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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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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/10003379121
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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. 309-331
Persistent link: https://www.econbiz.de/10003396206
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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. 573-593
Persistent link: https://www.econbiz.de/10009311691
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Solving the puzzle in the interest rate market
Morini, Massimo - In: Interest rate modelling after the financial crisis, (pp. 61-105). 2013
Persistent link: https://www.econbiz.de/10011456960
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Counterparty risk pricing : impact of closeout and first-to-default times
Brigo, Damiano; Buescu, Cristin; Morini, Massimo - In: International journal of theoretical and applied finance 15 (2012) 6, pp. 1-23
Persistent link: https://www.econbiz.de/10009672601
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Decentralized financial market infrastructures : evolution from intermediated structures to decentralized structures for financial agreements
Feenan, Sara; Heller, Daniel; Lipton, Alexander; … - In: The journal of FinTech 1 (2021) 2, pp. 2150002-1-2150002-42
Persistent link: https://www.econbiz.de/10013174979
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The LIBOR model dynamics: Approximations, calibration and diagnostics
Brigo, Damiano; Mercurio, Fabio; Morini, Massimo - In: European Journal of Operational Research 163 (2005) 1, pp. 30-51
Persistent link: https://www.econbiz.de/10005337779
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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