Damiano Brigo

发表

Computational information geometry for image and signal processing

John Armstrong, Damiano Brigo, 2016 .

Stochastic PDE Projection on Manifolds: Assumed-Density and Galerkin Filters

Damiano Brigo, John Armstrong, 2015, GSI.

Option pricing impact of alternative continuous-time dynamics for discretely-observed stock prices

Damiano Brigo, Fabio Mercurio, D. Brigo, 2000, Finance Stochastics.

Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model

Aurélien Alfonsi, Damiano Brigo, A. Alfonsi, 2005, Finance Stochastics.

A deterministic–shift extension of analytically–tractable and time–homogeneous short–rate models

Damiano Brigo, Fabio Mercurio, D. Brigo, 2001, Finance Stochastics.

Credit Default Swap Calibration and Equity Swap Valuation Under Counterparty Risk with a Tractable Structural Model

Damiano Brigo, Marco Tarenghi, D. Brigo, 2004, 0912.3028.

A Crash Introduction to Stochastic Differential Equations

Damiano Brigo, Fabio Mercurio, 2001 .

Static vs Adapted Optimal Execution Strategies in Two Benchmark Trading Models

Damiano Brigo, Clement Piat, 2016 .

Credit Default Swaps Calibration and Option Pricing with the SSRD Stochastic Intensity and Interest-Rate Model

Aurélien Alfonsi, Damiano Brigo, 2005 .

Efficient Analytical Cascade Calibration of the LIBOR Market Model with Endogenous Interpolation

Damiano Brigo, Massimo Morini, 2006 .

Funding, repo and credit inclusive valuation as modified option pricing

Damiano Brigo, Marek Rutkowski, C. Buescu, 2017, Oper. Res. Lett..

Static vs Adaptive Strategies for Optimal Execution with Signals

Eyal Neuman, Damiano Brigo, Claudio Bellani, 2018 .

A Useful Calculation

Damiano Brigo, Fabio Mercurio, 2001 .

Mechanics of Good Trade Execution in the Framework of Linear Temporary Market Impact

Damiano Brigo, Claudio Bellani, 2019 .

Definitions and Notation

Damiano Brigo, Fabio Mercurio, 2001 .

Nonlinear filtering via stochastic PDE projection on mixture manifolds in L2\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{docum

Damiano Brigo, John Armstrong, D. Brigo, 2013, Mathematics of Control, Signals, and Systems.

The LIBOR model dynamics: Approximations, calibration and diagnostics

Damiano Brigo, Fabio Mercurio, Massimo Morini, 2005, Eur. J. Oper. Res..

Other Interest-Rate Models

Damiano Brigo, Fabio Mercurio, 2001 .

A Stochastic Processes Toolkit for Risk Management

Damiano Brigo, Matthias Neugebauer, Antonio Dalessandro, 2007, 0812.4210.

Static vs adapted optimal execution strategies in two benchmark trading models

Damiano Brigo, Clement Piat, 2016 .

Nonlinear valuation under credit, funding, and margins: Existence, uniqueness, invariance, and disentanglement

Damiano Brigo, Andrea Pallavicini, Marco Francischello, 2019, Eur. J. Oper. Res..

Impact of Robotics, RPA and AI on the Insurance Industry: Challenges and Opportunities

Damiano Brigo, Chris Lamberton, Dave Hoy, 2017 .

Itô Stochastic Differential Equations as 2-Jets

Damiano Brigo, John Armstrong, D. Brigo, 2017, GSI.

Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures

Frédéric Vrins, Damiano Brigo, 2018, Eur. J. Oper. Res..

Mechanics of good trade execution in the framework of linear temporary market impact

Damiano Brigo, Claudio Bellani, 2021 .

Stochastic Filtering by Projection: The Example of the Quadratic Sensor

Damiano Brigo, John Armstrong, 2013, GSI.

Mild to Classical Solutions for XVA Equations Under Stochastic Volatility

Damiano Brigo, Alexander Kalinin, Federico Graceffa, 2021, SSRN Electronic Journal.

Option pricing models without probability: a rough paths approach

Damiano Brigo, John Armstrong, Thomas Cass, 2021, Mathematical Finance.

Interpretability in deep learning for finance: a case study for the Heston model pdf

Damiano Brigo, Andrea Pallavicini, Xiaoshan Huang, 2021, ArXiv.

Counterparty Risk and Funding: A Tale of Two Puzzles

Tomasz R. Bielecki, Damiano Brigo, Stéphane Crépey, 2014 .

Candidate Market Models and the Calibrated Cir++ Stochastic Intensity Model for Credit Default Swap Options and Callable Floaters

Damiano Brigo, 2004 .

Alternative asset-price dynamics and volatility smile

Damiano Brigo, Fabio Mercurio, D. Brigo, 2003 .

Accurate counterparty risk valuation for energy-commodities swaps

Damiano Brigo, I Bakkar, 2009 .

Counterparty Credit Risk, Collateral and Funding: With Pricing Cases For All Asset Classes

Damiano Brigo, Andrea Pallavicini, Massimo Morini, 2013 .

Interest Rate Models I

Damiano Brigo, Fabio Mercurio, 2019, Analysing and Interpreting the Yield Curve.

The General Mixture Diffusion Sde and its Relationship with an Uncertain-Volatility Option Model with Volatility-Asset Decorrelation

Damiano Brigo, D. Brigo, 2002, 0812.4052.

PRICING COUNTERPARTY RISK INCLUDING COLLATERALIZATION, NETTING RULES, RE-HYPOTHECATION AND WRONG-WAY RISK

Agostino Capponi, Damiano Brigo, Andrea Pallavicini, 2013 .

Bilateral Counterparty Risk Valuation with Stochastic Dynamical Models and Application to Credit Default Swaps

Agostino Capponi, Damiano Brigo, A. Capponi, 2008, 0812.3705.

Constant Maturity Credit Default Swap Pricing with Market Models

Damiano Brigo, 2004 .

Counterparty risk pricing: impact of closeout and first-to-default times

Damiano Brigo, Massimo Morini, Cristin Buescu, 2012 .

Discrete Time vs Continuous Time Stock-Price Dynamics and Implications for Option Pricing

Damiano Brigo, Fabio Mercurio, D. Brigo, 2008, 0812.4010.

CVA Computation for Counterparty Risk Assessment in Credit Portfolios

Monique Jeanblanc, Tomasz R. Bielecki, Damiano Brigo, 2012 .

SMILE AT THE UNCERTAINTY

Damiano Brigo, Fabio Mercurio, Francesco Rapisarda, 2003 .

On the distributional distance between the lognormal LIBOR and swap market models

Damiano Brigo, D. Brigo, J. Liinev, 2005 .

Counterparty Risk for Credit Default Swaps: Impact of Spread Volatility and Default Correlation

Damiano Brigo, Kyriakos Chourdakis, D. Brigo, 2008 .

On SDEs with marginal laws evolving in finite-dimensional exponential families

Damiano Brigo, D. Brigo, 2000 .

Arbitrage‐Free Bilateral Counterparty Risk Valuation Under Collateralization and Application to Credit Default Swaps

Agostino Capponi, Damiano Brigo, Andrea Pallavicini, 2014 .

On some filtering problems arising in mathematical finance

Bernard Hanzon, Damiano Brigo, D. Brigo, 1998 .

Nonlinear consistent valuation of CCP cleared or CSA bilateral trades with initial margins under credit, funding and wrong-way risks

Damiano Brigo, Andrea Pallavicini, D. Brigo, 2014 .

Counterparty Risk Pricing under Correlation between Default and Interest Rates

Damiano Brigo, Andrea Pallavicini, 2007 .

Approximate nonlinear filtering by projection on exponential manifolds of densities

Bernard Hanzon, Damiano Brigo, F. Gland, 1999 .

Calibration of CDO Tranches with the Dynamical Generalized-Poisson Loss Model

Damiano Brigo, Andrea Pallavicini, Roberto Torresetti, 2007 .

Credit models and the crisis: default cluster dynamics and the generalized Poisson loss model

Damiano Brigo, Andrea Pallavicini, Roberto Torresetti, 2010 .

Approximated Moment-Matching Dynamics for Basket-Options Simulation

Damiano Brigo, Fabio Mercurio, Francesco Rapisarda, 2001 .

Filtering and Incomplete Information in Credit Risk

Thorsten Schmidt, Tomasz R. Bielecki, Rüdiger Frey, 2012 .

Structural credit calibration

Damiano Brigo, Massimo Morini, 2006 .

New Families of Copulas Based on Periodic Functions

Aurélien Alfonsi, Damiano Brigo, A. Alfonsi, 2005 .

Projection based dimensionality reduction for measure valued evolution equations in statistical manifolds

Giovanni Pistone, Damiano Brigo, Giovanni Pistone, 2016, 1601.04189.

Approximated moment-matching dynamics for basket-options pricing

Damiano Brigo, Fabio Mercurio, Francesco Rapisarda, 2004 .

A differential geometric approach to nonlinear filtering: the projection filter

Bernard Hanzon, Damiano Brigo, F. LeGland, 1998, IEEE Trans. Autom. Control..

A stochastic processes toolkit for risk management: Geometric Brownian motion, jumps, GARCH and variance gamma models

Damiano Brigo, Fares Triki, Antonio Dalessandro, 2009 .

Lognormal-mixture dynamics and calibration to market volatility smiles

Damiano Brigo, Fabio Mercurio, D. Brigo, 2002 .

Impact of Multiple Curve Dynamics in Credit Valuation Adjustments under Collateralization

Giacomo Bormetti, Damiano Brigo, Andrea Pallavicini, 2015 .

Credit Derivatives Pricing with a Smile-Extended Jump Stochastic Intensity Model

Damiano Brigo, D. Brigo, Naoufel El-Bachir, 2006 .

Optimal approximation of SDEs on submanifolds: the Itô‐vector and Itô‐jet projections

Damiano Brigo, John Armstrong, D. Brigo, 2016, Proceedings of the London Mathematical Society.

Credit Calibration with Structural Models and Equity Return Swap Valuation under Counterparty Risk

Tomasz R. Bielecki, Damiano Brigo, Marco Tarenghi, 2012, World Scientific Reference on Contingent Claims Analysis in Corporate Finance.