Predicting Returns in US Treasuries: Do Tents Matter?
R Rebonato - International Journal of Theoretical and Applied …, 2018 - World Scientific
We look at the economic significance and at the robustness of the new-generation, tent-
shaped return-predicting factors in US Treasuries. We find that, in itself, the precise tent …
shaped return-predicting factors in US Treasuries. We find that, in itself, the precise tent …
[PDF][PDF] What Does Today's Smile Imply About Future Volatilities?
R Rebonato - Journal of Derivatives, 2020 - academia.edu
The paper presents a simple and financially justifiable way to extract from today's plain
vanilla option prices the evolution of the smile surface in the (Q) measure. By combining this …
vanilla option prices the evolution of the smile surface in the (Q) measure. By combining this …