Massimo Morini

Algorand Foundation

Chief Economist

1 George Street

049145

Singapore

Bocconi University

Via Sarfatti, 25

Milan, MI 20136

Italy

SCHOLARLY PAPERS

22

DOWNLOADS
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Top 2,550

in Total Papers Downloads

26,226

TOTAL CITATIONS
Rank 12,889

SSRN RANKINGS

Top 12,889

in Total Papers Citations

178

Scholarly Papers (22)

1.

Solving the Puzzle in the Interest Rate Market

Number of pages: 45 Posted: 15 Nov 2009 Last Revised: 18 Nov 2009
Massimo Morini
Algorand Foundation
Downloads 4,679 (4,351)
Citation 58

Abstract:

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basis swaps, FRA, credit crisis, counterparty risk, multicurve term structure modelling, liquidity

2.

From 'Blockchain Hype' to a Real Business Case for Financial Markets

Number of pages: 11 Posted: 07 Apr 2016 Last Revised: 31 Oct 2018
Massimo Morini
Algorand Foundation
Downloads 3,263 (7,809)
Citation 6

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3.

An Empirically Efficient Analytical Cascade Calibration of the Libor Market Model Based Only on Directly Quoted Swaptions Data

Number of pages: 45 Posted: 02 Jun 2004
Damiano Brigo and Massimo Morini
Imperial College London - Department of Mathematics and Algorand Foundation
Downloads 2,626 (10,977)
Citation 3

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Libor Market Model, swaptions, calibration, cascade calibration

4.

No-Arbitrage Dynamics for a Tractable SABR Term Structure Libor Model

Bloomberg Portfolio Research Paper No. 2010-03-FRONTIERS
Number of pages: 20 Posted: 02 Oct 2007 Last Revised: 22 Jun 2016
Massimo Morini and Fabio Mercurio
Algorand Foundation and Bloomberg L.P.
Downloads 2,447 (12,261)
Citation 1

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stochastic volatility, SABR, no-arbitrage,libor market model, BGM

5.

Arbitrage-Free Pricing of Credit Index Options: The No-Armageddon Pricing Measure and the Role of Correlation after the Subprime Crisis

Number of pages: 25 Posted: 03 Jan 2008 Last Revised: 22 Jun 2016
Damiano Brigo and Massimo Morini
Imperial College London - Department of Mathematics and Algorand Foundation
Downloads 1,995 (17,037)
Citation 1

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credit option, subprime, correlation, market models, arbitrage

6.

Managing Derivatives on a Blockchain. A Financial Market Professional Implementation

Number of pages: 20 Posted: 29 Nov 2017 Last Revised: 09 Jan 2019
Massimo Morini
Algorand Foundation
Downloads 1,992 (17,086)
Citation 4

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7.

Risky Funding: A Unified Framework for Counterparty and Liquidity Charges

Number of pages: 15 Posted: 02 Sep 2010
Massimo Morini and Andrea Prampolini
Algorand Foundation and Intesa SanPaolo SpA
Downloads 1,863 (19,023)
Citation 45

Abstract:

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funding, liquidity, counterparty risk, DVA, CVA, basis

8.

A Note on Hedging with Local and Stochastic Volatility Models

Number of pages: 13 Posted: 03 Nov 2008 Last Revised: 22 Jun 2016
Fabio Mercurio and Massimo Morini
Bloomberg L.P. and Algorand Foundation
Downloads 1,764 (20,691)
Citation 3

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hedging, local volatility, stochastic volatility, sabr

9.

Derivatives Hedging, Capital and Leverage

Number of pages: 19 Posted: 06 Dec 2015 Last Revised: 20 Jul 2018
Andrea Prampolini and Massimo Morini
Intesa SanPaolo SpA and Algorand Foundation
Downloads 709 (75,967)
Citation 4

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derivatives, hedging, capital, leverage, KVA, CVA, DVA, FVA, XVA, Basel III

10.

Inv/Sav Wallets and the Role of Financial Intermediaries in a Digital Currency

Number of pages: 34 Posted: 29 Jun 2014 Last Revised: 06 Aug 2014
Massimo Morini
Algorand Foundation
Downloads 674 (80,902)
Citation 2

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price stability, Bitcoin, financial intermediaries, monetary policy

11.

Dangers of Bilateral Counterparty Risk: The Fundamental Impact of Closeout Conventions

Number of pages: 24 Posted: 18 Nov 2010 Last Revised: 22 Feb 2011
Damiano Brigo and Massimo Morini
Imperial College London - Department of Mathematics and Algorand Foundation
Downloads 612 (91,541)
Citation 25

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Bilateral Counterparty Risk, Credit Valuation Adjustment, Debit Valuation Adjustment, Closeout, Default Contagion, Bond Pricing, Default Correlation, Co-monotonic Defaults, Collateral Modeling

12.

A Note on Correlation in Stochastic Volatility Term Structure Models

Number of pages: 8 Posted: 02 Oct 2007
Massimo Morini and Fabio Mercurio
Algorand Foundation and Bloomberg L.P.
Downloads 610 (91,953)
Citation 1

Abstract:

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correlation, stochastic volatility, libor market model

13.

Efficient Initial Margin

Number of pages: 17 Posted: 19 Jul 2017
Roberto Daluiso, Giorgio Facchinetti and Massimo Morini
Intesa SanPaolo SpA, Banca IMI and Algorand Foundation
Downloads 467 (127,767)
Citation 1

Abstract:

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mva,initial margin, cauchy-schwartz, P and Q

14.

Credit Calibration with Structural Models: The Lehman Case and Equity Swaps Under Counterparty Risk

Number of pages: 21 Posted: 04 Jan 2010
Damiano Brigo, Massimo Morini and Marco Tarenghi
Imperial College London - Department of Mathematics, Algorand Foundation and Mediobanca
Downloads 462 (129,440)
Citation 5

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Credit Default Swaps, Structural Models, Black Cox Model, Calibration, Analytical Tractability, Monte Carlo Simulation, Equity Return Swaps, Counterparty Risk, Barrier Options, Uncertain Credit Quality, Lehman Brothers Default

15.

One More Model Risk When Using Gaussian Copula for Risk Management

Number of pages: 8 Posted: 08 Dec 2009
Massimo Morini
Algorand Foundation
Downloads 396 (155,010)
Citation 4

Abstract:

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16.

Hedging Efficiently Under Correlation

Number of pages: 23 Posted: 26 May 2015 Last Revised: 16 Jan 2016
Roberto Daluiso and Massimo Morini
Intesa SanPaolo SpA and Algorand Foundation
Downloads 383 (160,902)
Citation 1

Abstract:

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hedging, correlation, CVA, Credit Value Adjustment, risk-aversion, transaction costs

17.

Impact of the First to Default Time on Bilateral CVA

Number of pages: 14 Posted: 21 Jun 2011
Damiano Brigo, Cristin Buescu and Massimo Morini
Imperial College London - Department of Mathematics, King's College London, Department of Mathematics and Algorand Foundation
Downloads 372 (166,239)
Citation 14

Abstract:

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Credit Valuation Adjustment, Unilateral CVA, Bilateral CVA, Simplified Bilateral CVA, Debit Valuation Adjustment, Closeout, Equity Forward Contract, Zero coupon bond, Bivariate exponential distributions, Gumbel bivariate exponential distributions

18.

Blockchain as Commons: Applying Ostrom’s Polycentric Approach to Blockchain Governance

Number of pages: 30 Posted: 02 Dec 2022
University of Pennsylvania, Algorand Foundation, Algorand Foundation and Massachusetts Institute of Technology
Downloads 358 (173,389)

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decentralization, decentralized governance, Ostrom, blockchain, DeFi, polycentricity

19.

Inside Digital Currency

Number of pages: 19 Posted: 14 Dec 2022
Massimo Morini and Andrea Prampolini
Algorand Foundation and Intesa SanPaolo SpA
Downloads 216 (291,115)

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CBDC, stablecoins, tokenized deposits, inside money, DLT

20.

Miss Libor

Number of pages: 5 Posted: 04 Sep 2018
Marco Bianchetti and Massimo Morini
Intesa Sanpaolo - Financial and Market Risk Management and Algorand Foundation
Downloads 197 (317,276)

Abstract:

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Libor, crisis, crunch, liquidity risk, funding risk, credit risk, counterparty risk, collateral, CSA, OIS discounting, fixed income, interest rates, interest rate derivatives, FRA, Swap, IRS, Basis Swap

21.

Efficient Pricing of Default Risk: Different Approaches for a Single Goal

Journal of Financial Transformation, No. 13, March 2005, pp. 151-160.
Number of pages: 10 Posted: 17 Nov 2015
Damiano Brigo and Massimo Morini
Imperial College London - Department of Mathematics and Algorand Foundation
Downloads 141 (423,343)

Abstract:

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Credit Default Swaps, Default Risk, Credit Risk, Intensity Models, Firm Value Models

22.

Interest Rate Modelling after the Financial Crisis

edited By Massimo Morini and Marco Bianchetti, Risk Books, 11 June 2013, ISBN 9781906348939
Posted: 04 Sep 2018 Last Revised: 10 Sep 2018
Marco Bianchetti and Massimo Morini
Intesa Sanpaolo - Financial and Market Risk Management and Algorand Foundation

Abstract:

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interest rate, interest rate market, Libor, Euribor, Eonia, financial crisis, credit crunch, financial modelling, multiple yield curve, interest rate basis, interest rate model, Libor Market Model, stochastic basis, HJM model, markovian models, short rate models,pricing, interest rate derivatives