Damiano Brigo
Title
Cited by
Cited by
Year
Interest rate models-theory and practice: with smile, inflation and credit
D Brigo, F Mercurio
Springer Science & Business Media, 2007
28192007
Counterparty credit risk, collateral and funding: with pricing cases for all asset classes
D Brigo, M Morini, A Pallavicini
John Wiley & Sons, 2013
2582013
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
2132005
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
2012009
Bilateral counterparty risk valuation with stochastic dynamical models and application to Credit Default Swaps
D Brigo, A Capponi
arXiv preprint arXiv:0812.3705, 2008
171*2008
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
1712002
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
1332014
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
1331998
Calibration of CDO tranches with the dynamical generalized-Poisson loss model
D Brigo, A Pallavicini, R Torresetti
Available at SSRN 900549, 2007
1302007
A stochastic processes toolkit for risk management
D Brigo, A Dalessandro, M Neugebauer, F Triki
Available at SSRN 1109160, 2007
125*2007
Risk neutral pricing of counterparty risk
D Brigo, M Masetti
1252005
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
1172001
Credit models and the crisis: A journey into CDOs, copulas, correlations and dynamic models
D Brigo, A Pallavicini, R Torresetti
John Wiley & Sons, 2010
992010
Counterparty risk pricing under correlation between default and interest rates
D Brigo, A Pallavicini
Numerical Methods for Finance, 79-98, 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
Counterparty risk and funding: A tale of two puzzles
S Crépey, TR Bielecki, D Brigo
CRC press, 2014
852014
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
A mixed-up smile
D Brigo
Risk, 123-126, 2000
822000
Arbitrage-free valuation of bilateral counterparty risk for interest-rate products: impact of volatilities and correlations
D Brigo, A Pallavicini, V Papatheodorou
International Journal of Theoretical and Applied Finance 14 (06), 773-802, 2011
782011
Parameterizing correlations: a geometric interpretation
F Rapisarda, D Brigo, F Mercurio
IMA Journal of Management Mathematics 18 (1), 55-73, 2007
782007
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Articles 1–20