Academic Publications
A Factor- and Goal-Driven Model for Defined Benefit Pensions: Setting Realistic Benefits
The Journal of Portfolio Management, Vol. 45, Issue 3 Quantitative Special Issue 2019
Tail Risk in the Cross Section of Alternative Risk Premium Strategies
The Journal of Portfolio Management Multi-Asset Special Issue 2019, 45 (2) 93-104
In this article, the authors attempt to get...
Does Household Finance Matter? Small Financial Errors with Large Social Costs
American Economic Review
The Three-Factor Hedging Strategy for Mortgage Pass-Through Securities: Empirical Evidence
The Journal of Fixed Income, Winter 2019, Vol. 28 N° 3 pp. 55 - 67
Quantile-Based Inference for Tempered Stable Distributions
Computational Economics, January 2019, Volume 53, Issue 1, pp 51–83
Predicting Returns in US Treasuries: Do Tents Matter?
International Journal of Theoretical and Applied Finance, Vol. 21, No. 07
Bond Pricing and Yield Curve Modeling: A Structural Approach
In this book, Riccardo Rebonato provides the theoretical foundations (no-arbitrage, convexity, expectations, risk premia) needed for the affine...
A Reinterpretation of the Optimal Demand for Risky Assets in Fund Separation Theorems
Management Science, Volume 64, Issue 9, September 2018, Pages 3971-4470
Another Look at the Ho–Lee Bond Option Pricing Model
The Journal of Derivatives, Vol. 25, Issue 4, Summer 2018, pp48-53
Recent advancements in robust optimization for investment management
Annals of Operations Research, July 2018, Volume 266, Issue 1–2, pp 183–198
Bond Portfolio Optimization in the Presence of Duration Constraints
The Journal of Fixed Income, Summer 2018
Local volatility and the recovery rate of credit default swaps
Journal of Economic Dynamics and Control, Volume 92, July 2018, Pages 1-29
Using the right implied volatility quotes in times of low interest rates: An empirical analysis across different currencies
Finance Research Letters, Volume 25, June 2018, Pages 196-201
Staying on Top of the Curve: A Cascade Model of Term Structure Dynamics
Journal of Financial and Quantitative Analysis, Volume 53, Issue 2, April 2018 , pp. 937-963
Macroeconomic variable selection for creditor recovery rates
Journal of Banking & Finance, Volume 89, April 2018, Pages 14-25
Capital Structure Decisions and the Optimal Design of Corporate Market Debt Programs
Journal of Corporate Finance, Volume 49, April 2018, Pages 141-167
A Financially Motivated Extension of the Heston Model for a Joint ℙ- and ℚ-Dynamics Analysis of Variance
Journal of Derivatives, Vol. 25, Issue 3, Spring 2018
Mind the Gap: On the Importance of Understanding and Controlling Market Risk in Smart Beta Strategies
The Journal of Portfolio Management, Vol. 44, Issue 4, Quantitative Special Issue 2018
Academic, Practitioner, and Investor Perspectives on Factor Investing
The Journal of Portfolio Management, Vol. 44, Issue 4, Quantitative Special Issue 2018
Calibrating the Italian Smile with Time-Varying Volatility and Heavy-Tailed Models
In this article, the authors consider several time-varying volatility and/or heavy-tailed models to explain the dynamics of return time series and to...
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About EDHEC
Operating from campuses in Lille, Nice, Paris, London and Singapore, EDHEC is one of the world’s top 15 business schools. Fully international and directly connected to the business world, EDHEC commands a strong reputation for research excellence and the ability to train entrepreneurs and managers capable of breaking new ground. EDHEC functions as a genuine laboratory of ideas and produces innovative solutions valued by businesses. The School’s teaching is inspired by its research work and a focus on “learning by doing”, all with the aim of equipping people with the skills to succeed in business.
