Damiano Brigo: search on Z-Library

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1

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

BRIGO, Damiano, VRINS, Frédéric

Journal:

European Journal of Operational Research

Year:

2018

Language:

english

File:

PDF, 1.04 MB

english, 2018

2

COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION

BRIGO, DAMIANO, CHOURDAKIS, KYRIAKOS

Journal:

International Journal of Theoretical and Applied Finance

Year:

2009

Language:

english

File:

PDF, 296 KB

english, 2009

3

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

Damiano Brigo, Aurélien Alfonsi

Journal:

Finance and Stochastics

Year:

2005

Language:

english

File:

PDF, 208 KB

english, 2005

4

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

Brigo, Damiano, Morini, Massimo

Journal:

The Journal of Derivatives

Year:

2006

Language:

english

File:

PDF, 593 KB

english, 2006

5

COCO BONDS PRICING WITH CREDIT AND EQUITY CALIBRATED FIRST-PASSAGE FIRM VALUE MODELS

BRIGO, DAMIANO, GARCIA, JOÃO, PEDE, NICOLA

Journal:

International Journal of Theoretical and Applied Finance

Year:

2015

Language:

english

File:

PDF, 573 KB

english, 2015

6

A NOTE ON THE SELF-FINANCING CONDITION FOR FUNDING, COLLATERAL AND DISCOUNTING

BRIGO, DAMIANO, BUESCU, CRISTIN, PALLAVICINI, ANDREA, LIU, QING

Journal:

International Journal of Theoretical and Applied Finance

Year:

2015

Language:

english

File:

PDF, 155 KB

english, 2015

7

NO-ARMAGEDDON MEASURE FOR ARBITRAGE-FREE PRICING OF INDEX OPTIONS IN A CREDIT CRISIS

Massimo Morini, Damiano Brigo

Journal:

Mathematical Finance

Year:

2011

Language:

english

File:

PDF, 185 KB

english, 2011

8

RESTRUCTURING COUNTERPARTY CREDIT RISK

ALBANESE, CLAUDIO, BRIGO, DAMIANO, OERTEL, FRANK

Journal:

International Journal of Theoretical and Applied Finance

Year:

2013

Language:

english

File:

PDF, 437 KB

english, 2013

9

Approximated moment-matching dynamics for basket-options pricing

Brigo, Damiano, Mercurio, Fabio, Rapisarda, Francesco, Scotti, Rita

Journal:

Quantitative Finance

Year:

2004

Language:

english

File:

PDF, 298 KB

english, 2004

10

A Stochastic Processes Toolkit for Risk Management

Brigo, Damiano, Dalessandro, Antonio, Neugebauer, Matthias, Triki, Fares

Journal:

SSRN Electronic Journal

Year:

2007

Language:

english

File:

PDF, 862 KB

english, 2007

11

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

Brigo, Damiano, Francischello, Marco, Pallavicini, Andrea

Journal:

European Journal of Operational Research

Year:

2019

Language:

english

File:

PDF, 825 KB

english, 2019

12

MULTI-CURRENCY CREDIT DEFAULT SWAPS

BRIGO, DAMIANO, PEDE, NICOLA, PETRELLI, ANDREA

Journal:

International Journal of Theoretical and Applied Finance

Year:

2019

Language:

english

File:

PDF, 1.36 MB

english, 2019

13

Forecasting recovery rates on non-performing loans with machine learning

Bellotti, Anthony, Brigo, Damiano, Gambetti, Paolo, Vrins, FrÃ©dÃ©ric

Journal:

International Journal of Forecasting

Year:

2020

File:

PDF, 939 KB

2020

14

The LIBOR model dynamics: Approximations, calibration and diagnostics

Damiano Brigo, Fabio Mercurio, Massimo Morini

Journal:

European Journal of Operational Research

Year:

2005

Language:

english

File:

PDF, 378 KB

english, 2005

15

AN EXACT FORMULA FOR DEFAULT SWAPTIONS’ PRICING IN THE SSRJD STOCHASTIC INTENSITY MODEL

Damiano Brigo, Naoufel El-Bachir

Journal:

Mathematical Finance

Year:

2010

Language:

english

File:

PDF, 212 KB

english, 2010

16

Approximate Nonlinear Filtering by Projection on Exponential Manifolds of Densities

Damiano Brigo, Bernard Hanzon and François Le Gland

Journal:

Year:

1999

Language:

english

File:

PDF, 3.26 MB

english, 1999

17

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

Brigo, Damiano, Liinev, Jan

Journal:

Quantitative Finance

Year:

2005

Language:

english

File:

PDF, 259 KB

english, 2005

18

CLUSTER-BASED EXTENSION OF THE GENERALIZED POISSON LOSS DYNAMICS AND CONSISTENCY WITH SINGLE NAMES

BRIGO, DAMIANO, PALLAVICINI, ANDREA, TORRESETTI, ROBERTO

Journal:

International Journal of Theoretical and Applied Finance

Year:

2007

Language:

english

File:

PDF, 342 KB

english, 2007

19

ARBITRAGE-FREE VALUATION OF BILATERAL COUNTERPARTY RISK FOR INTEREST-RATE PRODUCTS: IMPACT OF VOLATILITIES AND CORRELATIONS

BRIGO, DAMIANO, PALLAVICINI, ANDREA, PAPATHEODOROU, VASILEIOS

Journal:

International Journal of Theoretical and Applied Finance

Year:

2011

Language:

english

File:

PDF, 445 KB

english, 2011

20

LOGNORMAL-MIXTURE DYNAMICS AND CALIBRATION TO MARKET VOLATILITY SMILES

BRIGO, DAMIANO, MERCURIO, FABIO

Journal:

International Journal of Theoretical and Applied Finance

Year:

2002

Language:

english

File:

PDF, 286 KB

english, 2002

21

THE STOCHASTIC INTENSITY SSRD MODEL IMPLIED VOLATILITY PATTERNS FOR CREDIT DEFAULT SWAP OPTIONS AND THE IMPACT OF CORRELATION

BRIGO, DAMIANO, COUSOT, LAURENT

Journal:

International Journal of Theoretical and Applied Finance

Year:

2006

Language:

english

File:

PDF, 301 KB

english, 2006

22

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

BRIGO, DAMIANO, CAPPONI, AGOSTINO, PALLAVICINI, ANDREA, PAPATHEODOROU, VASILEIOS

Journal:

International Journal of Theoretical and Applied Finance

Year:

2013

Language:

english

File:

PDF, 335 KB

english, 2013

23

COUNTERPARTY RISK PRICING: IMPACT OF CLOSEOUT AND FIRST-TO-DEFAULT TIMES

BRIGO, DAMIANO, BUESCU, CRISTIN, MORINI, MASSIMO

Journal:

International Journal of Theoretical and Applied Finance

Year:

2012

Language:

english

File:

PDF, 313 KB

english, 2012

24

Optimal trade execution under displaced diffusions dynamics across different risk criteria

Brigo, Damiano, Di Graziano, Giuseppe

Journal:

Journal of Financial Engineering

Year:

2014

Language:

english

File:

PDF, 267 KB

english, 2014

25

A dynamic programming approach for pricing CDS and CDS options

Ben-Ameur, Hatem, Brigo, Damiano, Errais, Eymen

Journal:

Quantitative Finance

Year:

2009

Language:

english

File:

PDF, 274 KB

english, 2009

26

Impact of multiple curve dynamics in credit valuation adjustments under collateralization

Bormetti, Giacomo, Brigo, Damiano, Francischello, Marco, Pallavicini, Andrea

Journal:

Quantitative Finance

Year:

2017

Language:

english

File:

PDF, 2.32 MB

english, 2017

27

The multivariate mixture dynamics: consistent no-arbitrage single-asset and index volatility smiles

Brigo, Damiano, Rapisarda, Francesco, Sridi, Abir

Journal:

IISE Transactions

Year:

2017

Language:

english

File:

PDF, 1.13 MB

english, 2017

28

Credit Models and the Crisis (A Journey into CDOs, Copulas, Correlations and Dynamic Models) || Introduction: Credit Modelling Pre- and In-Crisis

Brigo, Damiano, Pallavicini, Andrea, Torresetti, Roberto

Year:

2012

Language:

english

File:

PDF, 55 KB

english, 2012

29

Static vs Adapted Optimal Execution Strategies in Two Benchmark Trading Models

Brigo, Damiano, Piat, Cllment

Journal:

SSRN Electronic Journal

Year:

2016

Language:

english

File:

PDF, 716 KB

english, 2016

30

Counterparty Risk and Contingent CDS Valuation Under Correlation Between Interest-Rates and Default

Brigo, Damiano, Pallavicini, Andrea

Journal:

SSRN Electronic Journal

Year:

2006

Language:

english

File:

PDF, 196 KB

english, 2006

31

Inflation Securities Valuation with Macroeconomic-Based No-Arbitrage Dynamics

Sarais, Gabriele, Brigo, Damiano

Journal:

SSRN Electronic Journal

Year:

2014

Language:

english

File:

PDF, 382 KB

english, 2014

32

Invariance, Existence and Uniqueness of Solutions of Nonlinear Valuation PDEs and FBSDEs Inclusive of Credit Risk, Collateral and Funding Costs

Brigo, Damiano, Francischello, Marco, Pallavicini, Andrea

Journal:

SSRN Electronic Journal

Year:

2015

Language:

english

File:

PDF, 435 KB

english, 2015

33

Counterparty Credit Risk, Collateral and Funding (With Pricing Cases for All Asset Classes) || Bilateral CVA-DVA and Interest Rate Products

Brigo, Damiano, Morini, Massimo, Pallavicini, Andrea

Year:

2013

Language:

english

File:

PDF, 343 KB

english, 2013

34

Credit Models and the Crisis (A Journey into CDOs, Copulas, Correlations and Dynamic Models) || Final Discussion and Conclusions

Brigo, Damiano, Pallavicini, Andrea, Torresetti, Roberto

Year:

2012

Language:

english

File:

PDF, 38 KB

english, 2012

35

Credit Models and the Crisis (A Journey into CDOs, Copulas, Correlations and Dynamic Models) || Bibliography

Brigo, Damiano, Pallavicini, Andrea, Torresetti, Roberto

Year:

2012

Language:

english

File:

PDF, 43 KB

english, 2012

36

Credit Models and the Crisis (A Journey into CDOs, Copulas, Correlations and Dynamic Models) || Index

Brigo, Damiano, Pallavicini, Andrea, Torresetti, Roberto

Year:

2012

Language:

english

File:

PDF, 37 KB

english, 2012

37

Credit Models and the Crisis (A Journey into CDOs, Copulas, Correlations and Dynamic Models) || A Fully Consistent Dynamical Model: Generalized-Poisson Loss Model

Brigo, Damiano, Pallavicini, Andrea, Torresetti, Roberto

Year:

2012

File:

PDF, 108 KB

2012

38

Credit Models and the Crisis (A Journey into CDOs, Copulas, Correlations and Dynamic Models) || Market Quotes

Brigo, Damiano, Pallavicini, Andrea, Torresetti, Roberto

Year:

2012

File:

PDF, 55 KB

2012

39

Credit Models and the Crisis (A Journey into CDOs, Copulas, Correlations and Dynamic Models) || Consistency across Capital Structure: Implied Copula

Brigo, Damiano, Pallavicini, Andrea, Torresetti, Roberto

Year:

2012

File:

PDF, 228 KB

2012

40

Credit Models and the Crisis (A Journey into CDOs, Copulas, Correlations and Dynamic Models) || Application to More Recent Data and the Crisis

Brigo, Damiano, Pallavicini, Andrea, Torresetti, Roberto

Year:

2012

File:

PDF, 2.25 MB

2012

41

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

Bellani, Claudio, Brigo, Damiano

Journal:

Quantitative Finance

Year:

2020

File:

PDF, 1.74 MB

2020

42

On the nice behaviour of the Gaussian projection filter with small observation noise

Journal:

Systems & Control Letters

Year:

1995

Language:

english

File:

PDF, 441 KB

english, 1995

43

New results on the Gaussian projection filter with small observation noise

Journal:

Systems & Control Letters

Year:

1996

Language:

english

File:

PDF, 455 KB

english, 1996

44

On some filtering problems arising in mathematical finance

Damiano Brigo, Bernard Hanzon

Journal:

Insurance: Mathematics and Economics

Year:

1998

Language:

english

File:

PDF, 798 KB

english, 1998

45

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

Journal:

Statistics & Probability Letters

Year:

2000

Language:

english

File:

PDF, 105 KB

english, 2000

46

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

Damiano Brigo, Fabio Mercurio

Journal:

Finance and Stochastics

Year:

2001

Language:

english

File:

PDF, 120 KB

english, 2001

47

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

Damiano Brigo, Fabio Mercurio

Journal:

Finance and Stochastics

Year:

2000

Language:

english

File:

PDF, 89 KB

english, 2000

48

ARBITRAGE-FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS

Damiano Brigo, Agostino Capponi, Andrea Pallavicini

Journal:

Mathematical Finance

Year:

2012

Language:

english

File:

PDF, 680 KB

english, 2012

49

New Families of Copulas Based on Periodic Functions

Alfonsi, Aurélien, Brigo, Damiano

Journal:

Communication in Statistics- Theory and Methods

Year:

2005

Language:

english

File:

PDF, 193 KB

english, 2005

50

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

Brigo, Damiano, Pallavicini, Andrea

Journal:

Journal of Financial Engineering

Year:

2014

Language:

english

File:

PDF, 572 KB

english, 2014