers: Why We Need to Manage Financial Risk Differently. 2007. Princeton University Press. ISBN 0-691-14817-1
  • Coherent Stress Testing: A Bayesian Approach to the Analysis of Financial Stress. 2010. Wiley. ISBN 0-470-66601-3
  • Portfolio Management Under Stress: A Bayesian-Net Approach to Coherent Asset Allocation. 2013. Cambridge University Press. ISBN 978-1-107-04811-9

References

  1. ↑ http://www.pionline.com/article/20160511/ONLINE/160519972/edhec-business-school-adds-finance-professor
  2. ↑ "Archived copy". Archived from the original on 2012-03-02. Retrieved 2012-02-27.
  3. ↑ http://www3.imperial.ac.uk/business-school/people/adjunctprofessors
  4. ↑ http://www.isda.org/wwa/BOD.html
  5. ↑ http://www.garp.org/garp/board-of-trustees.aspx
  • Profile, Mathematical Institute, University of Oxford
  • Profile, qfinance.com
  • Profile, garp.org
  • SSRN Author page
  • Roberts, Russ (June 8, 2009). "Rebonato on Risk Management and the Crisis". EconTalk. Library of Economics and Liberty.
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