2 papers
q-fin.PR2010
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…
cond-mat.other2004
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…