View source for 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