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

30.07.2021 - Article in a peer reviewed journal

Predicting Future Yields and Risk Premia: The `Blue-Dots' Affine Model

Riccardo Rebonato, Ronzani Riccardo
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Journal of Fixed Income, Volume 30, November 2020, Pages 5 - 21


02.07.2021 - Article in a peer reviewed journal

Is Convexity Efficiently Priced? Evidence from International Swap Markets

Riccardo Rebonato, Ronzani Riccardo
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Journal of Empirical Finance, Volume 63, September 2021, Pages 392 - 413


01.06.2021 - Chapter publication

Factor Investing in Sovereign Bond Markets

Lionel Martellini, Riccardo Rebonato, Frank Fabozzi
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McGraw Hill, xxx, June 2021, Pages 1 - 1840


01.04.2021 - Article in a peer reviewed journal

How Do the Volatilities of Rates Depend on Their Level? The “Universal Relationship” Revisited

Riccardo Rebonato, Amir El Aouadi
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Journal of Fixed Income, April 2021


26.02.2021 - EDHEC publication

From climate change to asset prices

Riccardo Rebonato
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EDHEC Risk Institute, EDHEC-Risk Institute publication, March 2021