31 citations · 32 across the 4 of their papers we have counts for
5 papers
Learning Bermudans
Riccardo Aiolfi, Nicola Moreni, Marco Bianchetti +2
American and Bermudan-type financial instruments are often priced with specific Monte Carlo techniques whose efficiency critically depends on the effective dimensionality of the pr…
FX Modelling in Collateralized Markets: foreign measures, basis curves, and pricing formulae
Nicola Moreni, Andrea Pallavicini
We present a general derivation of the arbitrage-free pricing framework for multiple-currency collateralized products. We include the impact on option pricing of the policy adopted…
Parsimonious HJM Modelling for Multiple Yield-Curve Dynamics
Nicola Moreni, Andrea Pallavicini
For a long time interest-rate models were built on a single yield curve used both for discounting and forwarding. However, the crisis that has affected financial markets in the las…
Pricing Exotic Options in a Path Integral Approach
G. Bormetti, G. Montagna, N. Moreni +1
In the framework of Black-Scholes-Merton model of financial derivatives, a path integral approach to option pricing is presented. A general formula to price European path dependent…
A Path Integral Way to Option Pricing
G. Montagna, O. Nicrosini, N. Moreni
An efficient computational algorithm to price financial derivatives is presented. It is based on a path integral formulation of the pricing problem. It is shown how the path integr…