The following pages link to Damiano Brigo (Q188063):
Displaying 50 items.
- Nonlinear filtering via stochastic PDE projection on mixture manifolds in \(L^2\) direct metric (Q276014) (← links)
- Markov multi-variate survival indicators for default simulation as a new characterization of the Marshall-Olkin law (Q277273) (← links)
- On the nice behaviour of the Gaussian projection filter with small observation noise (Q672229) (← links)
- The LIBOR model dynamics: Approximations, calibration and diagnostics (Q704056) (← links)
- Interest rate models -- theory and practice. With smile, inflation and credit (Q855091) (← links)
- On some filtering problems arising in mathematical finance (Q1265916) (← links)
- Approximate nonlinear filtering by projection on exponential manifolds of densities (Q1301753) (← links)
- New results on the Gaussian projection filter with small observation noise (Q1350956) (← links)
- On SDEs with marginal laws evolving in finite-dimensional exponential families (Q1579848) (← links)
- Option pricing impact of alternative continuous-time dynamics (Q1584193) (← links)
- Nonlinear valuation under credit, funding, and margins: existence, uniqueness, invariance, and disentanglement (Q1634318) (← links)
- Itô stochastic differential equations as 2-jets (Q1689193) (← links)
- (Q1728380) (redirect page) (← links)
- Funding, repo and credit inclusive valuation as modified option pricing (Q1728382) (← links)
- Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures (Q1749526) (← links)
- Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model (Q1776023) (← links)
- SDEs with uniform distributions: peacocks, conic martingales and mean reverting uniform diffusions (Q2182620) (← links)
- The multivariate mixture dynamics model: shifted dynamics and correlation skew (Q2241131) (← links)
- (Q2782353) (← links)
- Stochastic PDE Projection on Manifolds: Assumed-Density and Galerkin Filters (Q2807587) (← links)
- LOGNORMAL-MIXTURE DYNAMICS AND CALIBRATION TO MARKET VOLATILITY SMILES (Q3022053) (← links)
- NO-ARMAGEDDON MEASURE FOR ARBITRAGE-FREE PRICING OF INDEX OPTIONS IN A CREDIT CRISIS (Q3100747) (← links)
- ARBITRAGE-FREE VALUATION OF BILATERAL COUNTERPARTY RISK FOR INTEREST-RATE PRODUCTS: IMPACT OF VOLATILITIES AND CORRELATIONS (Q3100990) (← links)
- A dynamic programming approach for pricing CDS and CDS options (Q3182747) (← links)
- On the distributional distance between the lognormal LIBOR and swap market models (Q3375384) (← links)
- (Q3515750) (← links)
- AN EXACT FORMULA FOR DEFAULT SWAPTIONS’ PRICING IN THE SSRJD STOCHASTIC INTENSITY MODEL (Q3576954) (← links)
- COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION (Q3655554) (← links)
- (Q4357549) (← links)
- A differential geometric approach to nonlinear filtering: the projection filter (Q4396095) (← links)
- Impact of multiple curve dynamics in credit valuation adjustments under collateralization (Q4554408) (← links)
- Intrinsic stochastic differential equations as jets (Q4559539) (← links)
- Analytical pricing of the smile in a forward LIBOR market model (Q4647237) (← links)
- Alternative asset-price dynamics and volatility smile (Q4647257) (← links)
- Approximated moment-matching dynamics for basket-options pricing (Q4647590) (← links)
- COUNTERPARTY RISK PRICING: IMPACT OF CLOSEOUT AND FIRST-TO-DEFAULT TIMES (Q4649502) (← links)
- Nonlinearity Valuation Adjustment (Q4689899) (← links)
- Analysis of Nonlinear Valuation Equations Under Credit and Funding Effects (Q4689900) (← links)
- Impact of Multiple-Curve Dynamics in Credit Valuation Adjustments (Q4689911) (← links)
- (Q4934488) (← links)
- Mechanics of good trade execution in the framework of linear temporary market impact (Q5014181) (← links)
- Price impact on term structure (Q5068079) (← links)
- CLUSTER-BASED EXTENSION OF THE GENERALIZED POISSON LOSS DYNAMICS AND CONSISTENCY WITH SINGLE NAMES (Q5169978) (← links)
- Optimal approximation of SDEs on submanifolds: the Itô‐vector and Itô‐jet projections (Q5229330) (← links)
- A NOTE ON THE SELF-FINANCING CONDITION FOR FUNDING, COLLATERAL AND DISCOUNTING (Q5249754) (← links)
- COCO BONDS PRICING WITH CREDIT AND EQUITY CALIBRATED FIRST-PASSAGE FIRM VALUE MODELS (Q5256831) (← links)
- PRICING COUNTERPARTY RISK INCLUDING COLLATERALIZATION, NETTING RULES, RE-HYPOTHECATION AND WRONG-WAY RISK (Q5299993) (← links)
- RESTRUCTURING COUNTERPARTY CREDIT RISK (Q5299996) (← links)
- New Families of Copulas Based on Periodic Functions (Q5314576) (← links)
- MULTI-CURRENCY CREDIT DEFAULT SWAPS (Q5384682) (← links)
