Damiano Brigo
Damiano Brigo
Professor of Mathematics, Imperial College London
Vahvistettu sähköpostiosoite verkkotunnuksessa imperial.ac.uk - Kotisivu
Nimike
Viittaukset
Viittaukset
Vuosi
Interest rate models-theory and practice: with smile, inflation and credit
D Brigo, F Mercurio
Springer Science & Business Media, 2007
30532007
Counterparty credit risk, collateral and funding: with pricing cases for all asset classes
D Brigo, M Morini, A Pallavicini
John Wiley & Sons, 2013
2812013
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
2092005
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
2072009
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
1812002
Bilateral counterparty risk valuation with stochastic dynamical models and application to Credit Default Swaps
D Brigo, A Capponi
arXiv preprint arXiv:0812.3705, 2008
177*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
1482014
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
1411998
A stochastic processes toolkit for risk management
D Brigo, A Dalessandro, M Neugebauer, F Triki
Available at SSRN 1109160, 2007
139*2007
Risk neutral pricing of counterparty risk
D Brigo, M Masetti
1342005
Calibration of CDO tranches with the dynamical generalized-Poisson loss model
D Brigo, A Pallavicini, R Torresetti
Available at SSRN 900549, 2007
1322007
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
1322001
Credit models and the crisis: a journey into CDOs, copulas, correlations and dynamic models
D Brigo, A Pallavicini, R Torresetti
John Wiley & Sons, 2010
1172010
Counterparty risk and funding: A tale of two puzzles
S Crépey, TR Bielecki, D Brigo
CRC press, 2014
1052014
Parameterizing correlations: a geometric interpretation
F Rapisarda, D Brigo, F Mercurio
IMA Journal of Management Mathematics 18 (1), 55-73, 2007
972007
Counterparty risk pricing under correlation between default and interest rates
D Brigo, A Pallavicini
Numerical methods for finance 63, 7, 2007
922007
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
862010
Funding valuation adjustment: a consistent framework including cva, dva, collateral, netting rules and re-hypothecation
A Pallavicini, D Perini, D Brigo
DVA, Collateral, Netting Rules and Re-Hypothecation (December 6, 2011), 2011
842011
Collateral margining in arbitrage-free counterparty valuation adjustment including re-hypotecation and netting
D Brigo, A Capponi, A Pallavicini, V Papatheodorou
Available at SSRN 1744101, 2011
832011
Market models for CDS options and callable floaters
D Brigo
Risk, 2005
822005
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Artikkelit 1–20