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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 derivatives produce counter-intuitive results when the credit risk of the counterparty and the investor are added to the picture. Here, the authors show that a consistent framework can only be achieved by giving an explicit ...

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

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

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

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'. They introduce a new equivalent pricing measure that lays the foundation for a market model framework in multi-name credit risk, leading also to practical implementation advantages. Examples show the formula has become ...

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

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

CUTTING EDGE: Credit derivatives - Structural credit calibration - The authors introduce first-passage models with time-varying volatility and random default barriers, while illustrating their tractability, exact calibration and economic interpretation. The models' behaviour on Parmalat data prior to default is analysed. These models may compete with traditionally easier-to-calibrate reduced-form ...

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

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

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

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 allow for the use of the SABR formula with modified inputs. They verify that the approximations are acceptably precise, imply good fitting of market data and produce regular Libor rate parameters. They finally show 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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