Riccardo Rebonato

Professor

EDHEC Climate Institute Research Director and Senior Advisor

Main contributions

Journal of Empirical Finance (2021), International Journal of Theoretical and Applied Finance (2020), The Journal of Portfolio Management (2020), The Journal of Derivatives (2019), The Journal of Fixed Income (2019 ; 2020 ; 2021), Quantitative Finance (2019)

Discipline: Finance
Faculty: Data Science, Economics & Finance
Expertise: Interest Rate Risk Modelling with Applications to Bond Portfolio Management and Fixed-Income Derivatives Pricing

Bio

Riccardo Rebonato is Scientific Director of EDHEC-Risk Climate Impact Institute and Professor of Finance at EDHEC Business School. He heads EDHEC-Risk Climate Impact Institute’s “Impact of Climate Change on Asset Prices” research programme. He holds doctorates in Nuclear Engineering and Condensed Matter Physics. Riccardo has been Head of Derivatives Trading, Risk Management and Research for leading international financial institutions on the sell- and buy-side, and served on the boards of ISDA and GARP. He was previously a Professorial Visiting Fellow at Edinburgh University (Political Economics and Sociology), Visiting Lecturer at Oxford University (Mathematical Finance), Adjunct Professor at Imperial College, London (Financial Economics) and a Research Fellow in Physics at Corpus Christi College, Oxford. Riccardo is currently Series Editor for the Cambridge Elements in Quantitative Finance. He has published an extensive body of academic work, including more than 10 books and approximately 50 articles in refereed journals, in the areas of derivatives pricing, risk management, asset pricing and, latterly, the economics of climate change. His latest book “How to Think About Climate Change” (Cambridge University Press) deals with using economics to tackle climate change. The Journal of Portfolio Management named him 2022’s “PMR Quant Researcher of the Year”.

Publications of Riccardo Rebonato

07.02.2017 - Article in a peer reviewed journal

The Market Price of Volatility Risk and the Dynamics of Market and Actuarial Implied Volatilities

Riccardo Rebonato
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Journal of Derivatives, Volume 24, August 2017, Pages 30 - 60


02.02.2017 - Chapter publication

Stress-Testing Using Bayesian Nets and Related Techniques: Meeting the Engineering Challenges

Riccardo Rebonato
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MacMillan / Palgrave, London, August 2017, Pages 1 - 44


22.12.2016 - Article in a peer reviewed journal

Kinetic Component Analysis

Riccardo Rebonato, Marcos Lopez De Prado Marcos
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Journal of Investing, Volume 25, November 2016, Pages 142 - 154


14.12.2016 - Chapter publication

Structural Affine Models for Yield Curve Modelling

Riccardo Rebonato
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John Wiley, Chichester, February 2016, Pages 241 - 264


04.11.2016 - Article in a peer reviewed journal

The Quickest Way to Lose the Money You Could Not Afford To Lose’ —

Riccardo Rebonato
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Journal of Risk, Volume 20, May 2018, Pages 83 - 93