Nicola Moreni

Banca IMI

Largo Raffaele Mattioli 3

Milano, 20121

Italy

SCHOLARLY PAPERS

3

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2,042

CITATIONS
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18

Scholarly Papers (3)

1.

A Multi-Factor SABR Model for Forward Inflation Rates

Bloomberg Portfolio Research Paper No. 2009-08-FRONTIERS
Number of pages: 19 Posted: 05 Feb 2009 Last Revised: 08 Apr 2010
Fabio Mercurio and Nicola Moreni
Bloomberg L.P. and Banca IMI
Downloads 1,483 (11,701)
Citation 2

Abstract:

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Inflation, SABR dynamics, closed-form formulas, calibration

2.

Parsimonious HJM Modelling for Multiple Yield-Curve Dynamics

Number of pages: 25 Posted: 29 Oct 2010 Last Revised: 07 May 2013
Nicola Moreni and Andrea Pallavicini
Banca IMI and Banca IMI
Downloads 372 (78,673)
Citation 18

Abstract:

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Yield Curve Dynamics, Multi-Curve Framework, Gaussian Models, HJM Framework, Interest Rate Derivatives, Basis Swaps, Counterparty Risk, Liquidity Risk

3.

FX Modelling in Collateralized Markets: Foreign Measures, Basis Curves, and Pricing Formulae

Number of pages: 33 Posted: 19 Aug 2015 Last Revised: 17 Sep 2015
Nicola Moreni and Andrea Pallavicini
Banca IMI and Banca IMI
Downloads 187 (160,652)
Citation 1

Abstract:

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Arbitrage-Free Pricing, Collateral, Collateral Convexity, Funding Costs, Funding Policy, Foreign Currency, FX Market, FX Swap, Cross-Currency Swap, Curve Boot- strapping, Multiple Currencies, Currency Triplets