Selected Publications
Books
Counterparty Credit Risk, Collateral and Funding: With Pricing Cases for All Asset Classes D. Brigo, M. Morini, A. Pallavicini, John Wiley & Sons, 2013.
Interest Rate Modelling After the Financial Crisis
M. Morini, M. Bianchetti (Editors), Risk Books, 2013.
Understanding and Managing Model Risk: A Practical Guide for Quants, Traders, and Validators
M. Morini, John Wiley & Sons, 2011.
Selected Papers
Towards A Capital Efficient Digital Currency A. Prampolini, M. Morini, The FinReg Blog, Duke Financial Economics Center, 2023
Decentralized Financial Market Infrastructures S. Feenan, D. Heller, A. Lipton, M. Morini, et al. The Journal of FinTech, Vol. 1 (02), 2021
Blockchain for Risk Management M. Morini, P. Tasca, Harvard Business Review, AP Vol. January, 2017
From Blockchain Hype to a Real Business Case for Financial Markets M. Morini, Journal of Financial Transformation, vol. 45, 2017
Smart Derivatives can cure XVA headaches with R. Sams, Risk Magazine, 2015
Interest Rate Modelling in the Multi-Curve Framework M. Morini Quantitative Finance, Vol. 16 (2), 2016
Counterparty risk pricing: Impact of closeout and first-to-default times D Brigo, C Buescu, M Morini, International Journal of Theoretical and Applied Finance 15 (06), 2014
No‐armageddon measure for arbitrage‐free pricing of index options in a credit crisis M. Morini, D. Brigo, Mathematical Finance, 2011
Hedging Efficiently Under Correlation R. Daluiso, M. Morini Quantitative Finance, Vol. 17 (10), 2017
Risky Funding with Counterparty and Liquidity Charges M. Morini, A. Prampolini, Risk, Vol. 24 (3), 2011
Joining the SABR and LIBOR Models Together F. Mercurio, M. Morini, Risk, Vol. 22 (3), 2009
What did not work in securitization E. Barucci, M. Morini, in After the Shock, Bocconi Ed. 2009
Efficient Analytical Cascade Calibration of the LIBOR Market Model D. Brigo, M. Morini, Journal of Derivatives, Vol. 14 (1), 2006
The LIBOR Model Dynamics: Approximations, Calibration and Diagnostics D. Brigo, F. Mercurio, M. Morini, European Journal of Operational Research, Vol. 163 (1), 2005
An EZI Method to Reduce the Rank of a Correlation Matrix in Financial Modelling M. Morini, N. Webber, Applied Mathematical Finance, Vol. 13 (4), 2006
