Nicola Moreni

Intesa Sanpaolo, CIB Division, Global Markets

Head of IR&Credit models

Largo R.Mattioli 3

P.O. BOX 8319

Milan, Milan 20121

Italy

SCHOLARLY PAPERS

4

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2,765

SSRN CITATIONS
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SSRN RANKINGS

Top 40,479

in Total Papers Citations

3

CROSSREF CITATIONS

16

Scholarly Papers (4)

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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 Intesa Sanpaolo, CIB Division, Global Markets
Downloads 1,745 (16,140)
Citation 2

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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
Intesa Sanpaolo, CIB Division, Global Markets and Intesa Sanpaolo
Downloads 433 (108,638)
Citation 19

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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
Intesa Sanpaolo, CIB Division, Global Markets and Intesa Sanpaolo
Downloads 427 (110,382)

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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

4.

Learning Bermudans

Number of pages: 24 Posted: 05 May 2021
Riccardo Aiolfi, Nicola Moreni, Marco Bianchetti, Marco Scaringi and filippo fogliani
Dipartimento di Fisica, Università degli Studi di Milano, Intesa Sanpaolo, CIB Division, Global Markets, Intesa Sanpaolo - Financial and Market Risk Management, Intesa Sanpaolo - Financial and Market Risk Management and Intesa SanPaolo SpA - Financial and Market Risk Management Department
Downloads 160 (294,527)

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Bermudan, Swaptions, Pricing, Interest Rates, Derivatives, Least Square, Monte Carlo, Hull-White model, G1++, Machine Learning, Supervised Learning, Neural Networks, Ridge, Support Vector Machine, Decision Tree, Random Forest, Gradient Boosted Regression Tree, K-Nearest Neighbours, Regression, Hedgi