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CUTTING EDGE - Derivatives pricing - Risky funding with counterparty and liquidity charges - Standard techniques for incorporating liquidity costs into the fair value of derivative...
Morini, Massimo; Prampolini, Andrea - In: Risk : managing risk in the world's financial markets 24 (2011) 3, pp. 70-76
Persistent link: https://www.econbiz.de/10008928341
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CUTTING EDGE: Credit derivatives - Structural credit calibration - The authors introduce first-passage models with time-varying volatility and random default barriers, while illust...
Brigo, Damiano; Morini, Massimo - In: Risk : managing risk in the world's financial markets 19 (2006) 4, pp. 78-83
Persistent link: https://www.econbiz.de/10007271019
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EFFICIENT ANALYTICAL CASCADE CALIBRATION OF THE LIBOR MARKET MODEL WITH ENDOGENOUS INTERPOLATION
Brigo, Damiano; Morini, Massimo - In: The journal of derivatives : the official publication … 14 (2006) 1, pp. 40-60
Persistent link: https://www.econbiz.de/10007296022
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The LIBOR model dynamics: Approximations, calibration and diagnostics
Brigo, Damiano; Mercurio, Fabio; Morini, Massimo - In: European journal of operational research : EJOR 163 (2005) 1, pp. 30-51
Persistent link: https://www.econbiz.de/10006641727
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An EZI Method to Reduce the Rank of a Correlation Matrix in Financial Modelling
Morini, Massimo; Webber, Nick - In: Applied mathematical finance 13 (2006) 4, pp. 309-332
Persistent link: https://www.econbiz.de/10008222266
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CUTTING EDGE - Interest rates - Joining the SABR and Libor models together - The authors propose a Libor market model consistent with SABR dynamics and develop approximations that...
Mercurio, Fabio; Morini, Massimo - In: Risk : managing risk in the world's financial markets 22 (2009) 3, pp. 80-85
Persistent link: https://www.econbiz.de/10008233229
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NO‐ARMAGEDDON MEASURE FOR ARBITRAGE‐FREE PRICING OF INDEX OPTIONS IN A CREDIT CRISIS
Morini, Massimo; Brigo, Damiano - In: Mathematical finance : an international journal of … 21 (2011) 4, pp. 573-594
Persistent link: https://www.econbiz.de/10009258254
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Credit derivatives - Last option before the armageddon - The authors show how the pricing of credit index options depends on the probability of a financial portfolio 'armageddon'....
Brigo, Damiano; Morini, Massimo - In: Risk : managing risk in the world's financial markets 22 (2009) 9, pp. 118-123
Persistent link: https://www.econbiz.de/10008314646
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Credit risk - Close-out convention tensions
Brigo, Damiano; Morini, Massimo - In: Risk : managing risk in the world's financial markets 24 (2011) 12, pp. 74-79
Persistent link: https://www.econbiz.de/10009814479