BGM Market Models - Advances, Calibration, Smile, Pricing

Lecturer

Massimo Morini has experience in financial consulting and teaching in both academies and banks. He began working in mathematical finance as a financial modeller at IMI Bank; he then moved into academic research in Milan and London, while continuing to collaborate with IMI Bank, and in particular with Damiano Brigo and Fabio Mercurio. His publications deal with different aspects of quantitative finance, computational methods for Libor Market Models, correlation modelling, tractable models for smile and credit modelling.

Massimo teaches interest rate modelling and credit modelling on various quantitative finance masters courses and on international courses in London, New York and Hong Kong. He also teaches mathematical finance at Milan University. He was formally a research fellow at London's City University, where he worked with Professor Nick Webber.