Nicola Moreni

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All published works

Action	Title	Year	Authors
+	Learning Bermudans	2021	Riccardo Aiolfi Nicola Moreni Marco Bianchetti Marco Scaringi F. Fogliani
+	FX Modelling in Collateralized Markets: foreign measures, basis curves, and pricing formulae	2015	Nicola Moreni Andrea Pallavicini
+ PDF Chat	FX Modelling in Collateralized Markets: Foreign Measures, Basis Curves, and Pricing Formulae	2015	Nicola Moreni Andrea Pallavicini
+	FX Modelling in Collateralized Markets: foreign measures, basis curves, and pricing formulae	2015	Nicola Moreni Andrea Pallavicini
+ PDF Chat	Parsimonious HJM modelling for multiple yield curve dynamics	2013	Nicola Moreni Andrea Pallavicini
+ PDF Chat	Parsimonious HJM Modelling for Multiple Yield-Curve Dynamics	2010	Nicola Moreni Andrea Pallavicini
+	Parsimonious HJM Modelling for Multiple Yield-Curve Dynamics	2010	Nicola Moreni Andrea Pallavicini
+ PDF Chat	Pricing exotic options in a path integral approach	2006	Giacomo Bormetti G. Montagna Nicola Moreni O. Nicrosini
+	Pricing Exotic Options in a Path Integral Approach	2004	Giacomo Bormetti G. Montagna Nicola Moreni O. Nicrosini
+	A variance reduction technique for American option pricing	2004	Nicola Moreni
+	Pricing Exotic Options in a Path Integral Approach	2004	Giacomo Bormetti G. Montagna Nicola Moreni O. Nicrosini
+ PDF Chat	A path integral way to option pricing	2002	G. Montagna O. Nicrosini Nicola Moreni

Common Coauthors

Coauthor	Papers Together
Andrea Pallavicini	6
G. Montagna	4
O. Nicrosini	4
Giacomo Bormetti	3
F. Fogliani	1
Riccardo Aiolfi	1
Marco Scaringi	1
Marco Bianchetti	1

Commonly Cited References

Action	Title	Year	Authors	# of times referenced
+ PDF Chat	A Perturbative Moment Approach to Option Pricing	2004	Marco Airoldi	2
+ PDF Chat	A PATH INTEGRAL APPROACH TO DERIVATIVE SECURITY PRICING II: NUMERICAL METHODS	2002	M. Rosa-Clot Stefano Taddei	2
+ PDF Chat	Path Dependent Option Pricing: The Path Integral Partial Averaging Method	2000	Andrew Matacz	2
+ PDF Chat	FINANCIAL MODELING AND OPTION THEORY WITH THE TRUNCATED LEVY PROCESS	2000	Andrew Matacz	2
+ PDF Chat	Path-dependent option pricing: the path integral partial averaging method	2002	Andrew Matacz	2
+ PDF Chat	A PATH INTEGRAL APPROACH TO DERIVATIVE SECURITY PRICING I: FORMALISM AND ANALYTICAL RESULTS	1999	ELEONORA BENNATI M. Rosa-Clot Stefano Taddei	2
+ PDF Chat	Collateral Margining in Arbitrage-Free Counterparty Valuation Adjustment Including Re-Hypotecation and Netting	2011	Damiano Brigo Agostino Capponi Andrea Pallavicini Vasileios Papatheodorou	2
+ PDF Chat	Old and new approaches to LIBOR modeling	2010	Antonis Papapantoleon	2
+	Calibration of Lévy Term Structure Models	2007	Ernst Eberlein Wolfgang Kluge	2
+ PDF Chat	A Path Integral Approach to Option Pricing with Stochastic Volatility: Some Exact Results	1997	Belal E. Baaquie	2
+ PDF Chat	Invariance, Existence and Uniqueness of Solutions of Nonlinear Valuation PDEs and FBSDEs Inclusive of Credit Risk, Collateral and Funding Costs	2015	Damiano Brigo Marco Francischello Andrea Pallavicini	2
+ PDF Chat	Multifractal random walk	2001	Emmanuel Bacry J. Delour J. F. Muzy	1
+	The Black-Scholes option pricing problem in mathematical finance: generalization and extensions for a large class of stochastic processes	1994	Jean‐Philippe Bouchaud Didier Sornette	1
+ PDF Chat	Funding, Collateral and Hedging: Uncovering the Mechanics and the Subtleties of Funding Valuation Adjustments	2012	Andrea Pallavicini Daniele Perini Damiano Brigo	1
+ PDF Chat	Interest-Rate Modelling in Collateralized Markets: Multiple Curves, Credit-Liquidity Effects, CCPs	2013	Andrea Pallavicini Damiano Brigo	1
+ PDF Chat	Financial Modeling and Option Theory with the Truncated Levy Process	2000	Andrew Matacz	1
+ PDF Chat	Funding Valuation Adjustment: A Consistent Framework Including CVA, DVA, Collateral, Netting Rules and Re-Hypothecation	2011	Andrea Pallavicini Daniele Perini Damiano Brigo	1
+ PDF Chat	A theory of non-Gaussian option pricing	2007	Lisa Borland	1
+ PDF Chat	Interest-Rate Modeling with Multiple Yield Curves	2010	Andrea Pallavicini Marco Tarenghi	1
+ PDF Chat	The skewed multifractal random walk with applications to option smiles	2002	Benoît Pochart Jean‐Philippe Bouchaud	1
+	Path Dependent Option Pricing: the path integral partial averaging method	2000	Andrew Matacz	1
+ PDF Chat	The Path Integral Approach to Financial Modeling and Options Pricing	1997	Vadim Linetsky	1
+ PDF Chat	A path integral way to option pricing	2002	G. Montagna O. Nicrosini Nicola Moreni	1
+ PDF Chat	Option pricing and perfect hedging on correlated stocks	2003	Josep Maria Mata Perelló Jaume Masoliver	1
+ PDF Chat	Derivative pricing under asymmetric and imperfect collateralization and CVA	2013	Masaaki Fujii Akihiko Takahashi	1
+ PDF Chat	Hedged Monte-Carlo: low variance derivative pricing with objective probabilities	2001	Marc Potters Jean‐Philippe Bouchaud Dragan Šestović	1
+ PDF Chat	A general framework for the benchmark pricing in a fully collateralized market	2016	Masaaki Fujii Akihiko Takahashi	1
+	Funding Valuation Adjustment: a consistent framework including CVA, DVA, collateral,netting rules and re-hypothecation	2011	Andrea Pallavicini Daniele Perini Damiano Brigo	1
+ PDF Chat	A Heuristic Pricing and Hedging Framework for Multicurrency Fixed-Income Desks	2017	Eduard Giménez Alberto Elices Giovanna Villani	1
+ PDF Chat	High-resolution path-integral development of financial options	2000	Lester Ingber	1
+	Path Integrals in Physics	2001	Масуд Чайчиан A Demichev	1
+	Financial Modeling and Option Theory with the Truncated Levy Process	1997	Andrew Matacz	1
+	Path integrals in physics	2001	Масуд Чайчиан Andrey Demichev	1
+ PDF Chat	A GENERAL METHODOLOGY TO PRICE AND HEDGE DERIVATIVES IN INCOMPLETE MARKETS	2000	Erik Aurell Roberto Baviera Ola Hammarlid Maurizio Serva Angelo Vulpiani	1
+	Monte Carlo Methods in Financial Engineering	2003	Paul Glasserman	1
+	Path Integral Methods for Parabolic Partial Differential Equations with Examples from Computational Finance	2004	Andrew Lyasoff	1
+ PDF Chat	Financial market dynamics	2003	Fredrick Michael Michael D. Johnson	1
+ PDF Chat	Hamiltonian and potentials in derivative pricing models: exact results and lattice simulations	2003	Belal E. Baaquie Claudio Corianò Srikant Marakani	1
+ PDF Chat	Wiener and integration in function spaces	1966	Mark Kac	1
+ PDF Chat	A CORRELATED STOCHASTIC VOLATILITY MODEL MEASURING LEVERAGE AND OTHER STYLIZED FACTS	2002	Jaume Masoliver Josep Maria Mata Perelló	1
+	Stochastic Process with Ultraslow Convergence to a Gaussian: The Truncated Lévy Flight	1994	Rosario N. Mantegna H. Eugene Stanley	1
+	The Average of an Analytic Functional	1921	Norbert Wiener	1