Damiano Brigo
Cited by
Cited by
Interest rate models-theory and practice: with smile, inflation and credit
D Brigo, F Mercurio
Springer, 2006
Counterparty credit risk, collateral and funding: with pricing cases for all asset classes
D Brigo, M Morini, A Pallavicini
John Wiley & Sons, 2013
Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model
D Brigo, A Alfonsi
Finance and stochastics 9 (1), 29-42, 2005
Counterparty risk for credit default swaps: Impact of spread volatility and default correlation
D Brigo, K Chourdakis
International Journal of Theoretical and Applied Finance 12 (07), 1007-1026, 2009
Lognormal-mixture dynamics and calibration to market volatility smiles
D Brigo, F Mercurio
International Journal of Theoretical and Applied Finance 5 (04), 427-446, 2002
Bilateral counterparty risk valuation with stochastic dynamical models and application to Credit Default Swaps
D Brigo, A Capponi
arXiv preprint arXiv:0812.3705, 2008
Arbitrage‐free bilateral counterparty risk valuation under collateralization and application to credit default swaps
D Brigo, A Capponi, A Pallavicini
Mathematical Finance: An International Journal of Mathematics, Statistics …, 2014
A stochastic processes toolkit for risk management
D Brigo, A Dalessandro, M Neugebauer, F Triki
arXiv preprint arXiv:0812.4210, 2008
Impact of Robotics, RPA and AI on the insurance industry: challenges and opportunities
C Lamberton, D Brigo, D Hoy
Journal of Financial Perspectives 4 (1), 2017
A differential geometric approach to nonlinear filtering: the projection filter
D Brigo, B Hanzon, F LeGland
IEEE Transactions on Automatic Control 43 (2), 247-252, 1998
A deterministic–shift extension of analytically–tractable and time–homogeneous short–rate models
D Brigo, F Mercurio
Finance and Stochastics 5, 369-387, 2001
Risk neutral pricing of counterparty risk
D Brigo, M Masetti
Counterparty Credit Risk Modeling: Risk Management, Pricing and Regulation …, 2005
Calibration of CDO tranches with the dynamical generalized-Poisson loss model
D Brigo, A Pallavicini, R Torresetti
Available at SSRN 900549, 2007
Credit models and the crisis: A journey into CDOs, copulas, correlations and dynamic models
D Brigo, A Pallavicini, R Torresetti
John Wiley & Sons, 2010
Counterparty risk and funding: A tale of two puzzles
S Crépey, TR Bielecki, D Brigo
Chapman and Hall/CRC, 2014
Parameterizing correlations: a geometric interpretation
F Rapisarda, D Brigo, F Mercurio
IMA Journal of Management Mathematics 18 (1), 55-73, 2007
Funding valuation adjustment: a consistent framework including cva, dva, collateral, netting rules and re-hypothecation
A Pallavicini, D Perini, D Brigo
arXiv preprint arXiv:1112.1521, 2011
Counterparty risk pricing under correlation between default and interest rates
D Brigo, A Pallavicini
Numerical methods for finance, 63-82, 2007
Approximate nonlinear filtering by projection on exponential manifolds of densities
D Brigo, B Hanzon, F Le Gland
Forecasting recovery rates on non-performing loans with machine learning
A Bellotti, D Brigo, P Gambetti, F Vrins
International Journal of Forecasting 37 (1), 428-444, 2021
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