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Massimo Morini

Banca IMI

Corso Matteotti 6

20121 Milano, 20100

Italy

Bocconi University

Via Sarfatti, 25

Milan, MI 20136

Italy

SCHOLARLY PAPERS

19

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18,512

CITATIONS
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SSRN RANKINGS

Top 6,328

in Total Papers Citations

78

Scholarly Papers (19)

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1.

Solving the Puzzle in the Interest Rate Market

Number of pages: 45 Posted: 15 Nov 2009 Last Revised: 18 Nov 2009
Massimo Morini
Banca IMI
Downloads 3,622 (1,808)
Citation 19

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

2.

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 Banca IMI
Downloads 2,241 (4,831)
Citation 5

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Libor Market Model, swaptions, calibration, cascade calibration

3.

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
Banca IMI and Bloomberg L.P.
Downloads 2,116 (5,189)
Citation 6

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

4.

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 Banca IMI
Downloads 1,334 (10,259)
Citation 1

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hedging, local volatility, stochastic volatility, sabr

5.

Risky Funding: A Unified Framework for Counterparty and Liquidity Charges

Number of pages: 15 Posted: 02 Sep 2010
Massimo Morini and Andrea Prampolini
Banca IMI and Banca IMI
Downloads 1,209 (11,123)
Citation 19

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

6.

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 Banca IMI
Downloads 753 (14,462)
Citation 2

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credit option, subprime, correlation, market models, arbitrage

7.

A Note on Correlation in Stochastic Volatility Term Structure Models

Number of pages: 8 Posted: 02 Oct 2007
Massimo Morini and Fabio Mercurio
Banca IMI and Bloomberg L.P.
Downloads 481 (49,798)
Citation 5

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correlation, stochastic volatility, libor market model

8.

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 Banca IMI
Downloads 410 (55,084)
Citation 11

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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

9.

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, Banca IMI and Mediobanca
Downloads 276 (81,624)
Citation 1

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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

10.

One More Model Risk When Using Gaussian Copula for Risk Management

Number of pages: 8 Posted: 08 Dec 2009
Massimo Morini
Banca IMI
Downloads 262 (96,011)
Citation 2

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11.

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
Banca IMI
Downloads 198 (66,250)

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price stability, Bitcoin, financial intermediaries, monetary policy

12.

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 Banca IMI
Downloads 194 (115,325)
Citation 2

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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

13.

Hedging Efficiently Under Correlation

Number of pages: 23 Posted: 26 May 2015 Last Revised: 16 Jan 2016
Roberto Daluiso and Massimo Morini
Banca IMI and Banca IMI
Downloads 25 (208,340)

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

14.

No‐Armageddon Measure for Arbitrage‐Free Pricing of Index Options in a Credit Crisis

Mathematical Finance, Vol. 21, Issue 4, pp. 573-593, 2011
Number of pages: 21 Posted: 23 Aug 2011
Massimo Morini and Damiano Brigo
Banca IMI and Imperial College London - Department of Mathematics
Downloads 2 (568,852)
Citation 5
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credit index options, subfiltrations, credit crunch, default correlation, market models, arbitrage

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16.

Efficient Initial Margin

Number of pages: 17 Posted: 19 Jul 2017
Roberto Daluiso, Giorgio Facchinetti and Massimo Morini
Banca IMI, Banca IMI and Banca IMI
Downloads 0 (182,718)

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

17.

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

Number of pages: 11 Posted: 07 Apr 2016
Massimo Morini
Banca IMI
Downloads 0 (5,641)

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18.

Derivatives Hedging, Capital and Leverage

Number of pages: 20 Posted: 06 Dec 2015 Last Revised: 24 Jan 2017
Andrea Prampolini and Massimo Morini
Banca IMI and Banca IMI
Downloads 0 (92,779)

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

19.

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 Banca IMI
Downloads 0 (336,904)

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