Massimo Morini

Banca IMI

Corso Matteotti 6

20121 Milano, 20100

Italy

Bocconi University

Via Sarfatti, 25

Milan, MI 20136

Italy

SCHOLARLY PAPERS

21

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4

CROSSREF CITATIONS

135

Scholarly Papers (21)

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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 4,379 (2,778)
Citation 55

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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
Banca IMI
Downloads 2,938 (5,496)
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 Banca IMI
Downloads 2,432 (7,452)
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
Banca IMI and Bloomberg L.P.
Downloads 2,311 (8,098)
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 Banca IMI
Downloads 1,850 (11,604)

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credit option, subprime, correlation, market models, arbitrage

6.

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 1,603 (14,563)
Citation 3

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hedging, local volatility, stochastic volatility, sabr

7.

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 1,600 (14,602)
Citation 45

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

8.

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
Banca IMI
Downloads 1,510 (16,086)
Citation 4

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9.

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 545 (66,338)
Citation 1

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price stability, Bitcoin, financial intermediaries, monetary policy

10.

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 526 (69,390)
Citation 1

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correlation, stochastic volatility, libor market model

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 Banca IMI
Downloads 507 (72,562)
Citation 23

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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.

Derivatives Hedging, Capital and Leverage

Number of pages: 19 Posted: 06 Dec 2015 Last Revised: 20 Jul 2018
Andrea Prampolini and Massimo Morini
Banca IMI and Banca IMI
Downloads 476 (78,337)
Citation 4

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

13.

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 379 (102,298)
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

14.

One More Model Risk When Using Gaussian Copula for Risk Management

Number of pages: 8 Posted: 08 Dec 2009
Massimo Morini
Banca IMI
Downloads 320 (123,353)
Citation 4

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15.

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 306 (129,310)
Citation 1

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

16.

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 273 (145,721)
Citation 14

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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

17.

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 220 (179,930)
Citation 1

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

18.

Miss Libor

Number of pages: 5 Posted: 04 Sep 2018
Marco Bianchetti and Massimo Morini
Intesa Sanpaolo - Financial and Market Risk Management and Banca IMI
Downloads 104 (329,896)

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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

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 73 (409,383)

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

20.

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 3 (790,268)
Citation 1
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credit index options, subfiltrations, credit crunch, default correlation, market models, arbitrage

21.

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 Banca IMI

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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