Damiano Brigo

Q: What Schools Are Affiliated With Damiano Brigo

Damiano Brigo is affiliated with the following schools: Vrije Universiteit Amsterdam, Imperial College London, Bocconi University, King's College London

Damiano Brigo's AcademicInfluence.com Rankings

Damiano Brigo

Mathematics

#1862

World Rank

#2962

Historical Rank

Probability Theory

#56

World Rank

#78

Historical Rank

Measure Theory

#2390

World Rank

#2860

Historical Rank

mathematics Degrees

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Mathematics

Why Is Damiano Brigo Influential?

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According to Wikipedia, Damiano Brigo is a mathematician known for research in mathematical finance, filtering theory, stochastic analysis with differential geometry, probability theory and statistics, authoring more than 130 research publications and three monographs. From 2012 he serves as full professor with a chair in mathematical finance at the Department of Mathematics of Imperial College London, where he headed the Mathematical Finance group in 2012–2019. He is also a well known quantitative finance researcher, manager and advisor in the industry. His research has been cited and published also in mainstream industry publications, including Risk Magazine, where he has been the most cited author in the twenty years 1998–2017. He is often requested as a plenary or invited speaker both at academic and industry international events. Brigo's research has also been used in court as support for legal proceedings.

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Damiano Brigo's Published Works

Number of citations in a given year to any of this author's works

Total number of citations to an author for the works they published in a given year. This highlights publication of the most important work(s) by the author

Published Works

Interest-Rate Models: Theory and Practice (2001) (1376)
Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit (2001) (917)
Counterparty Risk for Credit Default Swaps: Impact of Spread Volatility and Default Correlation (2008) (186)
Counterparty Credit Risk, Collateral and Funding: With Pricing Cases For All Asset Classes (2013) (185)
Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model (2005) (158)
Lognormal-mixture dynamics and calibration to market volatility smiles (2002) (155)
ARBITRAGE‐FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS (2014) (142)
A differential geometric approach to nonlinear filtering: the projection filter (1995) (122)
Bilateral Counterparty Risk Valuation with Stochastic Dynamical Models and Application to Credit Default Swaps (2008) (119)
Calibration of CDO Tranches with the Dynamical Generalized-Poisson Loss Model (2007) (114)
Funding Valuation Adjustment: A Consistent Framework Including CVA, DVA, Collateral, Netting Rules and Re-Hypothecation (2011) (100)
Approximate nonlinear filtering by projection on exponential manifolds of densities (1999) (100)
Parameterizing correlations: a geometric interpretation (2007) (92)
A Stochastic Processes Toolkit for Risk Management (2007) (88)
Funding, Collateral and Hedging: Uncovering the Mechanics and the Subtleties of Funding Valuation Adjustments (2012) (87)
A deterministic–shift extension of analytically–tractable and time–homogeneous short–rate models (2001) (85)
Credit Models and the Crisis: A Journey into CDOs, Copulas, Correlations and Dynamic Models (2010) (83)
Counterparty Risk and Funding: A Tale of Two Puzzles (2014) (81)
Collateral Margining in Arbitrage-Free Counterparty Valuation Adjustment Including Re-Hypotecation and Netting (2011) (81)
Bilateral counterparty risk with application to CDSs (2010) (80)
AN EXACT FORMULA FOR DEFAULT SWAPTIONS’ PRICING IN THE SSRJD STOCHASTIC INTENSITY MODEL (2007) (79)
CVA Computation for Counterparty Risk Assessment in Credit Portfolios (2012) (71)
Approximated moment-matching dynamics for basket-options pricing (2004) (71)
Displaced and Mixture Diffusions for Analytically-Tractable Smile Models (2002) (68)
Market Models for CDS Options and Callable Floaters (2005) (58)
Credit Default Swap Calibration and Equity Swap Valuation Under Counterparty Risk with a Tractable Structural Model (2004) (55)
Nonlinear consistent valuation of CCP cleared or CSA bilateral trades with initial margins under credit, funding and wrong-way risks (2014) (55)
ARBITRAGE-FREE VALUATION OF BILATERAL COUNTERPARTY RISK FOR INTEREST-RATE PRODUCTS: IMPACT OF VOLATILITIES AND CORRELATIONS (2011) (54)
Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity (2011) (52)
Dangers of Bilateral Counterparty Risk: The Fundamental Impact of Closeout Conventions (2010) (51)
SMILE AT THE UNCERTAINTY (2003) (49)
Credit Default Swaps Calibration and Option Pricing with the SSRD Stochastic Intensity and Interest-Rate Model (2005) (48)
Counterparty Risk and Contingent CDS Valuation Under Correlation Between Interest-Rates and Default (2006) (44)
Impact of Robotics, RPA and AI on the Insurance Industry: Challenges and Opportunities (2017) (44)
Option pricing impact of alternative continuous-time dynamics for discretely-observed stock prices (2000) (44)
Accurate counterparty risk valuation for energy-commodities swaps (2009) (43)
Bilateral Counterparty Risk Valuation for Interest-Rate Products: Impact of Volatilities and Correlations (2009) (42)
Counterparty credit risk, collateral and funding: next generation valuation models under interconnected risks (2013) (42)
On some filtering problems arising in mathematical finance (1998) (41)
New Families of Copulas Based on Periodic Functions (2005) (40)
Interest-Rate Modelling in Collateralized Markets: Multiple Curves, Credit-Liquidity Effects, CCPs (2013) (38)
Counterparty Risk and Contingent CDS under correlation (2008) (37)
A Note on Correlation and Rank Reduction (2002) (36)
Alternative asset-price dynamics and volatility smile (2003) (35)
Forecasting Recovery Rates on Non-Performing Loans with Machine Learning (2019) (35)
Implied Expected Tranched Loss Surface from CDO Data (2007) (33)
Counterparty Credit Risk Modeling: Risk Management, Pricing and Regulation. (2005) (32)
Cluster-based extension of the generalized poisson loss dynamics and consistency with single names (2007) (32)
Credit Default Swap Calibration and Counterparty Risk Valuation with a Scenario based First Passage Model (2009) (31)
Counterparty Risk Pricing under Correlation between Default and Interest Rates (2007) (30)
Impact of the First to Default Time on Bilateral CVA (2011) (29)
A stochastic processes toolkit for risk management: Geometric Brownian motion, jumps, GARCH and variance gamma models (2009) (29)
Candidate Market Models and the Calibrated Cir++ Stochastic Intensity Model for Credit Default Swap Options and Callable Floaters (2004) (29)
A Comparison between the SSRD Model and the Market Model for CDS Options Pricing (2006) (28)
The General Mixture Diffusion Sde and its Relationship with an Uncertain-Volatility Option Model with Volatility-Asset Decorrelation (2002) (27)
Restructuring Counterparty Credit Risk (2011) (26)
PRICING COUNTERPARTY RISK INCLUDING COLLATERALIZATION, NETTING RULES, RE-HYPOTHECATION AND WRONG-WAY RISK (2013) (26)
Risk Neutral Versus Objective Loss Distribution and CDO Tranches Valuation (2007) (26)
Nonlinear Valuation Under Collateral, Credit Risk and Funding Costs: A Numerical Case Study Extending Black-Scholes (2014) (26)
Counterparty risk pricing: impact of closeout and first-to-default times (2012) (26)
Charting a Course through the CDS Big Bang (2009) (26)
NO‐ARMAGEDDON MEASURE FOR ARBITRAGE‐FREE PRICING OF INDEX OPTIONS IN A CREDIT CRISIS (2010) (26)
Structural credit calibration (2006) (25)
On the nice behaviour of the Gaussian projection filter with small observation noise (1995) (25)
COCO BONDS PRICING WITH CREDIT AND EQUITY CALIBRATED FIRST-PASSAGE FIRM VALUE MODELS (2015) (25)
The LIBOR model dynamics: Approximations, calibration and diagnostics (2005) (25)
Illustrating a Problem in the Self-Financing Condition in Two 2010-2011 Papers on Funding, Collateral and Discounting (2012) (25)
Nonlinear filtering via stochastic PDE projection on mixture manifolds in $$L^2$$L2 direct metric (2016) (24)
CDS Market Formulas and Models (2005) (24)
Analysis Of Nonlinear Valuation Equations Under Credit And Funding Effects (2016) (24)
A Stochastic Processes Toolkit for Risk Management. Mean reverting processes and jumps. (2009) (24)
Credit Derivatives Pricing with a Smile-Extended Jump Stochastic Intensity Model (2006) (23)
Counterparty Risk FAQ: Credit VaR, PFE, CVA, DVA, Closeout, Netting, Collateral, Re-Hypothecation, WWR, Basel, Funding, CCDS and Margin Lending (2011) (23)
Risk managing tail-risk seekers: VaR and expected shortfall vs S-shaped utility (2019) (22)
On Deterministic Shift Extensions of Short Rate Models (2001) (21)
Implied Volatility: A mixed up smile (2000) (21)
CoCo Bonds Valuation with Equity- and Credit-Calibrated First Passage Structural Models (2013) (21)
Constant Maturity Credit Default Swap Pricing with Market Models (2004) (21)
Discrete Time vs Continuous Time Stock-Price Dynamics and Implications for Option Pricing (2008) (20)
Nonlinear valuation under credit, funding, and margins: Existence, uniqueness, invariance, and disentanglement (2019) (20)
On the distributional distance between the lognormal LIBOR and swap market models (2005) (20)
Implied Correlation in CDO Tranches: A Paradigm to be Handled with Care (2006) (20)
Approximated Moment-Matching Dynamics for Basket-Options Simulation (2001) (19)
Analytical pricing of the smile in a forward LIBOR market model (2003) (19)
Default Correlation, Cluster Dynamics and Single Names: The GPCL Dynamical Loss Model (2007) (19)
On SDEs with marginal laws evolving in finite-dimensional exponential families (2000) (19)
Credit Models and the Crisis, or: How I Learned to Stop Worrying and Love the CDOs (2009) (18)
Projection based dimensionality reduction for measure valued evolution equations in statistical manifolds (2016) (18)
Multi Currency Credit Default Swaps: Quanto Effects and FX Devaluation Jumps (2015) (17)
A Formula for Interest Rate Swaps Valuation Under Counterparty Risk in Presence of Netting Agreements (2005) (16)
Credit models and the crisis: default cluster dynamics and the generalized Poisson loss model (2010) (16)
mixture manifolds with computer algorithms and numerical examples (2013) (16)
Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures (2018) (16)
Constant Maturity CDS valuation with market models (2006) (15)
Intrinsic stochastic differential equations as jets (2018) (15)
Risk-Neutral Valuation Under Differential Funding Costs, Defaults and Collateralization (2018) (15)
Optimal approximation of SDEs on submanifolds: the Itô‐vector and Itô‐jet projections (2016) (14)
Invariance, Existence and Uniqueness of Solutions of Nonlinear Valuation PDEs and FBSDEs Inclusive of Credit Risk, Collateral and Funding Costs (2015) (13)
An Empirically Efficient Analytical Cascade Calibration of the Libor Market Model Based Only on Directly Quoted Swaptions Data (2005) (13)
Credit Calibration with Structural Models and Equity Return Swap Valuation under Counterparty Risk (2012) (13)
Liquidity Modeling for Credit Default Swaps: An Overview (2012) (12)
A finite dimensional filter with exponential conditional density (1997) (12)
Optimal trade execution under displaced diffusions dynamics across different risk criteria (2014) (12)
Filtering and Incomplete Information in Credit Risk (2012) (12)
Coordinate-free Stochastic Differential Equations as Jets (2016) (12)
Credit Default Swaps Liquidity Modeling: A Survey (2010) (11)
Funding, repo and credit inclusive valuation as modified option pricing (2016) (11)
CDO calibration with the dynamical Generalized Poisson Loss model (2007) (11)
Counterparty Risk Valuation for Energy-Commodities Swaps: Impact of Volatilities and Correlation (2008) (11)
THE STOCHASTIC INTENSITY SSRD MODEL IMPLIED VOLATILITY PATTERNS FOR CREDIT DEFAULT SWAP OPTIONS AND THE IMPACT OF CORRELATION (2006) (11)
Arbitrage-free bilateral counterparty risk valuation under collateralization and re-hypothecation with application to CDS ∗ (2011) (11)
Arbitrage-Free Pricing of Credit Index Options: The No-Armageddon Pricing Measure and the Role of Correlation after the Subprime Crisis (2007) (11)
CCP Cleared or Bilateral CSA Trades with Initial/Variation Margins Under Credit, Funding and Wrong-Way Risks: A Unified Valuation Approach (2014) (11)
Impact of multiple curve dynamics in credit valuation adjustments under collateralization (2015) (10)
On the joint calibration of the Libor market model to caps and swaptions market volatilities É (2001) (10)
On Nonlinear SDE’S whose Densities Evolve in a Finite—Dimensional Family (1997) (10)
Wrong-Way Risk Adjusted Exposure: Analytical Approximations for Options in Default Intensity Models (2018) (10)
On the distributional distance between the Libor and the Swap market models (2003) (10)
Projecting the Fokker-Planck Equation onto a finite dimensional exponential family (2009) (9)
A Comparison between the Stochastic Intensity Ssrd Model and the Market Model for CDS Options Pricing (2004) (9)
New results on the Gaussian projection filter with small observation noise (1996) (9)
A Simple Dynamic Model for Pricing and Hedging Heterogeneous CDOs (2012) (9)
Extrinsic Projection of Itô SDEs on Submanifolds with Applications to Non-linear Filtering (2017) (8)
The Arbitrage-Free Multivariate Mixture Dynamics Model: Consistent Single-Assets and Index Volatility Smiles (2013) (8)
Disentangling Wrong-Way Risk: Pricing CVA via Change of Measures and Drift Adjustment (2016) (8)
The direct L2 geometric structure on a manifold of probability densities with applications to Filtering (2011) (8)
Markov multi-variate survival indicators for default simulation as a new characterization of the Marshall–Olkin law (2016) (8)
Credit Calibration with Structural Models: The Lehman Case and Equity Swaps Under Counterparty Risk (2009) (8)
A dynamic programming approach for pricing CDS and CDS options (2006) (8)
CCPs, Central Clearing, CSA, Credit Collateral and Funding Costs Valuation FAQ: Re-Hypothecation, CVA, Closeout, Netting, WWR, Gap-Risk, Initial and Variation Margins, Multiple Discount Curves, FVA? (2013) (8)
On the Relationship between Assumed Density Filters and Projection Filters (1996) (7)
Consistent Iterated Simulation of Multi-Variate Default Times: A Markovian Indicators Characterization (2013) (7)
Nonlinearity Valuation Adjustment (2016) (7)
Probability-free models in option pricing: statistically indistinguishable dynamics and historical vs implied volatility (2019) (6)
Optimal Execution Comparison Across Risks and Dynamics, with Solutions for Displaced Diffusions (2013) (6)
Liquidity-Adjusted Market Risk Measures with Stochastic Holding Period (2010) (6)
Last option before the armageddon (2009) (6)
Interacting Path Systems for Credit Risk (2012) (6)
Connecting univariate smiles and basket dynamics: a new multidimensional dynamics for basket options (2004) (6)
Nonlinear ﬁltering via stochastic PDE projection on mixture manifolds in L 2 direct metric (2015) (6)
Efficient Analytical Cascade Calibration of the LIBOR Market Model with Endogenous Interpolation (2006) (6)
Lognormal-Mixture Dynamics and Calibration to Volatility Smiles and Skews (2001) (5)
The ineffectiveness of coherent risk measures (2019) (5)
A Random Holding Period Approach for Liquidity-Inclusive Risk Management (2015) (5)
Arbitrage Free Credit Valuation Adjustments (2011) (5)
On the Design of Sovereign Bond-Backed Securities (2019) (5)
Nonlinear Valuation under Margining and Funding Costs with Residual Credit Risk: A Unified Approach (2016) (5)
Dierent Covariance Parameterizations of the Libor Market Model and Joint Caps/Swaptions Calibration ⁄ (2002) (5)
Rogue traders versus value-at-risk and expected shortfall (2018) (5)
Static Versus Adapted Optimal Execution Strategies in Two Benchmark Trading Models (2016) (5)
The Exponential Projection Filter and the Selection of the Exponential Family (1996) (5)
An Indifference Approach to the Cost of Capital Constraints: KVA and Beyond (2017) (4)
The multivariate mixture dynamics model: shifted dynamics and correlation skew (2015) (4)
Static vs Adapted Optimal Execution Strategies in Two Benchmark Trading Models (2016) (4)
Options on Credit Default Swaps and Credit Default Indexes (2012) (4)
Static vs Adaptive Strategies for Optimal Execution with Signals (2018) (4)
Credit Risk Contributions (2012) (3)
Consistent Single- and Multi-Step Sampling of Multivariate Arrival Times: A Characterization of Self-Chaining Copulas (2012) (3)
Interest Rate Models I (2019) (3)
Consistent Iterated Simulation of Multivariate Defaults: Markov Indicators, Lack of Memory, Extreme-Value Copulas, and the Marshall–Olkin Distribution (2018) (3)
A NOTE ON THE SELF-FINANCING CONDITION FOR FUNDING, COLLATERAL AND DISCOUNTING (2015) (3)
Interpretability in deep learning for finance: a case study for the Heston model (2021) (3)
Nonlinear Valuation with XVAs: Two Converging Approaches (2022) (3)
Option pricing models without probability (2018) (3)
Fitting volatility skews and smiles with analytical stock-price models (2000) (3)
Projections of SDEs onto submanifolds (2018) (3)
Optimal approximations of the Fokker-Planck-Kolmogorov equation: projection, maximum likelihood eigenfunctions and Galerkin methods (2016) (3)
Non‐geometric rough paths on manifolds (2020) (3)
Stochastic PDE Projection on Manifolds: Assumed-Density and Galerkin Filters (2015) (2)
Optimizing S-Shaped Utility and Implications for Risk Management (2017) (2)
On three filtering problems arising in mathematical finance (2008) (2)
Gamma-controlled pathwise hedging in generalised Black-Scholes models (2018) (2)
Coherent risk measures alone are ineffective in constraining portfolio losses (2021) (2)
Option pricing models without probability: a rough paths approach (2021) (2)
A Correlation Bridge between Structural Models and Reduced Form Models for Multiname Credit Derivatives (2005) (2)
SDEs with uniform distributions: Peacocks, conic martingales and mean reverting uniform diffusions (2016) (2)
Statistical arbitrage of coherent risk measures (2019) (2)
Quantitative Finance: Friend or Foe? (2012) (2)
An Initial Approach to Risk Management of Funding Costs (2014) (2)
Credit models and the crisis: An overview (2011) (2)
impact of spread volatility and default correlation (2008) (2)
On the consistency of jump-diffusion dynamics for FX rates under inversion (2019) (2)
An analytically tractable time-changed jump-diffusion default intensity model (2008) (2)
Itô Stochastic Differential Equations as 2-Jets (2017) (2)
Liquidity-adjusted Market Risk Measures with (2010) (2)
Nonlinearity Valuation Adjustment. Nonlinear Valuation under Collateralization, Credit Risk, & Funding Costs (2015) (2)
Other Interest-Rate Models (2001) (1)
Limits of Implied Credit Correlation Metrics Before and During the Crisis (2011) (1)
Optimal Projection Filters (2022) (1)
Maximum likelihood eigenfunctions of the Fokker Planck equation and Hellinger projection (2016) (1)
Efficient Pricing of Default Risk: Different Approaches for a Single Goal (2005) (1)
Stochastic Filtering by Projection: The Example of the Quadratic Sensor (2013) (1)
The Heath-Jarrow-Morton (HJM) Framework (2001) (1)
Price impact on term structure (2020) (1)
CVA wrong way risk via change of measure : actuarial vs risk-neutral pricing (2017) (1)
Funding Valuation Adjustment (FVA) (2013) (1)
Mild to Classical Solutions for XVA Equations Under Stochastic Volatility (2021) (1)
Basel risk limits will not curb rogue traders (2018) (1)
Optimal trading: The importance of being adaptive (2021) (1)
SDEs with uniform distributions: Peacocks, Conic martingales and ergodic uniform diffusions (2016) (1)
Cases of Calibration of the LIBOR Market Model (2001) (1)
Examples of Wrong-Way Risk in CVA Induced by Devaluations on Default (2018) (1)
Inflation securities valuation with macroeconomic-based no-arbitrage dynamics (2014) (1)
MULTI-CURRENCY CREDIT DEFAULT SWAPS (2019) (1)
Valuation of Structured Finance Products with Implied Factor Models (2012) (1)
Definitions and Notation (2001) (1)
Pricing and Hedging with Equity‐Credit Models (2012) (1)
FVA and electricity bill valuation adjustment - much of a difference? (2016) (1)
LIST OF PUBLICATIONS Livres (2015) (0)
Discussion: Quantitative Risk Management: Concepts, Techniques, Tools Extreme Weather Events: Risk Management and Modelling Implications Imperial Risk Management Laboratory and the Grantham Institute for Climate Change (2011) (0)
Credit Models pre- and in-Crisis: Facts and Myths on the role of Mathematics in CDO valuation (2010) (0)
The LIBOR and Swap Market Models (LFM and LSM) (2001) (0)
Unilateral CVA for FX (2013) (0)
Conclusions and Further Work (2013) (0)
Final Discussion and Conclusions (2012) (0)
Metrics Downloaded : 122 Viewed : 6 Size : 772 . 35 KB Type : application / pdf (2019) (0)
Monte Carlo Tests for LFM Analytical Approximations (2001) (0)
A First Attack on Funding Cost Modelling (2013) (0)
Pricing Equity Derivatives under Stochastic Rates (2001) (0)
Unilateral CVA for Credit with WWR (2013) (0)
The importance of dynamic risk constraints for limited liability operators (2020) (0)
with exponential conditional density (2000) (0)
Mechanics of good trade execution in the framework of linear temporary market impact (2019) (0)
Pricing Derivatives on Two Interest-Rate Curves (2001) (0)
Unilateral CVA and Netting for Interest Rate Products (2013) (0)
Introduction: Credit Modelling Pre- and In-Crisis (2012) (0)
Application to More Recent Data and the Crisis (2012) (0)
Approximating Diffusions with Trees (2001) (0)
Macroeconomic-Based No-Arbitrage Dynamics for Inflation Securities Valuation (2015) (0)
Modelling the Counterparty Default (2013) (0)
Wrong Way Risk (WWR) for Interest Rates (2013) (0)
Two-Factor Short-Rate Models (2001) (0)
Funding, Repo and Credit Inclusion in Option Pricing via Dividends (2016) (0)
Dept. of Mathematics, Imperial College London, 22 Feb 2012 Finance and Stochastics Seminar Advanced arbitrage free valuation of counterparty credit risk (2012) (0)
No-Arbitrage Pricing and Numeraire Change (2001) (0)
Unilateral CVA for Equity with WWR (2013) (0)
Non‐Standard Asset Classes: Longevity Risk (2013) (0)
Organizing Committee Giulia Di Nunno Ryan Donnelly Damir Filipovic Yaroslav Melnyk Sergio Pulido Administrative Assistance (2015) (0)
Supplementary material from "Intrinsic stochastic differential equations as jets" (2018) (0)
Nonlinear Valuation: Funding Costs, Margining and Gap Credit Risk (2014) (0)
An Introduction to Multiname Modeling in Credit Risk (2012) (0)
Consistency across Capital Structure: Implied Copula (2012) (0)
Non-average price impact in order-driven markets (2021) (0)
Curbing Rogue Behaviour (2018) (0)
Interest-Rate Modeling in Collateralized Markets: Multiple curves and credit-liquidity effects (2015) (0)
Collateral, Netting, Close‐Out and Re‐Hypothecation (2013) (0)
Metrics Downloaded : 0 Viewed : 0 Size : 963 . 01 KB Type : application (2019) (0)
Lessons from the Financial Crisis: Insights from the defining economic event of our lifetime (2011) (0)
macroeconomic-based no-arbitrage dynamics (2014) (0)
Nonlinear Filtering : Stochastic Analysis and Numerical Methods (1996) (0)
! ! ! ! ! ! ! ! ! ! ! ! ! ! ! ! ! ! ! ! ! ! (2016) (0)
Innovations in Insurance, Risk- and Asset Management (468 Pages) (2018) (0)
Toward Market‐Implied Valuations of Cash‐Flow CLO Structures (2012) (0)
Gaussian Copula Model and Implied Correlation (2012) (0)
Bilateral CVA–DVA and Interest Rate Products (2013) (0)
A Fully Consistent Dynamical Model: Generalized-Poisson Loss Model (2012) (0)
New Generation Counterparty and Funding Risk Pricing (2013) (0)
Bilateral Collateralized CVA and DVA for Rates and Credit (2013) (0)
The Capco Exit Probability Index (CEPIX): Methodology and History of an Index Expressing Euro Exit Likelihoods (2015) (0)
Including Margining Costs in Collateralized Contracts (2013) (0)
Modeling Heterogeneity of Credit Portfolios: A Top‐Down Approach (2012) (0)
A Useful Calculation (2001) (0)
Computational information geometry for image and signal processing (2016) (0)
The multivariate mixture dynamics model: shifted dynamics and correlation skew (2019) (0)
Talking to the Traders (2001) (0)
Close‐Out and Contagion with Examples of a Simple Payoff (2013) (0)
The multivariate mixture dynamics: Consistent no-arbitrage single-asset and index volatility smiles (2018) (0)
One-factor short-rate models (2001) (0)
A Crash Introduction to Stochastic Differential Equations (2001) (0)
Unilateral CVA for Commodities with WWR (2013) (0)
Pricing Derivatives on a Single Interest-Rate Curve (2001) (0)
Consistency across Capital Structure and Maturities: Expected Tranche Loss (2012) (0)

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Damiano Brigo's Academic­Influence.com Rankings

Why Is Damiano Brigo Influential?

Damiano Brigo's Published Works

Published Works

Other Resources About Damiano Brigo

What Schools Are Affiliated With Damiano Brigo?

Damiano Brigo's AcademicInfluence.com Rankings