Damiano Brigo

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Person:188063

Available identifiers

zbMath Open brigo.damianoWikidataQ3701259 ScholiaQ3701259MaRDI QIDQ188063

List of research outcomes

PublicationDate of PublicationType
Projections of SDEs onto submanifolds2024-01-16Paper
Optimal projection filters with information geometry2024-01-16Paper
Option pricing models without probability: a rough paths approach2023-09-28Paper
Non‐geometric rough paths on manifolds2023-08-22Paper
Price impact on term structure2022-04-05Paper
Mechanics of good trade execution in the framework of linear temporary market impact2021-12-01Paper
The multivariate mixture dynamics model: shifted dynamics and correlation skew2021-11-08Paper
Impact of multiple curve dynamics in credit valuation adjustments under collateralization2021-09-03Paper
SDEs with uniform distributions: peacocks, conic martingales and mean reverting uniform diffusions2020-05-26Paper
Optimal approximation of SDEs on submanifolds: the Itô‐vector and Itô‐jet projections2019-08-14Paper
MULTI-CURRENCY CREDIT DEFAULT SWAPS2019-06-24Paper
Funding, repo and credit inclusive valuation as modified option pricing2019-02-22Paper
Approximated moment-matching dynamics for basket-options pricing2019-01-15Paper
Analytical pricing of the smile in a forward LIBOR market model2019-01-14Paper
Alternative asset-price dynamics and volatility smile2019-01-14Paper
Nonlinear valuation under credit, funding, and margins: existence, uniqueness, invariance, and disentanglement2018-12-18Paper
Intrinsic stochastic differential equations as jets2018-12-04Paper
Impact of multiple curve dynamics in credit valuation adjustments under collateralization2018-11-14Paper
Nonlinearity Valuation Adjustment2018-10-22Paper
Analysis of Nonlinear Valuation Equations Under Credit and Funding Effects2018-10-22Paper
Impact of Multiple-Curve Dynamics in Credit Valuation Adjustments2018-10-22Paper
Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures2018-05-17Paper
Itô stochastic differential equations as 2-jets2018-01-12Paper
SDEs with uniform distributions: Peacocks, Conic martingales and ergodic uniform diffusions2016-06-05Paper
Stochastic PDE Projection on Manifolds: Assumed-Density and Galerkin Filters2016-05-25Paper
Markov multi-variate survival indicators for default simulation as a new characterization of the Marshall-Olkin law2016-05-04Paper
Nonlinear filtering via stochastic PDE projection on mixture manifolds in \(L^2\) direct metric2016-04-26Paper
Optimal approximations of the Fokker-Planck-Kolmogorov equation: projection, maximum likelihood eigenfunctions and Galerkin methods2016-03-14Paper
Projection based dimensionality reduction for measure valued evolution equations in statistical manifolds2016-01-16Paper
COCO BONDS PRICING WITH CREDIT AND EQUITY CALIBRATED FIRST-PASSAGE FIRM VALUE MODELS2015-06-29Paper
A NOTE ON THE SELF-FINANCING CONDITION FOR FUNDING, COLLATERAL AND DISCOUNTING2015-05-11Paper
CLUSTER-BASED EXTENSION OF THE GENERALIZED POISSON LOSS DYNAMICS AND CONSISTENCY WITH SINGLE NAMES2014-07-17Paper
Counterparty Credit Risk, Collateral and Funding2014-05-27Paper
ARBITRAGE‐FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS2014-04-23Paper
Stochastic Filtering by Projection: The Example of the Quadratic Sensor2014-04-16Paper
PRICING COUNTERPARTY RISK INCLUDING COLLATERALIZATION, NETTING RULES, RE-HYPOTHECATION AND WRONG-WAY RISK2013-06-24Paper
RESTRUCTURING COUNTERPARTY CREDIT RISK2013-06-24Paper
COUNTERPARTY RISK PRICING: IMPACT OF CLOSEOUT AND FIRST-TO-DEFAULT TIMES2012-11-22Paper
The direct L2 geometric structure on a manifold of probability densities with applications to Filtering2011-11-29Paper
ARBITRAGE-FREE VALUATION OF BILATERAL COUNTERPARTY RISK FOR INTEREST-RATE PRODUCTS: IMPACT OF VOLATILITIES AND CORRELATIONS2011-11-22Paper
NO-ARMAGEDDON MEASURE FOR ARBITRAGE-FREE PRICING OF INDEX OPTIONS IN A CREDIT CRISIS2011-11-21Paper
AN EXACT FORMULA FOR DEFAULT SWAPTIONS’ PRICING IN THE SSRJD STOCHASTIC INTENSITY MODEL2010-08-03Paper
COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION2010-01-08Paper
A dynamic programming approach for pricing CDS and CDS options2009-10-16Paper
A finite dimensional filter with exponential conditional density2009-01-14Paper
Projecting the Fokker-Planck Equation onto a finite dimensional exponential family2009-01-09Paper
https://portal.mardi4nfdi.de/entity/Q35157502008-07-29Paper
Parameterizing correlations: a geometric interpretation2007-11-27Paper
Interest rate models -- theory and practice. With smile, inflation and credit2006-12-29Paper
THE STOCHASTIC INTENSITY SSRD MODEL IMPLIED VOLATILITY PATTERNS FOR CREDIT DEFAULT SWAP OPTIONS AND THE IMPACT OF CORRELATION2006-08-14Paper
On the distributional distance between the lognormal LIBOR and swap market models2006-03-08Paper
New Families of Copulas Based on Periodic Functions2005-09-05Paper
LOGNORMAL-MIXTURE DYNAMICS AND CALIBRATION TO MARKET VOLATILITY SMILES2005-06-22Paper
Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model2005-05-20Paper
The LIBOR model dynamics: Approximations, calibration and diagnostics2005-01-12Paper
https://portal.mardi4nfdi.de/entity/Q27823532003-05-31Paper
A deterministic-shift extension of analytically-tractable and time-homogeneous short-rate models2001-12-12Paper
Interest rate models -- theory and practice2001-07-09Paper
On SDEs with marginal laws evolving in finite-dimensional exponential families2001-05-21Paper
https://portal.mardi4nfdi.de/entity/Q49344882001-01-04Paper
Option pricing impact of alternative continuous-time dynamics2000-11-01Paper
Approximate nonlinear filtering by projection on exponential manifolds of densities2000-01-31Paper
A differential geometric approach to nonlinear filtering: the projection filter1999-01-19Paper
On some filtering problems arising in mathematical finance1998-01-01Paper
https://portal.mardi4nfdi.de/entity/Q43575491997-09-25Paper
On the nice behaviour of the Gaussian projection filter with small observation noise1997-02-27Paper
New results on the Gaussian projection filter with small observation noise1997-02-27Paper

Research outcomes over time


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