31 citations · 32 across the 4 of their papers we have counts for
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q-fin.PR2021
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…
q-fin.PR2015
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…
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…