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Damiano Brigo
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Cited by
Year
Interest rate models: theory and practice
D Brigo, F Mercurio
Springer, 2001
32962001
Counterparty credit risk, collateral and funding: with pricing cases for all asset classes
D Brigo, M Morini, A Pallavicini
John Wiley & Sons, 2013
3212013
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
2242009
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
2112005
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
1932002
Bilateral counterparty risk valuation with stochastic dynamical models and application to Credit Default Swaps
D Brigo, A Capponi
arXiv preprint arXiv:0812.3705, 2008
187*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
1692014
A stochastic processes toolkit for risk management
D Brigo, A Dalessandro, M Neugebauer, F Triki
arXiv preprint arXiv:0812.4210, 2008
153*2008
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
1501998
Risk neutral pricing of counterparty risk
D Brigo, M Masetti
1452005
A deterministic–shift extension of analytically–tractable and time–homogeneous short–rate models
D Brigo, F Mercurio
Finance and Stochastics 5 (3), 369-387, 2001
1422001
Credit models and the crisis: a journey into CDOs, copulas, correlations and dynamic models
D Brigo, A Pallavicini, R Torresetti
John Wiley & Sons, 2010
1312010
Calibration of CDO tranches with the dynamical generalized-Poisson loss model
D Brigo, A Pallavicini, R Torresetti
Available at SSRN 900549, 2007
1312007
Counterparty risk and funding: A tale of two puzzles
S Crépey, TR Bielecki, D Brigo
Chapman and Hall/CRC, 2014
1222014
Parameterizing correlations: a geometric interpretation
F Rapisarda, D Brigo, F Mercurio
IMA Journal of Management Mathematics 18 (1), 55-73, 2007
1162007
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
1102017
Counterparty risk pricing under correlation between default and interest rates
D Brigo, A Pallavicini
Numerical methods for finance, 79-98, 2007
1002007
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
932011
AN EXACT FORMULA FOR DEFAULT SWAPTIONS’PRICING IN THE SSRJD STOCHASTIC INTENSITY MODEL
D Brigo, N El‐Bachir
Mathematical Finance: An International Journal of Mathematics, Statistics …, 2010
912010
Collateral margining in arbitrage-free counterparty valuation adjustment including re-hypotecation and netting
D Brigo, A Capponi, A Pallavicini, V Papatheodorou
arXiv preprint arXiv:1101.3926, 2011
882011
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