Presentation of the Partner

PIMCO is a global investment management firm with a singular focus on preserving and enhancing investors’ assets.

We manage investments for institutions, financial advisors and individuals. The institutions we serve include corporations, central banks, universities, endowments and foundations, and public and private pension and retirement plans. We also serve advisors and individuals set on personal financial goals, from preparing for retirement to funding higher education.

For more than four decades, our mission has been grounded in a holistic investment process designed to apply rigorous top-down and bottom-up analysis of inputs to identify investment opportunities and risks. Since our founding in Newport Beach, California, in 1971, we have grown into a team of about 2,200 dedicated professionals, with offices in 11 countries and trading operations in North America, Europe and Asia. We have an established reputation of innovation, and we continue to evolve as a provider of investment solutions across all asset classes.


Presentation of the Partnership


Professor R. Rebonato will conduct research work in the areas work in the areas of cross-sectional and time-series analysis of risk premia in fixed-income markets.

The topics covered the broad areas of:

  • Relative valuation of volatility products, such as swaptions and other interest rate and foreign exchange derivatives instruments, with special attention to the consistency of volatility estimation implied by the different instruments, and the pricing inconsistency (and hence trading opportunities) potentially presented in the volatility markets;
  • Estimation of volatility risk premia embedded in interest rate derivatives products ;
  • Pricing and relative valuation of new instruments as needed
  • Affine term-structure modelling under both the physical and risk neutral measures, with special attention devoted to topics such as the estimation of risk premia, the effects of very low interest rates on the extraction of expectations and risk premia, the value of convexity;