Marco Tarenghi

Mediobanca

Piazzetta Enrico Cuccia, 1

Milano, MI 20121

Italy

SCHOLARLY PAPERS

4

DOWNLOADS
Rank 12,908

SSRN RANKINGS

Top 12,908

in Total Papers Downloads

3,715

SSRN CITATIONS
Rank 17,008

SSRN RANKINGS

Top 17,008

in Total Papers Citations

2

CROSSREF CITATIONS

46

Scholarly Papers (4)

1.

Interest-Rate Modeling with Multiple Yield Curves

Number of pages: 27 Posted: 26 Jun 2010
Andrea Pallavicini and Marco Tarenghi
Banca IMI and Mediobanca
Downloads 1,593 (10,687)
Citation 30

Abstract:

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Yield Curve Bootstrap, Yield Curve Interpolation, Discounting Curve, Multi-Curve Framework, Gaussian Models, HJM Framework, Interest Rate Derivatives, Basis Swaps, CMS Swaps, CMS Spread Options, Counterparty Risk, Liquidity Risk

2.

Credit Default Swap Calibration and Equity Swap Valuation Under Counterparty Risk with a Tractable Structural Model

Number of pages: 36 Posted: 25 Aug 2004
Damiano Brigo and Marco Tarenghi
Imperial College London - Department of Mathematics and Mediobanca
Downloads 1,354 (13,843)
Citation 23

Abstract:

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Credit Derivatives, Structural Models, Black Cox Model, Credit Default Swaps, Calibration, Analytical Tractability, Monte Carlo Simulation, Equity Swaps, Counterparty Risk, Barrier Options

3.

Credit Default Swap Calibration and Counterparty Risk Valuation with a Scenario Based First Passage Model

Number of pages: 22 Posted: 06 Apr 2005
Damiano Brigo and Marco Tarenghi
Imperial College London - Department of Mathematics and Mediobanca
Downloads 421 (69,116)
Citation 10

Abstract:

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Credit Derivatives, Structural Models, Black Cox Model, Credit Default Swaps, Calibration, Analytical Tractability, Monte Carlo Simulation, Equity Return Swaps, Counterparty Risk, Barrier Options, Scenario Default Barrier, Scenario Volatility

4.

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 347 (86,618)
Citation 5

Abstract:

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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