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Brigo, Damiano
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Risk : managing risk in the world's financial markets
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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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2
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
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3
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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4
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
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5
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
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6
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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7
A NOTE ON THE EFFECTS OF TAXES ON OPTIMAL INVESTMENT
Buescu, Cristin
;
Cadenillas, Abel
;
Pliska, Stanleyr
- In:
Mathematical finance : an international journal of …
17
(
2007
)
4
,
pp. 477-486
Persistent link: https://www.econbiz.de/10008221614
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8
AN APPLICATION OF THE METHOD OF MOMENTS TO RANGE-BASED VOLATILITY ESTIMATION USING DAILY HIGH, LOW, OPENING, AND CLOSING (HLOC) PRICES
BUESCU, CRISTIN
;
TAKSAR, MICHAEL
;
KONÉ, FATOUMATA J.
- In:
International journal of theoretical and applied finance
16
(
2013
)
5
Persistent link: https://www.econbiz.de/10010155221
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9
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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10
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
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