IDEAS home Printed from https://ideas.repec.org/e/c/pbr17.html
   My authors  Follow this author

Damiano Brigo

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Wikipedia or ReplicationWiki mentions

(Only mentions on Wikipedia that link back to a page on a RePEc service)
  1. Damiano Brigo & Fabio Mercurio, 2001. "A deterministic-shift extension of analytically-tractable and time-homogeneous short-rate models," Finance and Stochastics, Springer, vol. 5(3), pages 369-387.

    Mentioned in:

    1. Cox–Ingersoll–Ross model in Wikipedia (English)
    2. مدل کاکس-اینگرسول-راس in Wikipedia (Persian)

Working papers

  1. Bellotti, Anthony & Brigo, Damiano & Gambetti, Paolo & Vrins, Frédéric, 2020. "Forecasting recovery rates on non-performing loans with machine learning," LIDAM Discussion Papers LFIN 2020002, Université catholique de Louvain, Louvain Finance (LFIN).

    Cited by:

    1. Li, Aimin & Li, Zhiyong & Bellotti, Anthony, 2023. "Predicting loss given default of unsecured consumer loans with time-varying survival scores," Pacific-Basin Finance Journal, Elsevier, vol. 78(C).
    2. Nazemi, Abdolreza & Rezazadeh, Hani & Fabozzi, Frank J. & Höchstötter, Markus, 2022. "Deep learning for modeling the collection rate for third-party buyers," International Journal of Forecasting, Elsevier, vol. 38(1), pages 240-252.
    3. Damiano Brigo & Xiaoshan Huang & Andrea Pallavicini & Haitz Saez de Ocariz Borde, 2021. "Interpretability in deep learning for finance: a case study for the Heston model," Papers 2104.09476, arXiv.org.
    4. Distaso, Walter & Roccazzella, Francesco & Vrins, Frédéric, 2023. "Business cycle and realized losses in the consumer credit industry," LIDAM Discussion Papers LFIN 2023007, Université catholique de Louvain, Louvain Finance (LFIN).
    5. Konstantin Gorgen & Abdolreza Nazemi & Melanie Schienle, 2022. "Robust Knockoffs for Controlling False Discoveries With an Application to Bond Recovery Rates," Papers 2206.06026, arXiv.org.
    6. Jiajia, Liu & Kun, Guo & Fangcheng, Tang & Yahan, Wang & Shouyang, Wang, 2023. "The effect of the disposal of non-performing loans on interbank liquidity risk in China: A cash flow network-based analysis," The Quarterly Review of Economics and Finance, Elsevier, vol. 89(C), pages 105-119.
    7. Li, Zhiyong & Li, Aimin & Bellotti, Anthony & Yao, Xiao, 2023. "The profitability of online loans: A competing risks analysis on default and prepayment," European Journal of Operational Research, Elsevier, vol. 306(2), pages 968-985.
    8. González, Marta Ramos & Ureña, Antonio Partal & Fernández-Aguado, Pilar Gómez, 2023. "Forecasting for regulatory credit loss derived from the COVID-19 pandemic: A machine learning approach," Research in International Business and Finance, Elsevier, vol. 64(C).
    9. Andrey Koltays & Anton Konev & Alexander Shelupanov, 2021. "Mathematical Model for Choosing Counterparty When Assessing Information Security Risks," Risks, MDPI, vol. 9(7), pages 1-13, July.
    10. Kellner, Ralf & Nagl, Maximilian & Rösch, Daniel, 2022. "Opening the black box – Quantile neural networks for loss given default prediction," Journal of Banking & Finance, Elsevier, vol. 134(C).
    11. Marc Gürtler & Marvin Zöllner, 2023. "Heterogeneities among credit risk parameter distributions: the modality defines the best estimation method," OR Spectrum: Quantitative Approaches in Management, Springer;Gesellschaft für Operations Research e.V., vol. 45(1), pages 251-287, March.
    12. Lisa Crosato & Caterina Liberati & Marco Repetto, 2021. "Look Who's Talking: Interpretable Machine Learning for Assessing Italian SMEs Credit Default," Papers 2108.13914, arXiv.org, revised Sep 2021.

  2. Damiano Brigo & Federico Graceffa & Eyal Neuman, 2020. "Price Impact on Term Structure," Papers 2011.10113, arXiv.org, revised Sep 2021.

    Cited by:

    1. Eduardo Abi Jaber & Eyal Neuman & Sturmius Tuschmann, 2024. "Optimal Portfolio Choice with Cross-Impact Propagators," Papers 2403.10273, arXiv.org.

  3. Federico Graceffa & Damiano Brigo & Andrea Pallavicini, 2019. "On the consistency of jump-diffusion dynamics for FX rates under inversion," Papers 1905.05310, arXiv.org, revised Jul 2019.

    Cited by:

    1. Claudio Fontana & Alessandro Gnoatto & Guillaume Szulda, 2021. "CBI-time-changed Lévy processes for multi-currency modeling," Working Papers 14/2021, University of Verona, Department of Economics.

  4. John Armstrong & Damiano Brigo, 2019. "The ineffectiveness of coherent risk measures," Papers 1902.10015, arXiv.org, revised Oct 2020.

    Cited by:

    1. Martin Herdegen & Nazem Khan, 2022. "Mean‐ρ$\rho$ portfolio selection and ρ$\rho$‐arbitrage for coherent risk measures," Mathematical Finance, Wiley Blackwell, vol. 32(1), pages 226-272, January.
    2. Martin Herdegen & Nazem Khan, 2020. "Mean-$\rho$ portfolio selection and $\rho$-arbitrage for coherent risk measures," Papers 2009.05498, arXiv.org, revised Jul 2021.
    3. John Armstrong & Damiano Brigo & Alex S. L. Tse, 2020. "The importance of dynamic risk constraints for limited liability operators," Papers 2011.03314, arXiv.org.

  5. Brigo, Damiano & Jeanblanc, Monique & Vrins, Frédéric, 2019. "SDES with uniform distributions: Peacocks, conic martingales and mean reverting uniform diffusions," LIDAM Reprints LFIN 2020006, Université catholique de Louvain, Louvain Finance (LFIN).

    Cited by:

    1. Damiano Brigo & Monique Jeanblanc & Frédéric Vrins, 2019. "SDEs with uniform distributions: Peacocks, conic martingales and mean reverting uniform diffusions," LIDAM Reprints CORE 3067, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).

  6. Brigo, Damiano & Vrins, Frédéric, 2018. "Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures," LIDAM Reprints LFIN 2018012, Université catholique de Louvain, Louvain Finance (LFIN).

    Cited by:

    1. Castellano, Rosella & Corallo, Vincenzo & Morelli, Giacomo, 2022. "Structural estimation of counterparty credit risk under recovery risk," Journal of Banking & Finance, Elsevier, vol. 140(C).
    2. Deelstra, Griselda & Hieber, Peter, 2023. "Randomization and the valuation of guaranteed minimum death benefits," European Journal of Operational Research, Elsevier, vol. 309(3), pages 1218-1236.
    3. Alòs, Elisa & Antonelli, Fabio & Ramponi, Alessandro & Scarlatti, Sergio, 2023. "CVA in fractional and rough volatility models," Applied Mathematics and Computation, Elsevier, vol. 442(C).
    4. Mbaye, Cheikh & Vrins, Frédéric, 2019. "Affine term-structure models: A time-changed approach with perfect fit to market curves," LIDAM Discussion Papers LFIN 2019005, Université catholique de Louvain, Louvain Finance (LFIN).
    5. Fabio Antonelli & Alessandro Ramponi & Sergio Scarlatti, 2018. "CVA and vulnerable options pricing by correlation expansions," Papers 1811.07294, arXiv.org.
    6. Marc Chataigner & Stéphane Crépey, 2019. "Credit Valuation Adjustment Compression by Genetic Optimization," Risks, MDPI, vol. 7(4), pages 1-21, September.
    7. Ketelbuters, John-John & Hainaut, Donatien, 2022. "CDS pricing with fractional Hawkes processes," European Journal of Operational Research, Elsevier, vol. 297(3), pages 1139-1150.
    8. Cheikh Mbaye & Fr'ed'eric Vrins, 2019. "An arbitrage-free conic martingale model with application to credit risk," Papers 1909.02474, arXiv.org.
    9. Ludovic Goudenege & Andrea Molent & Antonino Zanette, 2022. "Computing XVA for American basket derivatives by Machine Learning techniques," Papers 2209.06485, arXiv.org.
    10. Elisa Alos & Fabio Antonelli & Alessandro Ramponi & Sergio Scarlatti, 2019. "CVA and vulnerable options in stochastic volatility models," Papers 1907.12922, arXiv.org.
    11. Erdinc Akyildirim & Alper A. Hekimoglu & Ahmet Sensoy & Frank J. Fabozzi, 2023. "Extending the Merton model with applications to credit value adjustment," Annals of Operations Research, Springer, vol. 326(1), pages 27-65, July.
    12. Ashish Kumar & Laszlo Markus & Norbert Hari, 2021. "Arbitrage-free pricing of CVA for cross-currency swap with wrong-way risk under stochastic correlation modeling framework," Papers 2107.06349, arXiv.org.
    13. Ballotta, Laura & Fusai, Gianluca & Marazzina, Daniele, 2019. "Integrated structural approach to Credit Value Adjustment," European Journal of Operational Research, Elsevier, vol. 272(3), pages 1143-1157.
    14. Antonelli, Fabio & Ramponi, Alessandro & Scarlatti, Sergio, 2022. "Approximate value adjustments for European claims," European Journal of Operational Research, Elsevier, vol. 300(3), pages 1149-1161.
    15. Elisa Al`os & Fabio Antonelli & Alessandro Ramponi & Sergio Scarlatti, 2022. "CVA in fractional and rough volatility models," Papers 2204.11554, arXiv.org.
    16. Fabio Antonelli & Alessandro Ramponi & Sergio Scarlatti, 2020. "A moment matching method for option pricing under stochastic interest rates," Papers 2005.14063, arXiv.org.

  7. John Armstrong & Claudio Bellani & Damiano Brigo & Thomas Cass, 2018. "Option pricing models without probability: a rough paths approach," Papers 1808.09378, arXiv.org, revised Jul 2020.

    Cited by:

    1. John Armstrong & Andrei Ionescu, 2023. "Gamma Hedging and Rough Paths," Papers 2309.05054, arXiv.org, revised Mar 2024.

  8. Damiano Brigo & Cristin Buescu & Marco Francischello & Andrea Pallavicini & Marek Rutkowski, 2018. "Risk-neutral valuation under differential funding costs, defaults and collateralization," Papers 1802.10228, arXiv.org.

    Cited by:

    1. Claudio Fontana & Zorana Grbac & Sandrine Gümbel & Thorsten Schmidt, 2020. "Term structure modelling for multiple curves with stochastic discontinuities," Post-Print hal-03898927, HAL.
    2. Claudio Fontana & Zorana Grbac & Sandrine Gümbel & Thorsten Schmidt, 2020. "Term structure modelling for multiple curves with stochastic discontinuities," Finance and Stochastics, Springer, vol. 24(2), pages 465-511, April.
    3. Francesca Biagini & Alessandro Gnoatto & Immacolata Oliva, 2019. "Pricing of counterparty risk and funding with CSA discounting, portfolio effects and initial margin," Working Papers 04/2019, University of Verona, Department of Economics.
    4. Alessandro Gnoatto & Athena Picarelli & Christoph Reisinger, 2020. "Deep xVA solver - A neural network based counterparty credit risk management framework," Working Papers 07/2020, University of Verona, Department of Economics.
    5. Marek Rutkowski & Matthew Bickersteth, 2021. "Pricing and Hedging of SOFR Derivatives under Differential Funding Costs and Collateralization," Papers 2112.14033, arXiv.org.
    6. Joel P. Villarino & 'Alvaro Leitao & Jos'e A. Garc'ia-Rodr'iguez, 2022. "Boundary-safe PINNs extension: Application to non-linear parabolic PDEs in counterparty credit risk," Papers 2210.02175, arXiv.org.
    7. Brigo, Damiano & Francischello, Marco & Pallavicini, Andrea, 2019. "Nonlinear valuation under credit, funding, and margins: Existence, uniqueness, invariance, and disentanglement," European Journal of Operational Research, Elsevier, vol. 274(2), pages 788-805.
    8. Claudio Fontana & Zorana Grbac & Sandrine Gumbel & Thorsten Schmidt, 2018. "Term structure modeling for multiple curves with stochastic discontinuities," Papers 1810.09882, arXiv.org, revised Dec 2019.

  9. Damiano Brigo & Marco Francischello & Andrea Pallavicini, 2017. "An indifference approach to the cost of capital constraints: KVA and beyond," Papers 1708.05319, arXiv.org.

    Cited by:

    1. Damiano Brigo & Cristin Buescu & Marco Francischello & Andrea Pallavicini & Marek Rutkowski, 2018. "Risk-neutral valuation under differential funding costs, defaults and collateralization," Papers 1802.10228, arXiv.org.

  10. Damiano Brigo & Cristin Buescu & Marek Rutkowski, 2016. "Funding, repo and credit inclusive valuation as modified option pricing," Papers 1602.05998, arXiv.org, revised Jun 2017.

    Cited by:

    1. Silvio Contessi & Pierangelo De Pace & Massimo Guidolin, 2020. "Mildly Explosive Dynamics in U.S. Fixed Income Markets," Working Papers 667, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    2. Tumasyan, Hovik, 2018. "A Second Look at Post Crisis Pricing of Derivatives - Part I: A Note on Money Accounts and Collateral," MPRA Paper 90806, University Library of Munich, Germany.
    3. Damiano Brigo & Cristin Buescu & Marco Francischello & Andrea Pallavicini & Marek Rutkowski, 2022. "Nonlinear Valuation with XVAs: Two Converging Approaches," Mathematics, MDPI, vol. 10(5), pages 1-31, March.
    4. Fabio Antonelli & Alessandro Ramponi & Sergio Scarlatti, 2018. "CVA and vulnerable options pricing by correlation expansions," Papers 1811.07294, arXiv.org.
    5. Damiano Brigo & Cristin Buescu & Marco Francischello & Andrea Pallavicini & Marek Rutkowski, 2018. "Risk-neutral valuation under differential funding costs, defaults and collateralization," Papers 1802.10228, arXiv.org.
    6. Junbeom Lee & Chao Zhou, 2017. "Binary Funding Impacts in Derivative Valuation," Papers 1703.00259, arXiv.org, revised Aug 2020.
    7. Junbeom Lee & Chao Zhou, 2021. "Binary funding impacts in derivative valuation," Mathematical Finance, Wiley Blackwell, vol. 31(1), pages 242-278, January.
    8. Hovik Tumasyan, 2018. "A Second Look at Post Crisis Pricing of Derivatives - Part I: A Note on Money Accounts and Collateral," Papers 1806.09198, arXiv.org, revised Dec 2018.

  11. Damiano Brigo & Fr'ed'eric Vrins, 2016. "Disentangling wrong-way risk: pricing CVA via change of measures and drift adjustment," Papers 1611.02877, arXiv.org.

    Cited by:

    1. Frédéric Vrins, 2017. "Wrong-way risk CVA models with analytical EPE profiles under Gaussian exposure dynamics," LIDAM Reprints CORE 2922, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    2. Cheikh Mbaye & Frédéric Vrins, 2018. "A surbordinated CIR intensity model with application to wrong-way risk CVA," LIDAM Reprints CORE 2984, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    3. David Xiao, 2023. "Default Process Modeling and Credit Valuation Adjustment," Papers 2309.03311, arXiv.org.
    4. Lee, David, 2023. "Default Forecasting and Credit Valuation Adjustment," MPRA Paper 118578, University Library of Munich, Germany.
    5. Feng, Yaqin & Wang, Min & Zhang, Yuanqing, 2019. "CVA for Cliquet options under Heston model," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 272-282.
    6. Irena Barjav{s}i'c & Stefano Battiston & Vinko Zlati'c, 2023. "Credit Valuation Adjustment in Financial Networks," Papers 2305.16434, arXiv.org.

  12. Damiano Brigo & Nicola Pede & Andrea Petrelli, 2015. "Multi Currency Credit Default Swaps Quanto effects and FX devaluation jumps," Papers 1512.07256, arXiv.org, revised Jan 2018.

    Cited by:

    1. A. Itkin & V. Shcherbakov & A. Veygman, 2017. "Influence of jump-at-default in IR and FX on Quanto CDS prices," Papers 1711.07133, arXiv.org.
    2. Christoph Belak & Daniel Hoffmann & Frank T. Seifried, 2020. "Branching Diffusions with Jumps and Valuation with Systemic Counterparties," Working Paper Series 2020-04, University of Trier, Research Group Quantitative Finance and Risk Analysis.
    3. Cherubini, Umberto, 2021. "Estimating redenomination risk under Gumbel–Hougaard survival copulas," Journal of Economic Dynamics and Control, Elsevier, vol. 133(C).

  13. Damiano Brigo & Marco Francischello & Andrea Pallavicini, 2015. "Invariance, existence and uniqueness of solutions of nonlinear valuation PDEs and FBSDEs inclusive of credit risk, collateral and funding costs," Papers 1506.00686, arXiv.org, revised Nov 2015.

    Cited by:

    1. Raymond Brummelhuis & Zhongmin Luo, 2018. "Arbitrage Opportunities in CDS Term Structure: Theory and Implications for OTC Derivatives," Papers 1811.08038, arXiv.org, revised Dec 2018.
    2. Giacomo Bormetti & Damiano Brigo & Marco Francischello & Andrea Pallavicini, 2018. "Impact of multiple curve dynamics in credit valuation adjustments under collateralization," Quantitative Finance, Taylor & Francis Journals, vol. 18(1), pages 31-44, January.
    3. Damiano Brigo & Cristin Buescu & Marek Rutkowski, 2016. "Funding, repo and credit inclusive valuation as modified option pricing," Papers 1602.05998, arXiv.org, revised Jun 2017.
    4. Brigo, Damiano & Francischello, Marco & Pallavicini, Andrea, 2019. "Nonlinear valuation under credit, funding, and margins: Existence, uniqueness, invariance, and disentanglement," European Journal of Operational Research, Elsevier, vol. 274(2), pages 788-805.
    5. Tianyang Nie & Marek Rutkowski, 2016. "A BSDE approach to fair bilateral pricing under endogenous collateralization," Finance and Stochastics, Springer, vol. 20(4), pages 855-900, October.
    6. Kun Tian & Dewen Xiong & Wenchao Yan & George Xianzhi Yuan, 2018. "The study of dynamics for credit default risk by backward stochastic differential equation method," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 5(04), pages 1-32, December.
    7. Nicola Moreni & Andrea Pallavicini, 2015. "FX Modelling in Collateralized Markets: foreign measures, basis curves, and pricing formulae," Papers 1508.04321, arXiv.org, revised Sep 2015.
    8. Nicola Moreni & Andrea Pallavicini, 2017. "Derivative Pricing With Collateralization And Fx Market Dislocations," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(06), pages 1-27, September.

  14. Giacomo Bormetti & Damiano Brigo & Marco Francischello & Andrea Pallavicini, 2015. "Impact of Multiple Curve Dynamics in Credit Valuation Adjustments under Collateralization," Papers 1507.08779, arXiv.org, revised Sep 2015.

    Cited by:

    1. Damiano Brigo & Cristin Buescu & Marco Francischello & Andrea Pallavicini & Marek Rutkowski, 2022. "Nonlinear Valuation with XVAs: Two Converging Approaches," Mathematics, MDPI, vol. 10(5), pages 1-31, March.
    2. Zorana Grbac & Laura Meneghello & Wolfgang J. Runggaldier, 2015. "Derivative pricing for a multi-curve extension of the Gaussian, exponentially quadratic short rate model," Papers 1512.03259, arXiv.org, revised Jun 2016.
    3. Damiano Brigo & Federico Graceffa & Eyal Neuman, 2020. "Price Impact on Term Structure," Papers 2011.10113, arXiv.org, revised Sep 2021.

  15. Damiano Brigo & Qing Liu & Andrea Pallavicini & David Sloth, 2014. "Nonlinear Valuation under Collateral, Credit Risk and Funding Costs: A Numerical Case Study Extending Black-Scholes," Papers 1404.7314, arXiv.org.

    Cited by:

    1. Damiano Brigo & Cyril Durand, 2014. "An initial approach to Risk Management of Funding Costs," Papers 1410.2034, arXiv.org.
    2. Damiano Brigo & Marco Francischello & Andrea Pallavicini, 2015. "Invariance, existence and uniqueness of solutions of nonlinear valuation PDEs and FBSDEs inclusive of credit risk, collateral and funding costs," Papers 1506.00686, arXiv.org, revised Nov 2015.
    3. Wujiang Lou, 2015. "Coherent CVA and FVA with Liability Side Pricing of Derivatives," Papers 1510.07199, arXiv.org.
    4. Wujiang Lou, 2020. "Derivatives Discounting Explained," Papers 2002.08532, arXiv.org.
    5. Junbeom Lee & Chao Zhou, 2017. "Binary Funding Impacts in Derivative Valuation," Papers 1703.00259, arXiv.org, revised Aug 2020.

  16. Damiano Brigo & Andrea Pallavicini, 2014. "CCP Cleared or Bilateral CSA Trades with Initial/Variation Margins under credit, funding and wrong-way risks: A Unified Valuation Approach," Papers 1401.3994, arXiv.org.

    Cited by:

    1. Stéphane Crépey & Shiqi Song, 2014. "BSDEs of Counterparty Risk," Working Papers hal-01088941, HAL.
    2. Meng Han & Yeqi He & Hu Zhang, 2014. "A note on discounting and funding value adjustments for derivatives," Journal of Financial Engineering (JFE), World Scientific Publishing Co. Pte. Ltd., vol. 1(01), pages 1-34.
    3. Wujiang Lou, 2015. "MVA Transfer Pricing," Papers 1512.07337, arXiv.org, revised Jul 2016.

  17. Damiano Brigo & Jo~ao Garcia & Nicola Pede, 2013. "CoCo Bonds Valuation with Equity- and Credit-Calibrated First Passage Structural Models," Papers 1302.6629, arXiv.org.

    Cited by:

    1. Damiano Brigo & João Garcia & Nicola Pede, 2015. "Coco Bonds Pricing With Credit And Equity Calibrated First-Passage Firm Value Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(03), pages 1-31.
    2. Jos'e Manuel Corcuera & Arturo Valdivia, 2016. "CoCos under short-term uncertainty," Papers 1602.00094, arXiv.org.
    3. Wolff, Christian & Masror Khah, Sara Abed, 2015. "The Determinants of CoCo Bond Prices," CEPR Discussion Papers 10996, C.E.P.R. Discussion Papers.
    4. Niedrig, Tobias & Gründl, Helmut, 2015. "The effects of contingent convertible (CoCo) bonds on insurers' capital requirements under Solvency II," ICIR Working Paper Series 18/14, Goethe University Frankfurt, International Center for Insurance Regulation (ICIR).
    5. Masayuki Kazato & Tetsuya Yamada, 2018. "The Implied Bail-in Probability in the Contingent Convertible Securities Market," IMES Discussion Paper Series 18-E-03, Institute for Monetary and Economic Studies, Bank of Japan.
    6. Philippe Oster, 2020. "Contingent Convertible bond literature review: making everything and nothing possible?," Journal of Banking Regulation, Palgrave Macmillan, vol. 21(4), pages 343-381, December.

  18. Andrea Pallavicini & Damiano Brigo, 2013. "Interest-Rate Modelling in Collateralized Markets: Multiple curves, credit-liquidity effects, CCPs," Papers 1304.1397, arXiv.org.

    Cited by:

    1. Laura Morino & Wolfgang J. Ruggaldier, 2014. "On multicurve models for the term structure," Papers 1401.5431, arXiv.org.
    2. Zorana Grbac & Laura Meneghello & Wolfgang J. Runggaldier, 2015. "Derivative pricing for a multi-curve extension of the Gaussian, exponentially quadratic short rate model," Papers 1512.03259, arXiv.org, revised Jun 2016.
    3. Chris Kenyon & Andrew Green, 2013. "Regulatory-Optimal Funding," Papers 1310.3386, arXiv.org, revised Aug 2014.
    4. Yannick Armenti & Stéphane Crépey, 2017. "Central Clearing Valuation Adjustment," Working Papers hal-01169169, HAL.
    5. Paul McCloud, 2019. "Repo convexity," Papers 1905.03316, arXiv.org.
    6. Damiano Brigo & Andrea Pallavicini, 2014. "Nonlinear consistent valuation of CCP cleared or CSA bilateral trades with initial margins under credit, funding and wrong-way risks," Journal of Financial Engineering (JFE), World Scientific Publishing Co. Pte. Ltd., vol. 1(01), pages 1-60.
    7. Damiano Brigo & Qing Liu & Andrea Pallavicini & David Sloth, 2014. "Nonlinear Valuation under Collateral, Credit Risk and Funding Costs: A Numerical Case Study Extending Black-Scholes," Papers 1404.7314, arXiv.org.
    8. Giacomo Bormetti & Damiano Brigo & Marco Francischello & Andrea Pallavicini, 2018. "Impact of multiple curve dynamics in credit valuation adjustments under collateralization," Quantitative Finance, Taylor & Francis Journals, vol. 18(1), pages 31-44, January.
    9. Fanelli, Viviana, 2017. "Implications of implicit credit spread volatilities on interest rate modelling," European Journal of Operational Research, Elsevier, vol. 263(2), pages 707-718.
    10. Michele Bonollo & Irene Crimaldi & Andrea Flori & Laura Gianfagna & Fabio Pammolli, 2016. "Assessing financial distress dependencies in OTC markets: a new approach using trade repositories data," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 30(4), pages 397-426, November.
    11. Damiano Brigo & Andrea Pallavicini, 2014. "CCP Cleared or Bilateral CSA Trades with Initial/Variation Margins under credit, funding and wrong-way risks: A Unified Valuation Approach," Papers 1401.3994, arXiv.org.
    12. Fanelli, Viviana, 2016. "A defaultable HJM modelling of the Libor rate for pricing Basis Swaps after the credit crunch," European Journal of Operational Research, Elsevier, vol. 249(1), pages 238-244.
    13. Damiano Brigo & Andrea Pallavicini, 2013. "CCPs, Central Clearing, CSA, Credit Collateral and Funding Costs Valuation FAQ: Re-hypothecation, CVA, Closeout, Netting, WWR, Gap-Risk, Initial and Variation Margins, Multiple Discount Curves, FVA?," Papers 1312.0128, arXiv.org, revised Dec 2013.
    14. Yannick Armenti & St'ephane Cr'epey, 2015. "Central Clearing Valuation Adjustment," Papers 1506.08595, arXiv.org, revised Feb 2017.
    15. Nicola Moreni & Andrea Pallavicini, 2015. "FX Modelling in Collateralized Markets: foreign measures, basis curves, and pricing formulae," Papers 1508.04321, arXiv.org, revised Sep 2015.

  19. Damiano Brigo & Giuseppe Di Graziano, 2013. "Optimal execution comparison across risks and dynamics, with solutions for displaced diffusions," Papers 1304.2942, arXiv.org, revised May 2014.

    Cited by:

    1. Xue Cheng & Marina Di Giacinto & Tai-Ho Wang, 2019. "Optimal execution with dynamic risk adjustment," Papers 1901.00617, arXiv.org, revised Jul 2019.

  20. Damiano Brigo & Francesco Rapisarda & Abir Sridi, 2013. "The arbitrage-free Multivariate Mixture Dynamics Model: Consistent single-assets and index volatility smiles," Papers 1302.7010, arXiv.org, revised Sep 2014.

    Cited by:

    1. Damiano Brigo & Camilla Pisani & Francesco Rapisarda, 2021. "The multivariate mixture dynamics model: shifted dynamics and correlation skew," Annals of Operations Research, Springer, vol. 299(1), pages 1411-1435, April.

  21. Damiano Brigo & Jan-Frederik Mai & Matthias Scherer, 2013. "Consistent iterated simulation of multi-variate default times: a Markovian indicators characterization," Papers 1306.0887, arXiv.org, revised May 2014.

    Cited by:

    1. García Muñoz, Luis Manuel & de Lope Contreras, Fernando & Palomar Burdeus, Juan Esteban, 2015. "Pricing Derivatives in the New Framework: OIS Discounting, CVA, DVA & FVA," MPRA Paper 62086, University Library of Munich, Germany.
    2. Brigo, Damiano & Mai, Jan-Frederik & Scherer, Matthias, 2016. "Markov multi-variate survival indicators for default simulation as a new characterization of the Marshall–Olkin law," Statistics & Probability Letters, Elsevier, vol. 114(C), pages 60-66.
    3. Greig Smith & Goncalo dos Reis, 2017. "Robust and Consistent Estimation of Generators in Credit Risk," Papers 1702.08867, arXiv.org, revised Oct 2017.

  22. Damiano Brigo & Andrea Pallavicini, 2013. "CCPs, Central Clearing, CSA, Credit Collateral and Funding Costs Valuation FAQ: Re-hypothecation, CVA, Closeout, Netting, WWR, Gap-Risk, Initial and Variation Margins, Multiple Discount Curves, FVA?," Papers 1312.0128, arXiv.org, revised Dec 2013.

    Cited by:

    1. Damiano Brigo & Andrea Pallavicini, 2014. "Nonlinear consistent valuation of CCP cleared or CSA bilateral trades with initial margins under credit, funding and wrong-way risks," Journal of Financial Engineering (JFE), World Scientific Publishing Co. Pte. Ltd., vol. 1(01), pages 1-60.
    2. Damiano Brigo & Andrea Pallavicini, 2014. "CCP Cleared or Bilateral CSA Trades with Initial/Variation Margins under credit, funding and wrong-way risks: A Unified Valuation Approach," Papers 1401.3994, arXiv.org.
    3. Bin Li & Qihe Tang & Lihe Wang & Xiaowen Zhou, 2014. "Liquidation risk in the presence of Chapters 7 and 11 of the US bankruptcy code," Journal of Financial Engineering (JFE), World Scientific Publishing Co. Pte. Ltd., vol. 1(03), pages 1-19.

  23. Andrea Pallavicini & Daniele Perini & Damiano Brigo, 2012. "Funding, Collateral and Hedging: uncovering the mechanics and the subtleties of funding valuation adjustments," Papers 1210.3811, arXiv.org, revised Dec 2012.

    Cited by:

    1. Han, Xingyu, 2018. "Pricing and hedging vulnerable option with funding costs and collateral," Chaos, Solitons & Fractals, Elsevier, vol. 112(C), pages 103-115.
    2. Lorenzo Silotto & Marco Scaringi & Marco Bianchetti, 2021. "Everything You Always Wanted to Know About XVA Model Risk but Were Afraid to Ask," Papers 2107.10377, arXiv.org.
    3. García Muñoz, Luis Manuel & de Lope Contreras, Fernando & Palomar Burdeus, Juan Esteban, 2015. "Pricing Derivatives in the New Framework: OIS Discounting, CVA, DVA & FVA," MPRA Paper 62086, University Library of Munich, Germany.
    4. Andrew Green & Chris Kenyon, 2014. "MVA: Initial Margin Valuation Adjustment by Replication and Regression," Papers 1405.0508, arXiv.org, revised Jan 2015.
    5. Zorana Grbac & Laura Meneghello & Wolfgang J. Runggaldier, 2015. "Derivative pricing for a multi-curve extension of the Gaussian, exponentially quadratic short rate model," Papers 1512.03259, arXiv.org, revised Jun 2016.
    6. T. van der Zwaard & L. A. Grzelak & C. W. Oosterlee, 2020. "A Computational Approach to Hedging Credit Valuation Adjustment in a Jump-Diffusion Setting," Papers 2005.10504, arXiv.org, revised Sep 2020.
    7. Johan Gunnesson & Alberto Fern'andez Mu~noz de Morales, 2014. "A Bond Consistent Derivative Fair Value," Papers 1406.5755, arXiv.org, revised Sep 2014.
    8. Maxim Bichuch & Agostino Capponi & Stephan Sturm, 2015. "Arbitrage-Free Pricing of XVA - Part II: PDE Representation and Numerical Analysis," Papers 1502.06106, arXiv.org, revised Aug 2016.
    9. Tianyang Nie & Marek Rutkowski, 2015. "Fair Bilateral Prices In Bergman’S Model With Exogenous Collateralization," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(07), pages 1-26, November.
    10. Timothee Papin & Gabriel Turinici, 2014. "Prepayment Option Of A Perpetual Corporate Loan: The Impact Of The Funding Costs," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 17(04), pages 1-32.
    11. T. van der Zwaard & L. A. Grzelak & C. W. Oosterlee, 2022. "Relevance of Wrong-Way Risk in Funding Valuation Adjustments," Papers 2204.02680, arXiv.org, revised Jun 2022.
    12. Damiano Brigo & Marco Francischello & Andrea Pallavicini, 2015. "Invariance, existence and uniqueness of solutions of nonlinear valuation PDEs and FBSDEs inclusive of credit risk, collateral and funding costs," Papers 1506.00686, arXiv.org, revised Nov 2015.
    13. Leif Andersen & Darrell Duffie & Yang Song, 2017. "Funding Value Adjustments," NBER Working Papers 23680, National Bureau of Economic Research, Inc.
    14. Damiano Brigo & Cristin Buescu & Andrea Pallavicini & Qing Liu, 2015. "A Note On The Self-Financing Condition For Funding, Collateral And Discounting," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(02), pages 1-10.
    15. Marek Rutkowski & Matthew Bickersteth, 2021. "Pricing and Hedging of SOFR Derivatives under Differential Funding Costs and Collateralization," Papers 2112.14033, arXiv.org.
    16. Alessandro Gnoatto & Nicole Seiffert, 2020. "Cross Currency Valuation and Hedging in the Multiple Curve Framework," Working Papers 03/2020, University of Verona, Department of Economics.
    17. Johan Gunnesson & Alberto Fern'andez Mu~noz de Morales, 2014. "Recovering from Derivatives Funding: A consistent approach to DVA, FVA and Hedging," Papers 1403.1086, arXiv.org, revised Apr 2014.
    18. Tomasz R. Bielecki & Marek Rutkowski, 2013. "Valuation and hedging of OTC contracts with funding costs, collateralization and counterparty credit risk: Part 1," Papers 1306.4733, arXiv.org, revised Jun 2013.
    19. Meng Han & Yeqi He & Hu Zhang, 2014. "A note on discounting and funding value adjustments for derivatives," Journal of Financial Engineering (JFE), World Scientific Publishing Co. Pte. Ltd., vol. 1(01), pages 1-34.
    20. Damiano Brigo & Andrea Pallavicini, 2014. "Nonlinear consistent valuation of CCP cleared or CSA bilateral trades with initial margins under credit, funding and wrong-way risks," Journal of Financial Engineering (JFE), World Scientific Publishing Co. Pte. Ltd., vol. 1(01), pages 1-60.
    21. Alessio Calvelli, 2022. "No-Arbitrage Pricing, Dynamics and Forward Prices of Collateralized Derivatives," Papers 2208.08746, arXiv.org, revised Mar 2023.
    22. Damiano Brigo & Qing Liu & Andrea Pallavicini & David Sloth, 2014. "Nonlinear Valuation under Collateral, Credit Risk and Funding Costs: A Numerical Case Study Extending Black-Scholes," Papers 1404.7314, arXiv.org.
    23. Tianyang Nie & Marek Rutkowski, 2014. "Fair and profitable bilateral prices under funding costs and collateralization," Papers 1410.0448, arXiv.org, revised Dec 2014.
    24. Damiano Brigo & Cristin Buescu & Marco Francischello & Andrea Pallavicini & Marek Rutkowski, 2018. "Risk-neutral valuation under differential funding costs, defaults and collateralization," Papers 1802.10228, arXiv.org.
    25. Lorenzo Giada & Claudio Nordio, 2012. "Funded Bilateral Valuation Adjustment," Papers 1211.1564, arXiv.org.
    26. Hunzinger, Chadd B. & Labuschagne, Coenraad C.A., 2014. "The Cox, Ross and Rubinstein tree model which includes counterparty credit risk and funding costs," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 200-217.
    27. Giacomo Bormetti & Damiano Brigo & Marco Francischello & Andrea Pallavicini, 2018. "Impact of multiple curve dynamics in credit valuation adjustments under collateralization," Quantitative Finance, Taylor & Francis Journals, vol. 18(1), pages 31-44, January.
    28. Timothée Papin & Gabriel Turinici, 2014. "Prepayment option of a perpetual corporate loan: the impact of the funding costs," Post-Print hal-00768571, HAL.
    29. Andrea Pallavicini & Damiano Brigo, 2013. "Interest-Rate Modelling in Collateralized Markets: Multiple curves, credit-liquidity effects, CCPs," Papers 1304.1397, arXiv.org.
    30. Kazuhiro Takino, 2022. "The impact of non-cash collateralization on the over-the-counter derivatives markets," Review of Derivatives Research, Springer, vol. 25(2), pages 137-171, July.
    31. Tianyang Nie & Marek Rutkowski, 2014. "Fair bilateral prices in Bergman's model," Papers 1410.0673, arXiv.org, revised Dec 2014.
    32. Brigo, Damiano & Francischello, Marco & Pallavicini, Andrea, 2019. "Nonlinear valuation under credit, funding, and margins: Existence, uniqueness, invariance, and disentanglement," European Journal of Operational Research, Elsevier, vol. 274(2), pages 788-805.
    33. Jean-Paul Laurent & Philippe Amzelek & Joe Bonnaud, 2014. "An overview of the valuation of collateralized derivative contracts," Review of Derivatives Research, Springer, vol. 17(3), pages 261-286, October.
    34. Damiano Brigo & Federico Graceffa & Alexander Kalinin, 2021. "Mild to classical solutions for XVA equations under stochastic volatility," Papers 2112.11808, arXiv.org.
    35. Tianyang Nie & Marek Rutkowski, 2016. "A BSDE approach to fair bilateral pricing under endogenous collateralization," Finance and Stochastics, Springer, vol. 20(4), pages 855-900, October.
    36. Damiano Brigo & Andrea Pallavicini, 2014. "CCP Cleared or Bilateral CSA Trades with Initial/Variation Margins under credit, funding and wrong-way risks: A Unified Valuation Approach," Papers 1401.3994, arXiv.org.
    37. Lorenzo Cornalba, 2014. "Funding Value Adjustment and Incomplete Markets," Papers 1409.6093, arXiv.org.
    38. Tianyang Nie & Marek Rutkowski, 2014. "A BSDE approach to fair bilateral pricing under endogenous collateralization," Papers 1412.2453, arXiv.org.
    39. Maxim Bichuch & Agostino Capponi & Stephan Sturm, 2016. "Arbitrage-Free XVA," Papers 1608.02690, arXiv.org.
    40. P. Amster & A. P. Mogni, 2018. "Adapting the CVA model to Leland's framework," Papers 1802.04837, arXiv.org.
    41. Christian Bender & Nikolaus Schweizer & Jia Zhuo, 2013. "A primal-dual algorithm for BSDEs," Papers 1310.3694, arXiv.org, revised Sep 2014.
    42. Damiano Brigo & Andrea Pallavicini, 2013. "CCPs, Central Clearing, CSA, Credit Collateral and Funding Costs Valuation FAQ: Re-hypothecation, CVA, Closeout, Netting, WWR, Gap-Risk, Initial and Variation Margins, Multiple Discount Curves, FVA?," Papers 1312.0128, arXiv.org, revised Dec 2013.
    43. Ivan Guo & Marek Rutkowski, 2014. "Arbitrage Pricing of Multi-person Game Contingent Claims," Papers 1405.2718, arXiv.org.
    44. Tomasz R. Bielecki & Igor Cialenco & Marek Rutkowski, 2017. "Arbitrage-Free Pricing Of Derivatives In Nonlinear Market Models," Papers 1701.08399, arXiv.org, revised Apr 2018.
    45. Nicola Moreni & Andrea Pallavicini, 2015. "FX Modelling in Collateralized Markets: foreign measures, basis curves, and pricing formulae," Papers 1508.04321, arXiv.org, revised Sep 2015.
    46. Nicola Moreni & Andrea Pallavicini, 2017. "Derivative Pricing With Collateralization And Fx Market Dislocations," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(06), pages 1-27, September.

  24. Damiano Brigo & Kyriakos Chourdakis, 2012. "Consistent single- and multi-step sampling of multivariate arrival times: A characterization of self-chaining copulas," Papers 1204.2090, arXiv.org, revised Apr 2012.

    Cited by:

    1. Brigo, Damiano & Mai, Jan-Frederik & Scherer, Matthias, 2016. "Markov multi-variate survival indicators for default simulation as a new characterization of the Marshall–Olkin law," Statistics & Probability Letters, Elsevier, vol. 114(C), pages 60-66.
    2. Bernhart German & Scherer Matthias & Mai Jan-Frederik, 2015. "On the construction of low-parametric families of min-stable multivariate exponential distributions in large dimensions," Dependence Modeling, De Gruyter, vol. 3(1), pages 1-18, May.

  25. Damiano Brigo & Cristin Buescu & Andrea Pallavicini & Qing Liu, 2012. "Illustrating a problem in the self-financing condition in two 2010-2011 papers on funding, collateral and discounting," Papers 1207.2316, arXiv.org, revised Jul 2012.

    Cited by:

    1. Christa Cuchiero & Claudio Fontana & Alessandro Gnoatto, 2014. "A general HJM framework for multiple yield curve modeling," Papers 1406.4301, arXiv.org, revised May 2015.
    2. Johan Gunnesson & Alberto Fern'andez Mu~noz de Morales, 2014. "A Bond Consistent Derivative Fair Value," Papers 1406.5755, arXiv.org, revised Sep 2014.

  26. Claudio Albanese & Damiano Brigo & Frank Oertel, 2011. "Restructuring Counterparty Credit Risk," Papers 1112.1607, arXiv.org, revised May 2012.

    Cited by:

    1. Castellano, Rosella & Corallo, Vincenzo & Morelli, Giacomo, 2022. "Structural estimation of counterparty credit risk under recovery risk," Journal of Banking & Finance, Elsevier, vol. 140(C).
    2. Claudio Albanese & Yannick Armenti & Stéphane Crépey, 2020. "XVA Metrics for CCP Optimisation," Post-Print hal-03910114, HAL.
    3. Claudio Albanese & Marc Chataigner & Stéphane Crépey, 2020. "Wealth Transfers, Indifference Pricing, and XVA Compression Schemes," Post-Print hal-03910047, HAL.
    4. Damiano Brigo, 2011. "Counterparty Risk FAQ: Credit VaR, PFE, CVA, DVA, Closeout, Netting, Collateral, Re-hypothecation, WWR, Basel, Funding, CCDS and Margin Lending," Papers 1111.1331, arXiv.org, revised Jun 2012.
    5. Dilip B. Madan, 2012. "From credit valuation adjustments to credit capital commitments," Quantitative Finance, Taylor & Francis Journals, vol. 12(6), pages 839-845, April.
    6. Kun Tian & Dewen Xiong & Wenchao Yan & George Xianzhi Yuan, 2018. "The study of dynamics for credit default risk by backward stochastic differential equation method," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 5(04), pages 1-32, December.
    7. Stéphane Crépey & Shiqi Song, 2014. "Counterparty risk and funding: Immersion and beyond," Working Papers hal-00989062, HAL.
    8. Damiano Brigo & Andrea Pallavicini, 2013. "CCPs, Central Clearing, CSA, Credit Collateral and Funding Costs Valuation FAQ: Re-hypothecation, CVA, Closeout, Netting, WWR, Gap-Risk, Initial and Variation Margins, Multiple Discount Curves, FVA?," Papers 1312.0128, arXiv.org, revised Dec 2013.

  27. Damiano Brigo & Cristin Buescu & Massimo Morini, 2011. "Impact of the first to default time on Bilateral CVA," Papers 1106.3496, arXiv.org.

    Cited by:

    1. Andrea Pallavicini & Daniele Perini & Damiano Brigo, 2011. "Funding Valuation Adjustment: a consistent framework including CVA, DVA, collateral,netting rules and re-hypothecation," Papers 1112.1521, arXiv.org, revised Dec 2011.
    2. Andrea Pallavicini & Daniele Perini & Damiano Brigo, 2012. "Funding, Collateral and Hedging: uncovering the mechanics and the subtleties of funding valuation adjustments," Papers 1210.3811, arXiv.org, revised Dec 2012.
    3. Damiano Brigo, 2011. "Counterparty Risk FAQ: Credit VaR, PFE, CVA, DVA, Closeout, Netting, Collateral, Re-hypothecation, WWR, Basel, Funding, CCDS and Margin Lending," Papers 1111.1331, arXiv.org, revised Jun 2012.
    4. Lorenzo Giada & Claudio Nordio, 2012. "Bilateral Credit Valuation Adjustment of an Optional Early Termination Clause," Papers 1205.2013, arXiv.org, revised Jan 2013.
    5. Lorenzo Giada & Claudio Nordio, 2012. "Funded Bilateral Valuation Adjustment," Papers 1211.1564, arXiv.org.
    6. Damiano Brigo & Agostino Capponi & Andrea Pallavicini, 2014. "Arbitrage-Free Bilateral Counterparty Risk Valuation Under Collateralization And Application To Credit Default Swaps," Mathematical Finance, Wiley Blackwell, vol. 24(1), pages 125-146, January.
    7. Zhou, Richard, 2015. "Exact Methods for Path-Dependent Credit Exposure," MPRA Paper 64647, University Library of Munich, Germany, revised 25 May 3025.
    8. Zhou, Richard, 2015. "Modeling Path Dependent Counterparty Credit Risk," MPRA Paper 61354, University Library of Munich, Germany.

  28. Damiano Brigo & Agostino Capponi & Andrea Pallavicini & Vasileios Papatheodorou, 2011. "Collateral Margining in Arbitrage-Free Counterparty Valuation Adjustment including Re-Hypotecation and Netting," Papers 1101.3926, arXiv.org.

    Cited by:

    1. Tomasz R. Bielecki & Marek Rutkowski, 2014. "Valuation and Hedging of Contracts with Funding Costs and Collateralization," Papers 1405.4079, arXiv.org, revised Dec 2014.
    2. Damiano Brigo & Cristin Buescu & Andrea Pallavicini & Qing Liu, 2012. "Illustrating a problem in the self-financing condition in two 2010-2011 papers on funding, collateral and discounting," Papers 1207.2316, arXiv.org, revised Jul 2012.
    3. Giovanni Mottola, 2014. "Reflected Backward SDE approach to the price-hedge of defaultable claims with contingent switching CSA," Papers 1412.1325, arXiv.org, revised Feb 2015.
    4. Marco Bianchetti & Mattia Carlicchi, 2013. "Markets Evolution After the Credit Crunch," Papers 1301.7078, arXiv.org.
    5. Christa Cuchiero & Claudio Fontana & Alessandro Gnoatto, 2014. "A general HJM framework for multiple yield curve modeling," Papers 1406.4301, arXiv.org, revised May 2015.
    6. Tianyang Nie & Marek Rutkowski, 2015. "Fair Bilateral Prices In Bergman’S Model With Exogenous Collateralization," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(07), pages 1-26, November.
    7. T. van der Zwaard & L. A. Grzelak & C. W. Oosterlee, 2022. "Relevance of Wrong-Way Risk in Funding Valuation Adjustments," Papers 2204.02680, arXiv.org, revised Jun 2022.
    8. Damiano Brigo & Andrea Pallavicini & Vasileios Papatheodorou, 2011. "Arbitrage-Free Valuation Of Bilateral Counterparty Risk For Interest-Rate Products: Impact Of Volatilities And Correlations," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 14(06), pages 773-802.
    9. Tomasz R. Bielecki & Igor Cialenco & Ismail Iyigunler, 2013. "Collateralized Cva Valuation With Rating Triggers And Credit Migrations," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 16(02), pages 1-32.
    10. van der Zwaard, Thomas & Grzelak, Lech A. & Oosterlee, Cornelis W., 2022. "Relevance of Wrong-Way Risk in Funding Valuation Adjustments," Finance Research Letters, Elsevier, vol. 49(C).
    11. Claudio Albanese & Damiano Brigo & Frank Oertel, 2011. "Restructuring Counterparty Credit Risk," Papers 1112.1607, arXiv.org, revised May 2012.
    12. Stéphane Crépey & Rémi Gerboud & Zorana Grbac & Nathalie Ngor, 2013. "Counterparty Risk And Funding: The Four Wings Of The Tva," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 16(02), pages 1-31.
    13. Damiano Brigo, 2011. "Counterparty Risk FAQ: Credit VaR, PFE, CVA, DVA, Closeout, Netting, Collateral, Re-hypothecation, WWR, Basel, Funding, CCDS and Margin Lending," Papers 1111.1331, arXiv.org, revised Jun 2012.
    14. Chris Kenyon & Richard David Kenyon, 2013. "DVA for Assets," Papers 1301.5425, arXiv.org.
    15. Lixin Wu, 2015. "Cva And Fva To Derivatives Trades Collateralized By Cash," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(05), pages 1-22.
    16. Tomasz R. Bielecki & Marek Rutkowski, 2013. "Valuation and hedging of OTC contracts with funding costs, collateralization and counterparty credit risk: Part 1," Papers 1306.4733, arXiv.org, revised Jun 2013.
    17. St'ephane Cr'epey & R'emi Gerboud & Zorana Grbac & Nathalie Ngor, 2012. "Counterparty Risk and Funding: The Four Wings of the TVA," Papers 1210.5046, arXiv.org.
    18. Biffis, Enrico & Blake, David & Pitotti, Lorenzo & Sun, Ariel, 2011. "The cost of counterparty risk and collateralization in longevity swaps," MPRA Paper 35740, University Library of Munich, Germany.
    19. Damiano Brigo & Andrea Pallavicini, 2014. "Nonlinear consistent valuation of CCP cleared or CSA bilateral trades with initial margins under credit, funding and wrong-way risks," Journal of Financial Engineering (JFE), World Scientific Publishing Co. Pte. Ltd., vol. 1(01), pages 1-60.
    20. Damiano Brigo & Qing Liu & Andrea Pallavicini & David Sloth, 2014. "Nonlinear Valuation under Collateral, Credit Risk and Funding Costs: A Numerical Case Study Extending Black-Scholes," Papers 1404.7314, arXiv.org.
    21. Genest, Benoit & Rego, David & Freon, Helene, 2013. "Collateral Optimization : Liquidity & Funding Value Adjustments, - Best Practices -," MPRA Paper 62908, University Library of Munich, Germany.
    22. Tianyang Nie & Marek Rutkowski, 2014. "Fair and profitable bilateral prices under funding costs and collateralization," Papers 1410.0448, arXiv.org, revised Dec 2014.
    23. Giovanni Mottola, 2014. "Generalized Dynkin game of switching type representation for defaultable claims in presence of contingent CSA," Papers 1410.0594, arXiv.org, revised Jan 2015.
    24. Bianchetti, Marco & Carlicchi, Mattia, 2012. "Markets Evolution After the Credit Crunch," MPRA Paper 44023, University Library of Munich, Germany.
    25. Tianyang Nie & Marek Rutkowski, 2014. "Fair bilateral prices in Bergman's model," Papers 1410.0673, arXiv.org, revised Dec 2014.
    26. Junbeom Lee & Chao Zhou, 2021. "Binary funding impacts in derivative valuation," Mathematical Finance, Wiley Blackwell, vol. 31(1), pages 242-278, January.
    27. Jean-Paul Laurent & Philippe Amzelek & Joe Bonnaud, 2014. "An overview of the valuation of collateralized derivative contracts," Review of Derivatives Research, Springer, vol. 17(3), pages 261-286, October.
    28. Tianyang Nie & Marek Rutkowski, 2016. "A BSDE approach to fair bilateral pricing under endogenous collateralization," Finance and Stochastics, Springer, vol. 20(4), pages 855-900, October.
    29. Lixin Wu & Dawei Zhang, 2020. "xVA: DEFINITION, EVALUATION AND RISK MANAGEMENT," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 23(01), pages 1-24, February.
    30. Sakurai, Yuji & Uchida, Yoshihiko, 2014. "Rehypothecation dilemma: Impact of collateral rehypothecation on derivative prices under bilateral counterparty credit risk," Journal of Banking & Finance, Elsevier, vol. 48(C), pages 361-373.
    31. Damiano Brigo & Agostino Capponi & Andrea Pallavicini, 2014. "Arbitrage-Free Bilateral Counterparty Risk Valuation Under Collateralization And Application To Credit Default Swaps," Mathematical Finance, Wiley Blackwell, vol. 24(1), pages 125-146, January.
    32. Tianyang Nie & Marek Rutkowski, 2014. "A BSDE approach to fair bilateral pricing under endogenous collateralization," Papers 1412.2453, arXiv.org.
    33. Vanini, Paolo, 2012. "Fiancial Innovation, Structuring and Risk Transfer," MPRA Paper 42536, University Library of Munich, Germany.
    34. Tomasz R. Bielecki & Igor Cialenco & Ismail Iyigunler, 2012. "Collateralized CVA Valuation with Rating Triggers and Credit Migrations," Papers 1205.6542, arXiv.org.
    35. Giovanni Mottola, 2014. "A stochastic switching control model arising in general OTC contracts with contingent CSA in presence of CVA, collateral and funding," Papers 1412.1469, arXiv.org.
    36. Damiano Brigo & Cristin Buescu & Massimo Morini, 2011. "Impact of the first to default time on Bilateral CVA," Papers 1106.3496, arXiv.org.
    37. Lixin Wu, 2013. "CVA and FVA to Derivatives Trades Collateralized by Cash," Papers 1302.0465, arXiv.org.

  29. Damiano Brigo, 2011. "Counterparty Risk FAQ: Credit VaR, PFE, CVA, DVA, Closeout, Netting, Collateral, Re-hypothecation, WWR, Basel, Funding, CCDS and Margin Lending," Papers 1111.1331, arXiv.org, revised Jun 2012.

    Cited by:

    1. Damiano Brigo & Cristin Buescu & Andrea Pallavicini & Qing Liu, 2012. "Illustrating a problem in the self-financing condition in two 2010-2011 papers on funding, collateral and discounting," Papers 1207.2316, arXiv.org, revised Jul 2012.
    2. Andrea Pallavicini & Daniele Perini & Damiano Brigo, 2011. "Funding Valuation Adjustment: a consistent framework including CVA, DVA, collateral,netting rules and re-hypothecation," Papers 1112.1521, arXiv.org, revised Dec 2011.
    3. Andrea Pallavicini & Daniele Perini & Damiano Brigo, 2012. "Funding, Collateral and Hedging: uncovering the mechanics and the subtleties of funding valuation adjustments," Papers 1210.3811, arXiv.org, revised Dec 2012.
    4. Chris Kenyon & Richard David Kenyon, 2013. "DVA for Assets," Papers 1301.5425, arXiv.org.
    5. Joël Bessis, 2009. "Risk Management in Banking," Post-Print hal-00494876, HAL.

  30. Andrea Pallavicini & Daniele Perini & Damiano Brigo, 2011. "Funding Valuation Adjustment: a consistent framework including CVA, DVA, collateral,netting rules and re-hypothecation," Papers 1112.1521, arXiv.org, revised Dec 2011.

    Cited by:

    1. Han, Xingyu, 2018. "Pricing and hedging vulnerable option with funding costs and collateral," Chaos, Solitons & Fractals, Elsevier, vol. 112(C), pages 103-115.
    2. Francesca Biagini & Alessandro Gnoatto & Immacolata Oliva, 2019. "Pricing of counterparty risk and funding with CSA discounting, portfolio effects and initial margin," Working Papers 04/2019, University of Verona, Department of Economics.
    3. Damiano Brigo & Cyril Durand, 2014. "An initial approach to Risk Management of Funding Costs," Papers 1410.2034, arXiv.org.
    4. Joachim Erhardt & Johannes Lübbers & Peter N Posch, 2017. "Bail-in and asset encumbrance - Implications for banks’ asset liability management," Journal of Banking Regulation, Palgrave Macmillan, vol. 18(2), pages 149-162, April.
    5. Damiano Brigo & Cristin Buescu & Marco Francischello & Andrea Pallavicini & Marek Rutkowski, 2022. "Nonlinear Valuation with XVAs: Two Converging Approaches," Mathematics, MDPI, vol. 10(5), pages 1-31, March.
    6. Han, Meng & He, Yeqi & Zhang, Hu, 2013. "A Note on Discounting and Funding Value Adjustments for Derivatives," MPRA Paper 44495, University Library of Munich, Germany.
    7. Alessandro Gnoatto & Athena Picarelli & Christoph Reisinger, 2020. "Deep xVA solver - A neural network based counterparty credit risk management framework," Working Papers 07/2020, University of Verona, Department of Economics.
    8. Bert-Jan Nauta, 2015. "Liquidity Risk, Instead Of Funding Costs, Leads To A Valuation Adjustment For Derivatives And Other Assets," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(02), pages 1-30.
    9. Damiano Brigo & Cristin Buescu & Andrea Pallavicini & Qing Liu, 2012. "Illustrating a problem in the self-financing condition in two 2010-2011 papers on funding, collateral and discounting," Papers 1207.2316, arXiv.org, revised Jul 2012.
    10. Giovanni Mottola, 2014. "Reflected Backward SDE approach to the price-hedge of defaultable claims with contingent switching CSA," Papers 1412.1325, arXiv.org, revised Feb 2015.
    11. T. van der Zwaard & L. A. Grzelak & C. W. Oosterlee, 2020. "A Computational Approach to Hedging Credit Valuation Adjustment in a Jump-Diffusion Setting," Papers 2005.10504, arXiv.org, revised Sep 2020.
    12. Johan Gunnesson & Alberto Fern'andez Mu~noz de Morales, 2014. "A Bond Consistent Derivative Fair Value," Papers 1406.5755, arXiv.org, revised Sep 2014.
    13. Papin, Timothée, 2013. "Pricing of Corporate Loan : Credit Risk and Liquidity cost," Economics Thesis from University Paris Dauphine, Paris Dauphine University, number 123456789/12545 edited by Turinici, Gabriel.
    14. Stéphane Crépey & Raphaël Douady, 2014. "The Whys of the LOIS: Credit Skew and Funding Spread Volatility," Post-Print hal-01151315, HAL.
    15. T. van der Zwaard & L. A. Grzelak & C. W. Oosterlee, 2022. "Relevance of Wrong-Way Risk in Funding Valuation Adjustments," Papers 2204.02680, arXiv.org, revised Jun 2022.
    16. Damiano Brigo & Marco Francischello & Andrea Pallavicini, 2015. "Invariance, existence and uniqueness of solutions of nonlinear valuation PDEs and FBSDEs inclusive of credit risk, collateral and funding costs," Papers 1506.00686, arXiv.org, revised Nov 2015.
    17. Leif Andersen & Darrell Duffie & Yang Song, 2017. "Funding Value Adjustments," NBER Working Papers 23680, National Bureau of Economic Research, Inc.
    18. Andrea Pallavicini & Daniele Perini & Damiano Brigo, 2012. "Funding, Collateral and Hedging: uncovering the mechanics and the subtleties of funding valuation adjustments," Papers 1210.3811, arXiv.org, revised Dec 2012.
    19. Damiano Brigo, 2011. "Counterparty Risk FAQ: Credit VaR, PFE, CVA, DVA, Closeout, Netting, Collateral, Re-hypothecation, WWR, Basel, Funding, CCDS and Margin Lending," Papers 1111.1331, arXiv.org, revised Jun 2012.
    20. Chris Kenyon & Richard David Kenyon, 2013. "DVA for Assets," Papers 1301.5425, arXiv.org.
    21. Jan Baldeaux & Eckhard Platen, 2013. "Credit Derivative Evaluation and CVA under the Benchmark Approach," Research Paper Series 324, Quantitative Finance Research Centre, University of Technology, Sydney.
    22. Johan Gunnesson & Alberto Fern'andez Mu~noz de Morales, 2014. "Recovering from Derivatives Funding: A consistent approach to DVA, FVA and Hedging," Papers 1403.1086, arXiv.org, revised Apr 2014.
    23. Alan Brace, 2013. "Primer: Curve Stripping with Full Collateralisation," Research Paper Series 330, Quantitative Finance Research Centre, University of Technology, Sydney.
    24. Lixin Wu, 2015. "Cva And Fva To Derivatives Trades Collateralized By Cash," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(05), pages 1-22.
    25. Tomasz R. Bielecki & Marek Rutkowski, 2013. "Valuation and hedging of OTC contracts with funding costs, collateralization and counterparty credit risk: Part 1," Papers 1306.4733, arXiv.org, revised Jun 2013.
    26. Meng Han & Yeqi He & Hu Zhang, 2014. "A note on discounting and funding value adjustments for derivatives," Journal of Financial Engineering (JFE), World Scientific Publishing Co. Pte. Ltd., vol. 1(01), pages 1-34.
    27. Damiano Brigo & Andrea Pallavicini, 2014. "Nonlinear consistent valuation of CCP cleared or CSA bilateral trades with initial margins under credit, funding and wrong-way risks," Journal of Financial Engineering (JFE), World Scientific Publishing Co. Pte. Ltd., vol. 1(01), pages 1-60.
    28. Damiano Brigo & Qing Liu & Andrea Pallavicini & David Sloth, 2014. "Nonlinear Valuation under Collateral, Credit Risk and Funding Costs: A Numerical Case Study Extending Black-Scholes," Papers 1404.7314, arXiv.org.
    29. Damiano Brigo & Cristin Buescu & Marco Francischello & Andrea Pallavicini & Marek Rutkowski, 2018. "Risk-neutral valuation under differential funding costs, defaults and collateralization," Papers 1802.10228, arXiv.org.
    30. Joel P. Villarino & 'Alvaro Leitao & Jos'e A. Garc'ia-Rodr'iguez, 2022. "Boundary-safe PINNs extension: Application to non-linear parabolic PDEs in counterparty credit risk," Papers 2210.02175, arXiv.org.
    31. Giovanni Mottola, 2014. "Generalized Dynkin game of switching type representation for defaultable claims in presence of contingent CSA," Papers 1410.0594, arXiv.org, revised Jan 2015.
    32. Damiano Brigo & Cristin Buescu & Marek Rutkowski, 2016. "Funding, repo and credit inclusive valuation as modified option pricing," Papers 1602.05998, arXiv.org, revised Jun 2017.
    33. Brigo, Damiano & Francischello, Marco & Pallavicini, Andrea, 2019. "Nonlinear valuation under credit, funding, and margins: Existence, uniqueness, invariance, and disentanglement," European Journal of Operational Research, Elsevier, vol. 274(2), pages 788-805.
    34. Alan Brace, 2013. "Primer: The FST Theorem for Pricing with Foreign Collateral," Research Paper Series 331, Quantitative Finance Research Centre, University of Technology, Sydney.
    35. Damiano Brigo & Federico Graceffa & Alexander Kalinin, 2021. "Mild to classical solutions for XVA equations under stochastic volatility," Papers 2112.11808, arXiv.org.
    36. Chaofan Sun & Ken Seng Tan & Wei Wei, 2022. "Credit Valuation Adjustment with Replacement Closeout: Theory and Algorithms," Papers 2201.09105, arXiv.org, revised Jan 2022.
    37. Lixin Wu & Dawei Zhang, 2020. "xVA: DEFINITION, EVALUATION AND RISK MANAGEMENT," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 23(01), pages 1-24, February.
    38. Kun Tian & Dewen Xiong & Wenchao Yan & George Xianzhi Yuan, 2018. "The study of dynamics for credit default risk by backward stochastic differential equation method," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 5(04), pages 1-32, December.
    39. Lorenzo Cornalba, 2014. "Funding Value Adjustment and Incomplete Markets," Papers 1409.6093, arXiv.org.
    40. Giovanni Mottola, 2014. "A stochastic switching control model arising in general OTC contracts with contingent CSA in presence of CVA, collateral and funding," Papers 1412.1469, arXiv.org.
    41. Lixin Wu, 2013. "CVA and FVA to Derivatives Trades Collateralized by Cash," Papers 1302.0465, arXiv.org.

  31. Damiano Brigo & Massimo Morini, 2010. "Dangers of Bilateral Counterparty Risk: the fundamental impact of closeout conventions," Papers 1011.3355, arXiv.org.

    Cited by:

    1. Calice, Giovanni, 2011. "The Impact of Collateral Policies on Sovereign CDS Spreads," ECMI Papers 12234, Centre for European Policy Studies.
    2. Tumasyan, Hovik, 2018. "A Second Look at Post Crisis Pricing of Derivatives - Part I: A Note on Money Accounts and Collateral," MPRA Paper 90806, University Library of Munich, Germany.
    3. Zhou, Richard, 2010. "Counterparty Risk Subject To ATE," MPRA Paper 28067, University Library of Munich, Germany.
    4. Juliusz Jabłecki, 2017. "Rise And Fall Of Synthetic Cdo Market: Lessons Learned," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(08), pages 1-28, December.
    5. Andrea Pallavicini & Daniele Perini & Damiano Brigo, 2011. "Funding Valuation Adjustment: a consistent framework including CVA, DVA, collateral,netting rules and re-hypothecation," Papers 1112.1521, arXiv.org, revised Dec 2011.
    6. Andrea Pallavicini & Daniele Perini & Damiano Brigo, 2012. "Funding, Collateral and Hedging: uncovering the mechanics and the subtleties of funding valuation adjustments," Papers 1210.3811, arXiv.org, revised Dec 2012.
    7. Claudio Albanese & Damiano Brigo & Frank Oertel, 2011. "Restructuring Counterparty Credit Risk," Papers 1112.1607, arXiv.org, revised May 2012.
    8. Damiano Brigo, 2011. "Counterparty Risk FAQ: Credit VaR, PFE, CVA, DVA, Closeout, Netting, Collateral, Re-hypothecation, WWR, Basel, Funding, CCDS and Margin Lending," Papers 1111.1331, arXiv.org, revised Jun 2012.
    9. Lorenzo Giada & Claudio Nordio, 2012. "Bilateral Credit Valuation Adjustment of an Optional Early Termination Clause," Papers 1205.2013, arXiv.org, revised Jan 2013.
    10. Damiano Brigo & Cristin Buescu & Marco Francischello & Andrea Pallavicini & Marek Rutkowski, 2018. "Risk-neutral valuation under differential funding costs, defaults and collateralization," Papers 1802.10228, arXiv.org.
    11. Jean-Paul Laurent & Philippe Amzelek & Joe Bonnaud, 2014. "An overview of the valuation of collateralized derivative contracts," Review of Derivatives Research, Springer, vol. 17(3), pages 261-286, October.
    12. Masaaki Fujii & Akihiko Takahashi, 2010. "Derivative Pricing under Asymmetric and Imperfect Collateralization and CVA," CARF F-Series CARF-F-240, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Mar 2011.
    13. Damiano Brigo & Andrea Pallavicini, 2013. "CCPs, Central Clearing, CSA, Credit Collateral and Funding Costs Valuation FAQ: Re-hypothecation, CVA, Closeout, Netting, WWR, Gap-Risk, Initial and Variation Margins, Multiple Discount Curves, FVA?," Papers 1312.0128, arXiv.org, revised Dec 2013.
    14. Damiano Brigo & Cristin Buescu & Massimo Morini, 2011. "Impact of the first to default time on Bilateral CVA," Papers 1106.3496, arXiv.org.
    15. Zhou, Richard, 2010. "Counterparty Risk Subject To ATE," MPRA Paper 27782, University Library of Munich, Germany.

  32. Damiano Brigo & Mirela Predescu & Agostino Capponi, 2010. "Credit Default Swaps Liquidity modeling: A survey," Papers 1003.0889, arXiv.org, revised Mar 2010.

    Cited by:

    1. Ola Hammarlid & Marta Leniec, 2018. "Credit Value Adjustment for Counterparties with Illiquid CDS," Papers 1806.07667, arXiv.org.
    2. Rose, Andrew K. & Spiegel, Mark M., 2012. "Dollar illiquidity and central bank swap arrangements during the global financial crisis," Journal of International Economics, Elsevier, vol. 88(2), pages 326-340.
    3. Andrew K. Rose & Mark M. Spiegel, 2012. "Central Bank Swaps And International Dollar Illiquidity," Global Journal of Economics (GJE), World Scientific Publishing Co. Pte. Ltd., vol. 1(01), pages 1-20.
    4. Damiano Brigo & Agostino Capponi & Andrea Pallavicini & Vasileios Papatheodorou, 2011. "Collateral Margining in Arbitrage-Free Counterparty Valuation Adjustment including Re-Hypotecation and Netting," Papers 1101.3926, arXiv.org.
    5. Michael B. Walker, 2014. "Modelling the Bid and Ask Prices of Illiquid CDSs," Papers 1403.1509, arXiv.org.

  33. Damiano Brigo & Marco Tarenghi, 2009. "Credit Default Swap Calibration and Counterparty Risk Valuation with a Scenario based First Passage Model," Papers 0912.3031, arXiv.org.

    Cited by:

    1. Chen, Chang-Chih & Shyu, So-De & Yang, Chih-Yuan, 2011. "Counterparty effects on capital structure decision in incomplete market," Economic Modelling, Elsevier, vol. 28(5), pages 2181-2189, September.
    2. Damiano Brigo, 2011. "Counterparty Risk FAQ: Credit VaR, PFE, CVA, DVA, Closeout, Netting, Collateral, Re-hypothecation, WWR, Basel, Funding, CCDS and Margin Lending," Papers 1111.1331, arXiv.org, revised Jun 2012.
    3. Qian, Qian & Yang, Yang & Gu, Jing & Feng, Hairong, 2019. "Information authenticity, spreading willingness and credit risk contagion – A dual-layer network perspective," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 536(C).
    4. Damiano Brigo & Massimo Morini & Marco Tarenghi, 2009. "Credit Calibration with Structural Models: The Lehman case and Equity Swaps under Counterparty Risk," Papers 0912.4404, arXiv.org.
    5. Qian, Qian & Chao, Xiangrui & Feng, Hairong, 2023. "Internal or external control? How to respond to credit risk contagion in complex enterprises network," International Review of Financial Analysis, Elsevier, vol. 87(C).
    6. Campi, Luciano & Polbennikov, Simon & Sbuelz, Alessandro, 2009. "Systematic equity-based credit risk: A CEV model with jump to default," Journal of Economic Dynamics and Control, Elsevier, vol. 33(1), pages 93-108, January.

  34. Damiano Brigo & Andrea Pallavicini & Vasileios Papatheodorou, 2009. "Bilateral counterparty risk valuation for interest-rate products: impact of volatilities and correlations," Papers 0911.3331, arXiv.org, revised Feb 2010.

    Cited by:

    1. Matthias Scherer & Thorsten Schulz, 2016. "Extremal Dependence For Bilateral Credit Valuation Adjustments," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(07), pages 1-21, November.
    2. Damiano Brigo & Andrea Pallavicini & Roberto Torresetti, 2009. "Credit models and the crisis, or: how I learned to stop worrying and love the CDOs," Papers 0912.5427, arXiv.org, revised Feb 2010.
    3. Andrea Pallavicini & Daniele Perini & Damiano Brigo, 2011. "Funding Valuation Adjustment: a consistent framework including CVA, DVA, collateral,netting rules and re-hypothecation," Papers 1112.1521, arXiv.org, revised Dec 2011.
    4. Johan Gunnesson & Alberto Fern'andez Mu~noz de Morales, 2014. "A Bond Consistent Derivative Fair Value," Papers 1406.5755, arXiv.org, revised Sep 2014.
    5. Chris Kenyon, 2010. "Completing CVA and Liquidity: Firm-Level Positions and Collateralized Trades," Papers 1009.3361, arXiv.org.
    6. Andrea Pallavicini & Daniele Perini & Damiano Brigo, 2012. "Funding, Collateral and Hedging: uncovering the mechanics and the subtleties of funding valuation adjustments," Papers 1210.3811, arXiv.org, revised Dec 2012.
    7. Claudio Albanese & Damiano Brigo & Frank Oertel, 2011. "Restructuring Counterparty Credit Risk," Papers 1112.1607, arXiv.org, revised May 2012.
    8. Damiano Brigo, 2011. "Counterparty Risk FAQ: Credit VaR, PFE, CVA, DVA, Closeout, Netting, Collateral, Re-hypothecation, WWR, Basel, Funding, CCDS and Margin Lending," Papers 1111.1331, arXiv.org, revised Jun 2012.
    9. Johan Gunnesson & Alberto Fern'andez Mu~noz de Morales, 2014. "Recovering from Derivatives Funding: A consistent approach to DVA, FVA and Hedging," Papers 1403.1086, arXiv.org, revised Apr 2014.
    10. Damiano Brigo & Massimo Morini & Marco Tarenghi, 2009. "Credit Calibration with Structural Models: The Lehman case and Equity Swaps under Counterparty Risk," Papers 0912.4404, arXiv.org.
    11. Giovanni Mottola, 2014. "A stochastic switching control model arising in general OTC contracts with contingent CSA in presence of CVA, collateral and funding," Papers 1412.1469, arXiv.org.
    12. Fries, Christian P., 2010. "Discounting Revisited. Valuations under Funding Costs, Counterparty Risk and Collateralization," MPRA Paper 23082, University Library of Munich, Germany, revised 30 May 2010.
    13. Damiano Brigo & Cristin Buescu & Massimo Morini, 2011. "Impact of the first to default time on Bilateral CVA," Papers 1106.3496, arXiv.org.
    14. Lixin Wu, 2013. "CVA and FVA to Derivatives Trades Collateralized by Cash," Papers 1302.0465, arXiv.org.

  35. Damiano Brigo & Marco Tarenghi, 2009. "Credit Default Swap Calibration and Equity Swap Valuation under Counterparty Risk with a Tractable Structural Model," Papers 0912.3028, arXiv.org.

    Cited by:

    1. Damiano Brigo & Andrea Pallavicini & Vasileios Papatheodorou, 2009. "Bilateral counterparty risk valuation for interest-rate products: impact of volatilities and correlations," Papers 0911.3331, arXiv.org, revised Feb 2010.
    2. Damiano Brigo & Marco Tarenghi, 2009. "Credit Default Swap Calibration and Counterparty Risk Valuation with a Scenario based First Passage Model," Papers 0912.3031, arXiv.org.
    3. Damiano Brigo, 2011. "Counterparty Risk FAQ: Credit VaR, PFE, CVA, DVA, Closeout, Netting, Collateral, Re-hypothecation, WWR, Basel, Funding, CCDS and Margin Lending," Papers 1111.1331, arXiv.org, revised Jun 2012.
    4. Giulia Livieri & Davide Radi & Elia Smaniotto, 2023. "Pricing Transition Risk with a Jump-Diffusion Credit Risk Model: Evidences from the CDS market," Papers 2303.12483, arXiv.org.
    5. Damiano Brigo & Jo~ao Garcia & Nicola Pede, 2013. "CoCo Bonds Valuation with Equity- and Credit-Calibrated First Passage Structural Models," Papers 1302.6629, arXiv.org.
    6. Damiano Brigo & Massimo Morini & Marco Tarenghi, 2009. "Credit Calibration with Structural Models: The Lehman case and Equity Swaps under Counterparty Risk," Papers 0912.4404, arXiv.org.
    7. Sukhomlin, Nikolay & Santana Jiménez, Lisette Josefina, 2010. "Problema de calibración de mercado y estructura implícita del modelo de bonos de Black-Cox = Market Calibration Problem and the Implied Structure of the Black-Cox Bond Model," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, vol. 10(1), pages 73-98, December.

  36. Damiano Brigo & Andrea Pallavicini & Roberto Torresetti, 2009. "Credit models and the crisis, or: how I learned to stop worrying and love the CDOs," Papers 0912.5427, arXiv.org, revised Feb 2010.

    Cited by:

    1. Balakrishna, B S, 2010. "Levy Subordinator Model of Default Dependency," MPRA Paper 21386, University Library of Munich, Germany.
    2. Tim J. Brereton & Dirk P. Kroese & Joshua C. Chan, 2012. "Monte Carlo Methods for Portfolio Credit Risk," ANU Working Papers in Economics and Econometrics 2012-579, Australian National University, College of Business and Economics, School of Economics.
    3. Balakrishna, B S, 2010. "Levy Subordinator Model: A Two Parameter Model of Default Dependency," MPRA Paper 26274, University Library of Munich, Germany.
    4. Vanini, Paolo, 2012. "Fiancial Innovation, Structuring and Risk Transfer," MPRA Paper 42536, University Library of Munich, Germany.

  37. Damiano Brigo & Massimo Morini & Marco Tarenghi, 2009. "Credit Calibration with Structural Models: The Lehman case and Equity Swaps under Counterparty Risk," Papers 0912.4404, arXiv.org.

    Cited by:

    1. Damiano Brigo & Jo~ao Garcia & Nicola Pede, 2013. "CoCo Bonds Valuation with Equity- and Credit-Calibrated First Passage Structural Models," Papers 1302.6629, arXiv.org.

  38. Damiano Brigo & Fabio Mercurio, 2008. "Discrete Time vs Continuous Time Stock-price Dynamics and implications for Option Pricing," Papers 0812.4010, arXiv.org.

    Cited by:

    1. Brigo, Damiano, 2000. "On SDEs with marginal laws evolving in finite-dimensional exponential families," Statistics & Probability Letters, Elsevier, vol. 49(2), pages 127-134, August.
    2. Damiano Brigo, 2008. "The general mixture-diffusion SDE and its relationship with an uncertain-volatility option model with volatility-asset decorrelation," Papers 0812.4052, arXiv.org.

  39. Damiano Brigo & Agostino Capponi, 2008. "Bilateral counterparty risk valuation with stochastic dynamical models and application to Credit Default Swaps," Papers 0812.3705, arXiv.org, revised Nov 2009.

    Cited by:

    1. Damiano Brigo & Andrea Pallavicini & Vasileios Papatheodorou, 2009. "Bilateral counterparty risk valuation for interest-rate products: impact of volatilities and correlations," Papers 0911.3331, arXiv.org, revised Feb 2010.
    2. Yifan Yang & Frank J. Fabozzi & Michele Leonardo Bianchi, 2015. "Bilateral counterparty risk valuation adjustment with wrong way risk on collateralized commodity counterparty," Journal of Financial Engineering (JFE), World Scientific Publishing Co. Pte. Ltd., vol. 2(01), pages 1-31.
    3. T. van der Zwaard & L. A. Grzelak & C. W. Oosterlee, 2020. "A Computational Approach to Hedging Credit Valuation Adjustment in a Jump-Diffusion Setting," Papers 2005.10504, arXiv.org, revised Sep 2020.
    4. Guglielmo D'Amico & Raimondo Manca & Giovanni Salvi, 2011. "Bivariate Semi-Markov Process for Counterparty Credit Risk," Papers 1112.0226, arXiv.org, revised Oct 2012.
    5. Arregui, Iñigo & Salvador, Beatriz & Vázquez, Carlos, 2017. "PDE models and numerical methods for total value adjustment in European and American options with counterparty risk," Applied Mathematics and Computation, Elsevier, vol. 308(C), pages 31-53.
    6. Damiano Brigo, 2011. "Counterparty Risk FAQ: Credit VaR, PFE, CVA, DVA, Closeout, Netting, Collateral, Re-hypothecation, WWR, Basel, Funding, CCDS and Margin Lending," Papers 1111.1331, arXiv.org, revised Jun 2012.
    7. Dilip B. Madan, 2012. "From credit valuation adjustments to credit capital commitments," Quantitative Finance, Taylor & Francis Journals, vol. 12(6), pages 839-845, April.
    8. Damiano Brigo & Mirela Predescu & Agostino Capponi, 2010. "Credit Default Swaps Liquidity modeling: A survey," Papers 1003.0889, arXiv.org, revised Mar 2010.
    9. Li, Hui, 2009. "Double Impact on CVA for CDS: Wrong-Way Risk with Stochastic Recovery," MPRA Paper 19684, University Library of Munich, Germany.
    10. Biffis, Enrico & Blake, David & Pitotti, Lorenzo & Sun, Ariel, 2011. "The cost of counterparty risk and collateralization in longevity swaps," MPRA Paper 35740, University Library of Munich, Germany.
    11. Simonella, Roberta & Vázquez, Carlos, 2023. "XVA in a multi-currency setting with stochastic foreign exchange rates," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 207(C), pages 59-79.
    12. Hui Li, 2013. "A Note On The Double Impact On Cva For Cds: Wrong-Way Risk With Stochastic Recovery," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 16(03), pages 1-14.
    13. Jill Cetina & Mark Paddrik & Sriram Rajan, 2016. "Stressed to the Core: Counterparty Concentrations and Systemic Losses in CDS Markets," Working Papers 16-01, Office of Financial Research, US Department of the Treasury.
    14. Long Teng & Matthias Ehrhardt & Michael Günther, 2013. "Bilateral Counterparty Risk Valuation Of Cds Contracts With Simultaneous Defaults," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 16(07), pages 1-20.
    15. Damiano Brigo & Massimo Morini & Marco Tarenghi, 2009. "Credit Calibration with Structural Models: The Lehman case and Equity Swaps under Counterparty Risk," Papers 0912.4404, arXiv.org.
    16. Chuang Yi, 2011. "Dangerous Knowledge: Credit Value Adjustment With Credit Triggers," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 14(06), pages 839-865.
    17. Ying Jiao & Huyên Pham, 2011. "Optimal investment with counterparty risk: a default-density model approach," Finance and Stochastics, Springer, vol. 15(4), pages 725-753, December.
    18. Bäuerle Nicole & Schmock Uwe, 2012. "Dependence properties of dynamic credit risk models," Statistics & Risk Modeling, De Gruyter, vol. 29(3), pages 243-268, August.
    19. Arregui, Iñigo & Simonella, Roberta & Vázquez, Carlos, 2022. "Total value adjustment for European options in a multi‐currency setting," Applied Mathematics and Computation, Elsevier, vol. 413(C).
    20. Harvey J. Stein, 2016. "Fixing Risk Neutral Risk Measures," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(03), pages 1-28, May.
    21. Damiano Brigo & Cristin Buescu & Massimo Morini, 2011. "Impact of the first to default time on Bilateral CVA," Papers 1106.3496, arXiv.org.
    22. Mai Jan-Frederik & Scherer Matthias, 2013. "What makes dependence modeling challenging? Pitfalls and ways to circumvent them," Statistics & Risk Modeling, De Gruyter, vol. 30(4), pages 287-306, December.

  40. Damiano Brigo & Andrea Pallavicini & Roberto Torresetti, 2008. "Default correlation, cluster dynamics and single names: The GPCL dynamical loss model," Papers 0812.4163, arXiv.org.

    Cited by:

    1. Balakrishna, B S, 2010. "Levy Subordinator Model of Default Dependency," MPRA Paper 21386, University Library of Munich, Germany.
    2. Balakrishna, B S, 2010. "Levy Subordinator Model: A Two Parameter Model of Default Dependency," MPRA Paper 26274, University Library of Munich, Germany.
    3. Balakrishna, B S, 2008. "Levy Density Based Intensity Modeling of the Correlation Smile," MPRA Paper 14922, University Library of Munich, Germany, revised 06 Apr 2009.

  41. Damiano Brigo, 2008. "The general mixture-diffusion SDE and its relationship with an uncertain-volatility option model with volatility-asset decorrelation," Papers 0812.4052, arXiv.org.

    Cited by:

    1. Antoine Jacquier & Patrick Roome, 2015. "Black-Scholes in a CEV random environment," Papers 1503.08082, arXiv.org, revised Nov 2017.
    2. Lech A. Grzelak, 2022. "Randomization of Short-Rate Models, Analytic Pricing and Flexibility in Controlling Implied Volatilities," Papers 2211.05014, arXiv.org.
    3. Alexander, Carol, 2004. "Normal mixture diffusion with uncertain volatility: Modelling short- and long-term smile effects," Journal of Banking & Finance, Elsevier, vol. 28(12), pages 2957-2980, December.
    4. Carol Alexander & Andrew Scourse, 2004. "Bivariate normal mixture spread option valuation," Quantitative Finance, Taylor & Francis Journals, vol. 4(6), pages 637-648.
    5. Damiano Brigo & Francesco Rapisarda & Abir Sridi, 2013. "The arbitrage-free Multivariate Mixture Dynamics Model: Consistent single-assets and index volatility smiles," Papers 1302.7010, arXiv.org, revised Sep 2014.
    6. Kole, Erik & Koedijk, Kees & Verbeek, Marno, 2006. "Portfolio implications of systemic crises," Journal of Banking & Finance, Elsevier, vol. 30(8), pages 2347-2369, August.

  42. Massimo Morini & Damiano Brigo, 2008. "Arbitrage-free Pricing of Credit Index Options: The no-armageddon pricing measure and the role of correlation after the subprime crisis," Papers 0812.4156, arXiv.org.

    Cited by:

    1. Jose Giancarlo Gasha & Mr. Andre O Santos & Mr. Jorge A Chan-Lau & Mr. Carlos I. Medeiros & Mr. Marcos R Souto & Christian Capuano, 2009. "Recent Advances in Credit Risk Modeling," IMF Working Papers 2009/162, International Monetary Fund.
    2. Rama Cont & Yu Hang Kan, 2011. "Dynamic hedging of portfolio credit derivatives," Post-Print hal-00578008, HAL.

  43. Damiano Brigo & Antonio Dalessandro & Matthias Neugebauer & Fares Triki, 2008. "A Stochastic Processes Toolkit for Risk Management," Papers 0812.4210, arXiv.org.

    Cited by:

    1. di Cosmo, Valeria & Malaguzzi Valeri, Laura, 2012. "The Incentive to Invest in Thermal Plants in the Presence of Wind Generation," Papers WP446, Economic and Social Research Institute (ESRI).
    2. Almendra Awerkin & Tiziano Vargiolu, 2021. "Optimal installation of renewable electricity sources: the case of Italy," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(2), pages 1179-1209, December.
    3. Chendi Ni & Yuying Li & Peter A. Forsyth, 2023. "Neural Network Approach to Portfolio Optimization with Leverage Constraints:a Case Study on High Inflation Investment," Papers 2304.05297, arXiv.org, revised May 2023.

  44. Damiano Brigo & Naoufel El-Bachir, 2008. "An exact formula for default swaptions' pricing in the SSRJD stochastic intensity model," Papers 0812.4199, arXiv.org.

    Cited by:

    1. Tomasz Bielecki & Monique Jeanblanc & Marek Rutkowski, 2011. "Hedging of a credit default swaption in the CIR default intensity model," Finance and Stochastics, Springer, vol. 15(3), pages 541-572, September.
    2. Damiano Brigo & Kyriakos Chourdakis & Imane Bakkar, 2009. "Counterparty risk valuation for Energy-Commodities swaps: Impact of volatilities and correlation," Papers 0901.1099, arXiv.org.
    3. Damiano Brigo & Andrea Pallavicini & Vasileios Papatheodorou, 2009. "Bilateral counterparty risk valuation for interest-rate products: impact of volatilities and correlations," Papers 0911.3331, arXiv.org, revised Feb 2010.
    4. Richard J Martin, 2011. "A CDS Option Miscellany," Papers 1201.0111, arXiv.org, revised May 2019.
    5. Damiano Brigo & Andrea Pallavicini & Roberto Torresetti, 2009. "Credit models and the crisis, or: how I learned to stop worrying and love the CDOs," Papers 0912.5427, arXiv.org, revised Feb 2010.
    6. Damiano Brigo, 2011. "Counterparty Risk FAQ: Credit VaR, PFE, CVA, DVA, Closeout, Netting, Collateral, Re-hypothecation, WWR, Basel, Funding, CCDS and Margin Lending," Papers 1111.1331, arXiv.org, revised Jun 2012.
    7. Damiano Brigo & Mirela Predescu & Agostino Capponi, 2010. "Credit Default Swaps Liquidity modeling: A survey," Papers 1003.0889, arXiv.org, revised Mar 2010.
    8. Amelie Hüttner & Matthias Scherer, 2016. "A note on the valuation of CDS options and extension risk in a structural model with jumps," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 3(02), pages 1-16, June.
    9. Michele Leonardo Bianchi, 2012. "An empirical comparison of alternative credit default swap pricing models," Temi di discussione (Economic working papers) 882, Bank of Italy, Economic Research and International Relations Area.
    10. Damiano Brigo & Massimo Morini & Marco Tarenghi, 2009. "Credit Calibration with Structural Models: The Lehman case and Equity Swaps under Counterparty Risk," Papers 0912.4404, arXiv.org.
    11. Naoufel El-Bachir & Damiano Brigo, 2008. "An analytically tractable time-changed jump-diffusion default intensity model," ICMA Centre Discussion Papers in Finance icma-dp2008-06, Henley Business School, University of Reading.

  45. Damiano Brigo, 2008. "Constant Maturity Credit Default Swap Pricing with Market Models," Papers 0812.4159, arXiv.org.

    Cited by:

    1. Damiano Brigo & Kyriakos Chourdakis & Imane Bakkar, 2009. "Counterparty risk valuation for Energy-Commodities swaps: Impact of volatilities and correlation," Papers 0901.1099, arXiv.org.
    2. Damiano Brigo & Marco Tarenghi, 2009. "Credit Default Swap Calibration and Equity Swap Valuation under Counterparty Risk with a Tractable Structural Model," Papers 0912.3028, arXiv.org.
    3. Damiano Brigo & Massimo Morini & Marco Tarenghi, 2009. "Credit Calibration with Structural Models: The Lehman case and Equity Swaps under Counterparty Risk," Papers 0912.4404, arXiv.org.

  46. Damiano Brigo & Naoufel El-Bachir, 2006. "Credit Derivatives Pricing with a Smile-Extended Jump Stochastic Intensity Model," ICMA Centre Discussion Papers in Finance icma-dp2006-13, Henley Business School, University of Reading.

    Cited by:

    1. Damiano Brigo & Naoufel El-Bachir, 2008. "An exact formula for default swaptions' pricing in the SSRJD stochastic intensity model," Papers 0812.4199, arXiv.org.
    2. Marco Di Francesco & Kevin Kamm, 2021. "How to handle negative interest rates in a CIR framework," Papers 2106.03716, arXiv.org.
    3. Jang, Jiwook & Mohd Ramli, Siti Norafidah, 2015. "Jump diffusion transition intensities in life insurance and disability annuity," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 440-451.

Articles

  1. Damiano Brigo & Federico Graceffa & Eyal Neuman, 2022. "Price impact on term structure," Quantitative Finance, Taylor & Francis Journals, vol. 22(1), pages 171-195, January.
    See citations under working paper version above.
  2. Damiano Brigo & Cristin Buescu & Marco Francischello & Andrea Pallavicini & Marek Rutkowski, 2022. "Nonlinear Valuation with XVAs: Two Converging Approaches," Mathematics, MDPI, vol. 10(5), pages 1-31, March.

    Cited by:

    1. Alessio Calvelli, 2022. "No-Arbitrage Pricing, Dynamics and Forward Prices of Collateralized Derivatives," Papers 2208.08746, arXiv.org, revised Mar 2023.

  3. Emilio Barucci & Damiano Brigo & Marco Francischello & Daniele Marazzina, 2022. "On the design of sovereign bond-backed securities," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 9(01), pages 1-23, March.

    Cited by:

    1. Barucci, Emilio & Brachetta, Matteo & Marazzina, Daniele, 2023. "On the feasibility of a debt redemption fund," Economic Modelling, Elsevier, vol. 119(C).

  4. Bellotti, Anthony & Brigo, Damiano & Gambetti, Paolo & Vrins, Frédéric, 2021. "Forecasting recovery rates on non-performing loans with machine learning," International Journal of Forecasting, Elsevier, vol. 37(1), pages 428-444.
    See citations under working paper version above.
  5. John Armstrong & Claudio Bellani & Damiano Brigo & Thomas Cass, 2021. "Option pricing models without probability: a rough paths approach," Mathematical Finance, Wiley Blackwell, vol. 31(4), pages 1494-1521, October.
    See citations under working paper version above.
  6. Federico Graceffa & Damiano Brigo & Andrea Pallavicini, 2020. "On the consistency of jump-diffusion dynamics for FX rates under inversion," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 7(04), pages 1-17, December.
    See citations under working paper version above.
  7. Brigo, Damiano & Jeanblanc, Monique & Vrins, Frédéric, 2020. "SDEs with uniform distributions: Peacocks, conic martingales and mean reverting uniform diffusions," Stochastic Processes and their Applications, Elsevier, vol. 130(7), pages 3895-3919.
    See citations under working paper version above.
  8. Brigo, Damiano & Francischello, Marco & Pallavicini, Andrea, 2019. "Nonlinear valuation under credit, funding, and margins: Existence, uniqueness, invariance, and disentanglement," European Journal of Operational Research, Elsevier, vol. 274(2), pages 788-805.

    Cited by:

    1. Francesca Biagini & Alessandro Gnoatto & Immacolata Oliva, 2019. "Pricing of counterparty risk and funding with CSA discounting, portfolio effects and initial margin," Working Papers 04/2019, University of Verona, Department of Economics.
    2. Damiano Brigo & Cristin Buescu & Marco Francischello & Andrea Pallavicini & Marek Rutkowski, 2022. "Nonlinear Valuation with XVAs: Two Converging Approaches," Mathematics, MDPI, vol. 10(5), pages 1-31, March.
    3. Alessandro Gnoatto & Athena Picarelli & Christoph Reisinger, 2020. "Deep xVA solver - A neural network based counterparty credit risk management framework," Working Papers 07/2020, University of Verona, Department of Economics.
    4. van der Zwaard, Thomas & Grzelak, Lech A. & Oosterlee, Cornelis W., 2022. "Relevance of Wrong-Way Risk in Funding Valuation Adjustments," Finance Research Letters, Elsevier, vol. 49(C).
    5. Alessio Calvelli, 2022. "No-Arbitrage Pricing, Dynamics and Forward Prices of Collateralized Derivatives," Papers 2208.08746, arXiv.org, revised Mar 2023.
    6. Joel P. Villarino & 'Alvaro Leitao & Jos'e A. Garc'ia-Rodr'iguez, 2022. "Boundary-safe PINNs extension: Application to non-linear parabolic PDEs in counterparty credit risk," Papers 2210.02175, arXiv.org.
    7. Kazuhiro Takino, 2022. "The impact of non-cash collateralization on the over-the-counter derivatives markets," Review of Derivatives Research, Springer, vol. 25(2), pages 137-171, July.
    8. Damiano Brigo & Federico Graceffa & Alexander Kalinin, 2021. "Mild to classical solutions for XVA equations under stochastic volatility," Papers 2112.11808, arXiv.org.
    9. Chaofan Sun & Ken Seng Tan & Wei Wei, 2022. "Credit Valuation Adjustment with Replacement Closeout: Theory and Algorithms," Papers 2201.09105, arXiv.org, revised Jan 2022.
    10. Antonelli, Fabio & Ramponi, Alessandro & Scarlatti, Sergio, 2022. "Approximate value adjustments for European claims," European Journal of Operational Research, Elsevier, vol. 300(3), pages 1149-1161.

  9. Armstrong, John & Brigo, Damiano, 2019. "Risk managing tail-risk seekers: VaR and expected shortfall vs S-shaped utility," Journal of Banking & Finance, Elsevier, vol. 101(C), pages 122-135.

    Cited by:

    1. Fangyuan Zhang, 2023. "Non-concave portfolio optimization with average value-at-risk," Mathematics and Financial Economics, Springer, volume 17, number 3, June.
    2. Huayuan Dong & Paolo Guasoni & Eberhard Mayerhofer, 2023. "Rogue traders," Finance and Stochastics, Springer, vol. 27(3), pages 539-603, July.
    3. John Armstrong & Damiano Brigo, 2019. "The ineffectiveness of coherent risk measures," Papers 1902.10015, arXiv.org, revised Oct 2020.
    4. Armstrong, John & Brigo, Damiano, 2022. "Coherent risk measures alone are ineffective in constraining portfolio losses," Journal of Banking & Finance, Elsevier, vol. 140(C).
    5. Hui Mi & Zuo Quan Xu & Dongfang Yang, 2023. "Optimal Management of DC Pension Plan with Inflation Risk and Tail VaR Constraint," Papers 2309.01936, arXiv.org.
    6. Martin Herdegen & Nazem Khan, 2022. "$\rho$-arbitrage and $\rho$-consistent pricing for star-shaped risk measures," Papers 2202.07610, arXiv.org, revised Feb 2024.
    7. Martin Herdegen & Nazem Khan, 2020. "Mean-$\rho$ portfolio selection and $\rho$-arbitrage for coherent risk measures," Papers 2009.05498, arXiv.org, revised Jul 2021.
    8. John Armstrong & Damiano Brigo & Alex S. L. Tse, 2020. "The importance of dynamic risk constraints for limited liability operators," Papers 2011.03314, arXiv.org.

  10. Damiano Brigo & Nicola Pede & Andrea Petrelli, 2019. "Multi-Currency Credit Default Swaps," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(04), pages 1-35, June.

    Cited by:

    1. Federico Graceffa & Damiano Brigo & Andrea Pallavicini, 2020. "On the consistency of jump-diffusion dynamics for FX rates under inversion," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 7(04), pages 1-17, December.

  11. Giacomo Bormetti & Damiano Brigo & Marco Francischello & Andrea Pallavicini, 2018. "Impact of multiple curve dynamics in credit valuation adjustments under collateralization," Quantitative Finance, Taylor & Francis Journals, vol. 18(1), pages 31-44, January.
    See citations under working paper version above.
  12. BRIGO, Damiano & VRINS, Frédéric, 2018. "Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures," European Journal of Operational Research, Elsevier, vol. 269(3), pages 1154-1164.
    See citations under working paper version above.
  13. Lamberton, Chris & Brigo, Damiano & Hoy, Dave, 2017. "Impact of Robotics, RPA and AI on the insurance industry: challenges and opportunities," Journal of Financial Perspectives, EY Global FS Institute, vol. 4(1), pages 8-20.

    Cited by:

    1. Khushboo E-Fatima & Rasoul Khandan & Amin Hosseinian-Far & Dilshad Sarwar, 2023. "The Adoption of Robotic Process Automation Considering Financial Aspects in Beef Supply Chains: An Approach towards Sustainability," Sustainability, MDPI, vol. 15(9), pages 1-34, April.

  14. Brigo, Damiano & Mai, Jan-Frederik & Scherer, Matthias, 2016. "Markov multi-variate survival indicators for default simulation as a new characterization of the Marshall–Olkin law," Statistics & Probability Letters, Elsevier, vol. 114(C), pages 60-66.

    Cited by:

    1. Sloot Henrik, 2022. "Implementing Markovian models for extendible Marshall–Olkin distributions," Dependence Modeling, De Gruyter, vol. 10(1), pages 308-343, January.

  15. Damiano Brigo & João Garcia & Nicola Pede, 2015. "Coco Bonds Pricing With Credit And Equity Calibrated First-Passage Firm Value Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(03), pages 1-31.

    Cited by:

    1. Francesca Biagini & Alessandro Gnoatto & Maximilian Härtel, 2020. "General Analysis Of Long-Term Interest Rates," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 23(01), pages 1-29, January.
    2. Chi Man Leung & Yue Kuen Kwok, 2017. "NUMERICAL PRICING OF CoCo BONDS WITH PARISIAN TRIGGER FEATURE USING THE FORTET METHOD," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(07), pages 1-22, November.
    3. Pierluigi Bologna & Arianna Miglietta & Anatoli Segura, 2018. "Contagion in the CoCos market? A case study of two stress events," Temi di discussione (Economic working papers) 1201, Bank of Italy, Economic Research and International Relations Area.
    4. Mike Derksen & Peter Spreij & Sweder van Wijnbergen, 2018. "Accounting Noise and the Pricing of Cocos," Tinbergen Institute Discussion Papers 18-037/VI, Tinbergen Institute.
    5. Francesca Biagini & Alessandro Gnoatto & Maximilian Hartel, 2015. "The Long-Term Swap Rate and a General Analysis of Long-Term Interest Rates," Papers 1507.00208, arXiv.org, revised Jun 2019.
    6. Choe, Geon Ho & Jang, Hyun Jin & Na, Young Hoon, 2019. "Pricing contingent convertible bonds: An analytical approach based on two-dimensional stochastic processes," Statistics & Probability Letters, Elsevier, vol. 148(C), pages 43-53.
    7. Delphine Boursicot & Geneviève Gauthier & Farhad Pourkalbassi, 2019. "Contingent Convertible Debt: The Impact on Equity Holders," Risks, MDPI, vol. 7(2), pages 1-35, April.
    8. Christian Koziol & Sebastian Weitz, 2021. "Does model complexity improve pricing accuracy? The case of CoCos," Review of Derivatives Research, Springer, vol. 24(3), pages 261-284, October.

  16. Damiano Brigo & Cristin Buescu & Andrea Pallavicini & Qing Liu, 2015. "A Note On The Self-Financing Condition For Funding, Collateral And Discounting," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(02), pages 1-10.

    Cited by:

    1. Alessandro Gnoatto & Nicole Seiffert, 2020. "Cross Currency Valuation and Hedging in the Multiple Curve Framework," Working Papers 03/2020, University of Verona, Department of Economics.

  17. Damiano Brigo & Giuseppe Di Graziano, 2014. "Optimal trade execution under displaced diffusions dynamics across different risk criteria," Journal of Financial Engineering (JFE), World Scientific Publishing Co. Pte. Ltd., vol. 1(02), pages 1-17.

    Cited by:

    1. Damiano Brigo & Clement Piat, 2016. "Static vs adapted optimal execution strategies in two benchmark trading models," Papers 1609.05523, arXiv.org.
    2. Masashi Ieda, 2015. "A dynamic optimal execution strategy under stochastic price recovery," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 2(04), pages 1-24, December.
    3. Claudio Bellani & Damiano Brigo, 2021. "Mechanics of good trade execution in the framework of linear temporary market impact," Quantitative Finance, Taylor & Francis Journals, vol. 21(1), pages 143-163, January.
    4. M. Alessandra Crisafi & Andrea Macrina, 2016. "Simultaneous Trading In ‘Lit’ And Dark Pools," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(08), pages 1-33, December.
    5. Chiara Benazzoli & Luca Di Persio, 2017. "Optimal execution strategy in liquidity framework," Cogent Economics & Finance, Taylor & Francis Journals, vol. 5(1), pages 1364902-136, January.
    6. Masashi Ieda, 2015. "A dynamic optimal execution strategy under stochastic price recovery," Papers 1502.04521, arXiv.org.

  18. Damiano Brigo & Andrea Pallavicini, 2014. "Nonlinear consistent valuation of CCP cleared or CSA bilateral trades with initial margins under credit, funding and wrong-way risks," Journal of Financial Engineering (JFE), World Scientific Publishing Co. Pte. Ltd., vol. 1(01), pages 1-60.

    Cited by:

    1. Han, Xingyu, 2018. "Pricing and hedging vulnerable option with funding costs and collateral," Chaos, Solitons & Fractals, Elsevier, vol. 112(C), pages 103-115.
    2. Claudio Albanese & Simone Caenazzo & St'ephane Cr'epey, 2016. "Capital Valuation Adjustment and Funding Valuation Adjustment," Papers 1603.03012, arXiv.org.
    3. Francesca Biagini & Alessandro Gnoatto & Immacolata Oliva, 2019. "Pricing of counterparty risk and funding with CSA discounting, portfolio effects and initial margin," Working Papers 04/2019, University of Verona, Department of Economics.
    4. Damiano Brigo & Cyril Durand, 2014. "An initial approach to Risk Management of Funding Costs," Papers 1410.2034, arXiv.org.
    5. Damiano Brigo & Cristin Buescu & Marco Francischello & Andrea Pallavicini & Marek Rutkowski, 2022. "Nonlinear Valuation with XVAs: Two Converging Approaches," Mathematics, MDPI, vol. 10(5), pages 1-31, March.
    6. Alessandro Gnoatto & Athena Picarelli & Christoph Reisinger, 2020. "Deep xVA solver - A neural network based counterparty credit risk management framework," Working Papers 07/2020, University of Verona, Department of Economics.
    7. Berndsen, Ron, 2020. "Five Fundamental Questions on Central Counterparties," Other publications TiSEM 1f3bd844-92ab-4104-8f57-9, Tilburg University, School of Economics and Management.
    8. Enrico Biffis & Beniamin Goldys & Cecilia Prosdocimi & Margherita Zanella, 2023. "A pricing formula for delayed claims: appreciating the past to value the future," Mathematics and Financial Economics, Springer, volume 17, number 2, June.
    9. Yannick Armenti & Stéphane Crépey, 2017. "Central Clearing Valuation Adjustment," Working Papers hal-01169169, HAL.
    10. Maxim Bichuch & Agostino Capponi & Stephan Sturm, 2020. "Robust XVA," Mathematical Finance, Wiley Blackwell, vol. 30(3), pages 738-781, July.
    11. Stéphane Crépey & Shiqi Song, 2014. "BSDEs of Counterparty Risk," Working Papers hal-01088941, HAL.
    12. T. van der Zwaard & L. A. Grzelak & C. W. Oosterlee, 2022. "Relevance of Wrong-Way Risk in Funding Valuation Adjustments," Papers 2204.02680, arXiv.org, revised Jun 2022.
    13. Damiano Brigo & Marco Francischello & Andrea Pallavicini, 2015. "Invariance, existence and uniqueness of solutions of nonlinear valuation PDEs and FBSDEs inclusive of credit risk, collateral and funding costs," Papers 1506.00686, arXiv.org, revised Nov 2015.
    14. Xing Gao & Daniel Ladley, 2022. "Noise trading and market stability," The European Journal of Finance, Taylor & Francis Journals, vol. 28(13-15), pages 1283-1301, October.
    15. Stéphane Crépey & Wissal Sabbagh & Shiqi Song, 2020. "When Capital Is a Funding Source: The Anticipated Backward Stochastic Differential Equations of X-Value Adjustments," Post-Print hal-03910119, HAL.
    16. Crépey, Stéphane & Song, Shiqi, 2015. "BSDEs of counterparty risk," Stochastic Processes and their Applications, Elsevier, vol. 125(8), pages 3023-3052.
    17. Marek Rutkowski & Matthew Bickersteth, 2021. "Pricing and Hedging of SOFR Derivatives under Differential Funding Costs and Collateralization," Papers 2112.14033, arXiv.org.
    18. Claudio Albanese & Marc Chataigner & Stéphane Crépey, 2020. "Wealth Transfers, Indifference Pricing, and XVA Compression Schemes," Post-Print hal-03910047, HAL.
    19. Stéphane Crépey & Shiqi Song, 2016. "Counterparty risk and funding: immersion and beyond," Finance and Stochastics, Springer, vol. 20(4), pages 901-930, October.
    20. Alessandro Gnoatto & Nicole Seiffert, 2020. "Cross Currency Valuation and Hedging in the Multiple Curve Framework," Working Papers 03/2020, University of Verona, Department of Economics.
    21. Claudio Albanese & Stéphane Crépey & Rodney Hoskinson & Bouazza Saadeddine, 2021. "XVA Analysis From the Balance Sheet," Post-Print hal-03910125, HAL.
    22. Meng Han & Yeqi He & Hu Zhang, 2014. "A note on discounting and funding value adjustments for derivatives," Journal of Financial Engineering (JFE), World Scientific Publishing Co. Pte. Ltd., vol. 1(01), pages 1-34.
    23. Lokman A. Abbas-Turki & Stéphane Crépey & Babacar Diallo, 2018. "Xva Principles, Nested Monte Carlo Strategies, And Gpu Optimizations," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(06), pages 1-40, September.
    24. Damiano Brigo & Qing Liu & Andrea Pallavicini & David Sloth, 2014. "Nonlinear Valuation under Collateral, Credit Risk and Funding Costs: A Numerical Case Study Extending Black-Scholes," Papers 1404.7314, arXiv.org.
    25. Damiano Brigo & Cristin Buescu & Marco Francischello & Andrea Pallavicini & Marek Rutkowski, 2018. "Risk-neutral valuation under differential funding costs, defaults and collateralization," Papers 1802.10228, arXiv.org.
    26. Joel P. Villarino & 'Alvaro Leitao & Jos'e A. Garc'ia-Rodr'iguez, 2022. "Boundary-safe PINNs extension: Application to non-linear parabolic PDEs in counterparty credit risk," Papers 2210.02175, arXiv.org.
    27. Giacomo Bormetti & Damiano Brigo & Marco Francischello & Andrea Pallavicini, 2018. "Impact of multiple curve dynamics in credit valuation adjustments under collateralization," Quantitative Finance, Taylor & Francis Journals, vol. 18(1), pages 31-44, January.
    28. Maxim Bichuch & Agostino Capponi & Stephan Sturm, 2015. "Arbitrage-Free Pricing of XVA -- Part I: Framework and Explicit Examples," Papers 1501.05893, arXiv.org, revised Aug 2016.
    29. Maxim Bichuch & Agostino Capponi & Stephan Sturm, 2018. "Robust XVA," Papers 1808.04908, arXiv.org, revised Feb 2020.
    30. Damiano Brigo & Marco Francischello & Andrea Pallavicini, 2017. "An indifference approach to the cost of capital constraints: KVA and beyond," Papers 1708.05319, arXiv.org.
    31. Damiano Brigo & Cristin Buescu & Marek Rutkowski, 2016. "Funding, repo and credit inclusive valuation as modified option pricing," Papers 1602.05998, arXiv.org, revised Jun 2017.
    32. Brigo, Damiano & Francischello, Marco & Pallavicini, Andrea, 2019. "Nonlinear valuation under credit, funding, and margins: Existence, uniqueness, invariance, and disentanglement," European Journal of Operational Research, Elsevier, vol. 274(2), pages 788-805.
    33. Wujiang Lou, 2015. "MVA Transfer Pricing," Papers 1512.07337, arXiv.org, revised Jul 2016.
    34. Damiano Brigo & Federico Graceffa & Alexander Kalinin, 2021. "Mild to classical solutions for XVA equations under stochastic volatility," Papers 2112.11808, arXiv.org.
    35. Stéphane Crépey & Shiqi Song, 2014. "Counterparty risk and funding: Immersion and beyond," Working Papers hal-00989062, HAL.
    36. Maxim Bichuch & Agostino Capponi & Stephan Sturm, 2016. "Arbitrage-Free XVA," Papers 1608.02690, arXiv.org.
    37. Ron Berndsen, 2021. "Fundamental questions on central counterparties: A review of the literature," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(12), pages 2009-2022, December.
    38. T. van der Zwaard & L. A. Grzelak & C. W. Oosterlee, 2022. "Efficient Wrong-Way Risk Modelling for Funding Valuation Adjustments," Papers 2209.12222, arXiv.org, revised Mar 2023.
    39. Tomasz R. Bielecki & Igor Cialenco & Marek Rutkowski, 2017. "Arbitrage-Free Pricing Of Derivatives In Nonlinear Market Models," Papers 1701.08399, arXiv.org, revised Apr 2018.
    40. Yannick Armenti & St'ephane Cr'epey, 2015. "Central Clearing Valuation Adjustment," Papers 1506.08595, arXiv.org, revised Feb 2017.

  19. Damiano Brigo & Agostino Capponi & Andrea Pallavicini, 2014. "Arbitrage-Free Bilateral Counterparty Risk Valuation Under Collateralization And Application To Credit Default Swaps," Mathematical Finance, Wiley Blackwell, vol. 24(1), pages 125-146, January.

    Cited by:

    1. J. C. Arismendi-Zambrano & Vladimir Belitsky & Vinicius Amorim Sobreiro & Herbert Kimura, 2020. "The Implications of Tail Dependency Measures for Counterparty Credit Risk Pricing," Economics Department Working Paper Series n306-20.pdf, Department of Economics, National University of Ireland - Maynooth.
    2. Han, Xingyu, 2018. "Pricing and hedging vulnerable option with funding costs and collateral," Chaos, Solitons & Fractals, Elsevier, vol. 112(C), pages 103-115.
    3. Brigo, Damiano & Vrins, Frédéric, 2018. "Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures," LIDAM Reprints LFIN 2018012, Université catholique de Louvain, Louvain Finance (LFIN).
    4. Lin, Feng & Peng, Liang & Xie, Jiehua & Yang, Jingping, 2018. "Stochastic distortion and its transformed copula," Insurance: Mathematics and Economics, Elsevier, vol. 79(C), pages 148-166.
    5. Lorenzo Silotto & Marco Scaringi & Marco Bianchetti, 2021. "Everything You Always Wanted to Know About XVA Model Risk but Were Afraid to Ask," Papers 2107.10377, arXiv.org.
    6. Monique Jeanblanc & Libo Li & Shiqi Song, 2018. "An enlargement of filtration formula with applications to multiple non-ordered default times," Finance and Stochastics, Springer, vol. 22(1), pages 205-240, January.
    7. Francesca Biagini & Alessandro Gnoatto & Immacolata Oliva, 2019. "Pricing of counterparty risk and funding with CSA discounting, portfolio effects and initial margin," Working Papers 04/2019, University of Verona, Department of Economics.
    8. Damiano Brigo & Cristin Buescu & Marco Francischello & Andrea Pallavicini & Marek Rutkowski, 2022. "Nonlinear Valuation with XVAs: Two Converging Approaches," Mathematics, MDPI, vol. 10(5), pages 1-31, March.
    9. Alessandro Gnoatto & Athena Picarelli & Christoph Reisinger, 2020. "Deep xVA solver - A neural network based counterparty credit risk management framework," Working Papers 07/2020, University of Verona, Department of Economics.
    10. Tomasz R. Bielecki & Marek Rutkowski, 2014. "Valuation and Hedging of Contracts with Funding Costs and Collateralization," Papers 1405.4079, arXiv.org, revised Dec 2014.
    11. Matthias Scherer & Thorsten Schulz, 2016. "Extremal Dependence For Bilateral Credit Valuation Adjustments," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(07), pages 1-21, November.
    12. Maxim Bichuch & Agostino Capponi & Stephan Sturm, 2020. "Robust XVA," Mathematical Finance, Wiley Blackwell, vol. 30(3), pages 738-781, July.
    13. Wang, Guanying & Wang, Xingchun & Shao, Xinjian, 2022. "Exchange options for catastrophe risk management," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
    14. Jinbeom Kim & Tim Leung, 2015. "Pricing Derivatives with Counterparty Risk and Collateralization: A Fixed Point Approach," Papers 1501.06221, arXiv.org.
    15. Harb, Etienne & Louhichi, Wael, 2017. "Pricing CDS spreads with Credit Valuation Adjustment using a mixture copula," Research in International Business and Finance, Elsevier, vol. 39(PB), pages 963-975.
    16. Frédéric Vrins, 2017. "Wrong-way risk CVA models with analytical EPE profiles under Gaussian exposure dynamics," LIDAM Reprints CORE 2922, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    17. Pavel V. Gapeev & Monique Jeanblanc, 2020. "Credit Default Swaps In Two-Dimensional Models With Various Informations Flows," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 23(02), pages 1-28, March.
    18. St'ephane Cr'epey & Shiqi Song, 2017. "Invariance times," Papers 1702.01045, arXiv.org.
    19. Gapeev, Pavel V. & Jeanblanc, Monique, 2021. "First-to-default and second-to-default options in models with various information flows," LSE Research Online Documents on Economics 110750, London School of Economics and Political Science, LSE Library.
    20. Raymond Brummelhuis & Zhongmin Luo, 2018. "Arbitrage Opportunities in CDS Term Structure: Theory and Implications for OTC Derivatives," Papers 1811.08038, arXiv.org, revised Dec 2018.
    21. Mbaye, Cheikh & Vrins, Frédéric, 2019. "Affine term-structure models: A time-changed approach with perfect fit to market curves," LIDAM Discussion Papers LFIN 2019005, Université catholique de Louvain, Louvain Finance (LFIN).
    22. Xingchun Wang, 2022. "Valuing fade-in options with default risk in Heston–Nandi GARCH models," Review of Derivatives Research, Springer, vol. 25(1), pages 1-22, April.
    23. Wang, Guanying & Wang, Xingchun & Zhou, Ke, 2017. "Pricing vulnerable options with stochastic volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 485(C), pages 91-103.
    24. Akari, Mohamed-Ali & Ben-Abdallah, Ramzi & Breton, Michèle & Dionne, Georges, 2018. "The impact of central clearing on the market for single-name credit default swaps," Working Papers 18-1, HEC Montreal, Canada Research Chair in Risk Management, revised 25 Jan 2019.
    25. Bo, Lijun & Capponi, Agostino, 2015. "Counterparty risk for CDS: Default clustering effects," Journal of Banking & Finance, Elsevier, vol. 52(C), pages 29-42.
    26. Biffis, Enrico & Blake, David & Pitotti, Lorenzo & Sun, Ariel, 2011. "The cost of counterparty risk and collateralization in longevity swaps," MPRA Paper 35740, University Library of Munich, Germany.
    27. Damiano Brigo & Nicola Pede & Andrea Petrelli, 2019. "Multi-Currency Credit Default Swaps," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(04), pages 1-35, June.
    28. Qian Feng & Cornelis W. Oosterlee, 2017. "Computing Credit Valuation Adjustment For Bermudan Options With Wrong Way Risk," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(08), pages 1-31, December.
    29. Stéphane Crépey & Shiqi Song, 2017. "Invariance Times ," Working Papers hal-01455414, HAL.
    30. Lijun Bo & Agostino Capponi & Claudia Ceci, 2017. "Risk-Minimizing Hedging of Counterparty Risk," Papers 1709.01115, arXiv.org.
    31. Damiano Brigo & Cristin Buescu & Marco Francischello & Andrea Pallavicini & Marek Rutkowski, 2018. "Risk-neutral valuation under differential funding costs, defaults and collateralization," Papers 1802.10228, arXiv.org.
    32. Xingchun Wang, 2016. "The Pricing of Catastrophe Equity Put Options with Default Risk," International Review of Finance, International Review of Finance Ltd., vol. 16(2), pages 181-201, June.
    33. Joel P. Villarino & 'Alvaro Leitao & Jos'e A. Garc'ia-Rodr'iguez, 2022. "Boundary-safe PINNs extension: Application to non-linear parabolic PDEs in counterparty credit risk," Papers 2210.02175, arXiv.org.
    34. Xingchun Wang, 2020. "Analytical valuation of Asian options with counterparty risk under stochastic volatility models," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(3), pages 410-429, March.
    35. Maxim Bichuch & Agostino Capponi & Stephan Sturm, 2015. "Arbitrage-Free Pricing of XVA -- Part I: Framework and Explicit Examples," Papers 1501.05893, arXiv.org, revised Aug 2016.
    36. Junbeom Lee & Chao Zhou, 2021. "Binary funding impacts in derivative valuation," Mathematical Finance, Wiley Blackwell, vol. 31(1), pages 242-278, January.
    37. Arismendi-Zambrano, Juan & Belitsky, Vladimir & Sobreiro, Vinicius Amorim & Kimura, Herbert, 2022. "The implications of dependence, tail dependence, and bounds’ measures for counterparty credit risk pricing," Journal of Financial Stability, Elsevier, vol. 58(C).
    38. Brigo, Damiano & Francischello, Marco & Pallavicini, Andrea, 2019. "Nonlinear valuation under credit, funding, and margins: Existence, uniqueness, invariance, and disentanglement," European Journal of Operational Research, Elsevier, vol. 274(2), pages 788-805.
    39. Yen Thuan Trinh & Bernard Hanzon, 2022. "Option Pricing and CVA Calculations using the Monte Carlo-Tree (MC-Tree) Method," Papers 2202.00785, arXiv.org.
    40. Damiano Brigo & Federico Graceffa & Alexander Kalinin, 2021. "Mild to classical solutions for XVA equations under stochastic volatility," Papers 2112.11808, arXiv.org.
    41. Luke M. Bennett & Wei Hu, 2023. "Filtration enlargement‐based time series forecast in view of insider trading," Journal of Economic Surveys, Wiley Blackwell, vol. 37(1), pages 112-140, February.
    42. Chaofan Sun & Ken Seng Tan & Wei Wei, 2022. "Credit Valuation Adjustment with Replacement Closeout: Theory and Algorithms," Papers 2201.09105, arXiv.org, revised Jan 2022.
    43. Damiano Brigo & Nicola Pede & Andrea Petrelli, 2015. "Multi Currency Credit Default Swaps Quanto effects and FX devaluation jumps," Papers 1512.07256, arXiv.org, revised Jan 2018.
    44. Damien Ackerer & Damir Filipović, 2020. "Linear credit risk models," Finance and Stochastics, Springer, vol. 24(1), pages 169-214, January.
    45. Kun Tian & Dewen Xiong & Wenchao Yan & George Xianzhi Yuan, 2018. "The study of dynamics for credit default risk by backward stochastic differential equation method," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 5(04), pages 1-32, December.
    46. Stéphane Crépey & Tuyet Mai Nguyen, 2018. "Nonlinear Monte Carlo schemes for counterparty risk on credit derivatives," Working Papers hal-01764400, HAL.
    47. Jan-Frederik Mai, 2019. "Pricing-Hedging Duality For Credit Default Swaps And The Negative Basis Arbitrage," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(06), pages 1-17, September.
    48. Che Guo & Xingchun Wang, 2022. "Pricing vulnerable options under correlated skew Brownian motions," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(5), pages 852-867, May.
    49. Irena Barjav{s}i'c & Stefano Battiston & Vinko Zlati'c, 2023. "Credit Valuation Adjustment in Financial Networks," Papers 2305.16434, arXiv.org.
    50. Maxim Bichuch & Agostino Capponi & Stephan Sturm, 2016. "Arbitrage-Free XVA," Papers 1608.02690, arXiv.org.
    51. Wang, Xingchun, 2019. "Valuation of new-designed contracts for catastrophe risk management," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
    52. Damiano Brigo & Fr'ed'eric Vrins, 2016. "Disentangling wrong-way risk: pricing CVA via change of measures and drift adjustment," Papers 1611.02877, arXiv.org.
    53. Paul Glasserman & Linan Yang, 2015. "Bounding Wrong-Way Risk in Measuring Counterparty Risk," Working Papers 15-16, Office of Financial Research, US Department of the Treasury.
    54. Ballotta, Laura & Fusai, Gianluca & Marazzina, Daniele, 2019. "Integrated structural approach to Credit Value Adjustment," European Journal of Operational Research, Elsevier, vol. 272(3), pages 1143-1157.
    55. Cont Rama & Kokholm Thomas, 2014. "Central clearing of OTC derivatives: Bilateral vs multilateral netting," Statistics & Risk Modeling, De Gruyter, vol. 31(1), pages 1-20, March.

  20. Claudio Albanese & Damiano Brigo & Frank Oertel, 2013. "Restructuring Counterparty Credit Risk," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 16(02), pages 1-29.
    See citations under working paper version above.
  21. Damiano Brigo & Agostino Capponi & Andrea Pallavicini & Vasileios Papatheodorou, 2013. "Pricing Counterparty Risk Including Collateralization, Netting Rules, Re-Hypothecation And Wrong-Way Risk," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 16(02), pages 1-16.

    Cited by:

    1. J. C. Arismendi-Zambrano & Vladimir Belitsky & Vinicius Amorim Sobreiro & Herbert Kimura, 2020. "The Implications of Tail Dependency Measures for Counterparty Credit Risk Pricing," Economics Department Working Paper Series n306-20.pdf, Department of Economics, National University of Ireland - Maynooth.
    2. Brigo, Damiano & Vrins, Frédéric, 2018. "Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures," LIDAM Reprints LFIN 2018012, Université catholique de Louvain, Louvain Finance (LFIN).
    3. Damiano Brigo & Cristin Buescu & Marco Francischello & Andrea Pallavicini & Marek Rutkowski, 2022. "Nonlinear Valuation with XVAs: Two Converging Approaches," Mathematics, MDPI, vol. 10(5), pages 1-31, March.
    4. Damiano Brigo & Cristin Buescu & Marco Francischello & Andrea Pallavicini & Marek Rutkowski, 2018. "Risk-neutral valuation under differential funding costs, defaults and collateralization," Papers 1802.10228, arXiv.org.
    5. Arismendi-Zambrano, Juan & Belitsky, Vladimir & Sobreiro, Vinicius Amorim & Kimura, Herbert, 2022. "The implications of dependence, tail dependence, and bounds’ measures for counterparty credit risk pricing," Journal of Financial Stability, Elsevier, vol. 58(C).
    6. Yuji Sakurai & Tetsuo Kurosaki, 2020. "A simulation analysis of systemic counterparty risk in over-the-counter derivatives markets," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 15(1), pages 243-281, January.
    7. Damiano Brigo & Fr'ed'eric Vrins, 2016. "Disentangling wrong-way risk: pricing CVA via change of measures and drift adjustment," Papers 1611.02877, arXiv.org.
    8. Damiano Brigo & Andrea Pallavicini, 2013. "CCPs, Central Clearing, CSA, Credit Collateral and Funding Costs Valuation FAQ: Re-hypothecation, CVA, Closeout, Netting, WWR, Gap-Risk, Initial and Variation Margins, Multiple Discount Curves, FVA?," Papers 1312.0128, arXiv.org, revised Dec 2013.
    9. Ballotta, Laura & Fusai, Gianluca & Marazzina, Daniele, 2019. "Integrated structural approach to Credit Value Adjustment," European Journal of Operational Research, Elsevier, vol. 272(3), pages 1143-1157.

  22. Damiano Brigo & Cristin Buescu & Massimo Morini, 2012. "Counterparty Risk Pricing: Impact Of Closeout And First-To-Default Times," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 15(06), pages 1-23.

    Cited by:

    1. Damiano Brigo & Cristin Buescu & Marco Francischello & Andrea Pallavicini & Marek Rutkowski, 2022. "Nonlinear Valuation with XVAs: Two Converging Approaches," Mathematics, MDPI, vol. 10(5), pages 1-31, March.
    2. Jinbeom Kim & Tim Leung, 2015. "Pricing Derivatives with Counterparty Risk and Collateralization: A Fixed Point Approach," Papers 1501.06221, arXiv.org.
    3. Damiano Brigo & Qing Liu & Andrea Pallavicini & David Sloth, 2014. "Nonlinear Valuation under Collateral, Credit Risk and Funding Costs: A Numerical Case Study Extending Black-Scholes," Papers 1404.7314, arXiv.org.
    4. Chaofan Sun & Ken Seng Tan & Wei Wei, 2022. "Credit Valuation Adjustment with Replacement Closeout: Theory and Algorithms," Papers 2201.09105, arXiv.org, revised Jan 2022.
    5. Ballotta, Laura & Fusai, Gianluca & Marazzina, Daniele, 2019. "Integrated structural approach to Credit Value Adjustment," European Journal of Operational Research, Elsevier, vol. 272(3), pages 1143-1157.

  23. Damiano Brigo & Andrea Pallavicini & Vasileios Papatheodorou, 2011. "Arbitrage-Free Valuation Of Bilateral Counterparty Risk For Interest-Rate Products: Impact Of Volatilities And Correlations," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 14(06), pages 773-802.

    Cited by:

    1. Lorenzo Silotto & Marco Scaringi & Marco Bianchetti, 2021. "Everything You Always Wanted to Know About XVA Model Risk but Were Afraid to Ask," Papers 2107.10377, arXiv.org.
    2. Monique Jeanblanc & Libo Li & Shiqi Song, 2018. "An enlargement of filtration formula with applications to multiple non-ordered default times," Finance and Stochastics, Springer, vol. 22(1), pages 205-240, January.
    3. Francesca Biagini & Alessandro Gnoatto & Immacolata Oliva, 2019. "Pricing of counterparty risk and funding with CSA discounting, portfolio effects and initial margin," Working Papers 04/2019, University of Verona, Department of Economics.
    4. Kenichiro Shiraya & Akihiko Takahashi, 2016. "Price impacts of imperfect collateralization," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 3(01), pages 1-31, March.
    5. Kenichiro Shiraya & Akihiko Takahashi, 2014. "Price Impacts of Imperfect Collateralization," CIRJE F-Series CIRJE-F-947, CIRJE, Faculty of Economics, University of Tokyo.
    6. Alessandro Gnoatto & Athena Picarelli & Christoph Reisinger, 2020. "Deep xVA solver - A neural network based counterparty credit risk management framework," Working Papers 07/2020, University of Verona, Department of Economics.
    7. T. van der Zwaard & L. A. Grzelak & C. W. Oosterlee, 2020. "A Computational Approach to Hedging Credit Valuation Adjustment in a Jump-Diffusion Setting," Papers 2005.10504, arXiv.org, revised Sep 2020.
    8. Ayoub Gargouri & Van Son Lai & Issouf Soumaré, 2016. "Revisiting Interest Rate Swap Valuation with Counterparty Risk, Wrong-Way Risk and OIS Discount," Working Papers 2016-003, Department of Research, Ipag Business School.
    9. T. van der Zwaard & L. A. Grzelak & C. W. Oosterlee, 2022. "Relevance of Wrong-Way Risk in Funding Valuation Adjustments," Papers 2204.02680, arXiv.org, revised Jun 2022.
    10. van der Zwaard, Thomas & Grzelak, Lech A. & Oosterlee, Cornelis W., 2022. "Relevance of Wrong-Way Risk in Funding Valuation Adjustments," Finance Research Letters, Elsevier, vol. 49(C).
    11. Claudio Albanese & Damiano Brigo & Frank Oertel, 2011. "Restructuring Counterparty Credit Risk," Papers 1112.1607, arXiv.org, revised May 2012.
    12. Damiano Brigo, 2011. "Counterparty Risk FAQ: Credit VaR, PFE, CVA, DVA, Closeout, Netting, Collateral, Re-hypothecation, WWR, Basel, Funding, CCDS and Margin Lending," Papers 1111.1331, arXiv.org, revised Jun 2012.
    13. Biffis, Enrico & Blake, David & Pitotti, Lorenzo & Sun, Ariel, 2011. "The cost of counterparty risk and collateralization in longevity swaps," MPRA Paper 35740, University Library of Munich, Germany.
    14. Damiano Brigo & Qing Liu & Andrea Pallavicini & David Sloth, 2014. "Nonlinear Valuation under Collateral, Credit Risk and Funding Costs: A Numerical Case Study Extending Black-Scholes," Papers 1404.7314, arXiv.org.
    15. Joel P. Villarino & 'Alvaro Leitao & Jos'e A. Garc'ia-Rodr'iguez, 2022. "Boundary-safe PINNs extension: Application to non-linear parabolic PDEs in counterparty credit risk," Papers 2210.02175, arXiv.org.
    16. P. Amster & A. P. Mogni, 2018. "Adapting the CVA model to Leland's framework," Papers 1802.04837, arXiv.org.
    17. Kenichiro Shiraya & Akihiko Takahashi, 2014. "Price Impacts of Imperfect Collateralization," CARF F-Series CARF-F-355, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Nov 2015.
    18. Damiano Brigo & Andrea Pallavicini, 2013. "CCPs, Central Clearing, CSA, Credit Collateral and Funding Costs Valuation FAQ: Re-hypothecation, CVA, Closeout, Netting, WWR, Gap-Risk, Initial and Variation Margins, Multiple Discount Curves, FVA?," Papers 1312.0128, arXiv.org, revised Dec 2013.
    19. T. van der Zwaard & L. A. Grzelak & C. W. Oosterlee, 2022. "Efficient Wrong-Way Risk Modelling for Funding Valuation Adjustments," Papers 2209.12222, arXiv.org, revised Mar 2023.

  24. Damiano Brigo & Kyriakos Chourdakis, 2009. "Counterparty Risk For Credit Default Swaps: Impact Of Spread Volatility And Default Correlation," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 12(07), pages 1007-1026.

    Cited by:

    1. J. C. Arismendi-Zambrano & Vladimir Belitsky & Vinicius Amorim Sobreiro & Herbert Kimura, 2020. "The Implications of Tail Dependency Measures for Counterparty Credit Risk Pricing," Economics Department Working Paper Series n306-20.pdf, Department of Economics, National University of Ireland - Maynooth.
    2. Scheicher, Martin & Peltonen, Tuomas A. & D'Errico, Marco & Battiston, Stefano, 2017. "How does risk flow in the credit default swap market?," Working Paper Series 2041, European Central Bank.
    3. Alberto Fernández Muñoz de Morales, 2013. "Credit spread modeling effects on counterparty risk valuation adjustments: a spanish case study," Documentos de Trabajo del ICAE 2013-32, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    4. Tetsuya Adachi & Takumi Sueshige & Toshinao Yoshiba, 2019. "Wrong-way Risk in Credit Valuation Adjustment of Credit Default Swap with Copulas," IMES Discussion Paper Series 19-E-01, Institute for Monetary and Economic Studies, Bank of Japan.
    5. Calice, Giovanni, 2011. "The Impact of Collateral Policies on Sovereign CDS Spreads," ECMI Papers 12234, Centre for European Policy Studies.
    6. Po-Cheng Wu, 2011. "Multi-Factor Approach For Pricing Basket Credit Linked Notes Under Issuer Default Risk," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 5(4), pages 115-128.
    7. Zhou, Richard, 2010. "Counterparty Risk Subject To ATE," MPRA Paper 28067, University Library of Munich, Germany.
    8. Brigo, Damiano & Mai, Jan-Frederik & Scherer, Matthias, 2016. "Markov multi-variate survival indicators for default simulation as a new characterization of the Marshall–Olkin law," Statistics & Probability Letters, Elsevier, vol. 114(C), pages 60-66.
    9. Damiano Brigo & Andrea Pallavicini & Roberto Torresetti, 2009. "Credit models and the crisis, or: how I learned to stop worrying and love the CDOs," Papers 0912.5427, arXiv.org, revised Feb 2010.
    10. Vicky Henderson & Gechun Liang, 2011. "A Multidimensional Exponential Utility Indifference Pricing Model with Applications to Counterparty Risk," Papers 1111.3856, arXiv.org, revised Sep 2015.
    11. Andrea Pallavicini & Daniele Perini & Damiano Brigo, 2011. "Funding Valuation Adjustment: a consistent framework including CVA, DVA, collateral,netting rules and re-hypothecation," Papers 1112.1521, arXiv.org, revised Dec 2011.
    12. Jinbeom Kim & Tim Leung, 2015. "Pricing Derivatives with Counterparty Risk and Collateralization: A Fixed Point Approach," Papers 1501.06221, arXiv.org.
    13. Harb, Etienne & Louhichi, Wael, 2017. "Pricing CDS spreads with Credit Valuation Adjustment using a mixture copula," Research in International Business and Finance, Elsevier, vol. 39(PB), pages 963-975.
    14. Frédéric Vrins, 2017. "Wrong-way risk CVA models with analytical EPE profiles under Gaussian exposure dynamics," LIDAM Reprints CORE 2922, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    15. Sebastian Heise & Reimer Kuehn, 2012. "Derivatives and Credit Contagion in Interconnected Networks," Papers 1202.3025, arXiv.org.
    16. Pavel V. Gapeev & Monique Jeanblanc, 2020. "Credit Default Swaps In Two-Dimensional Models With Various Informations Flows," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 23(02), pages 1-28, March.
    17. Gapeev, Pavel V. & Jeanblanc, Monique, 2021. "First-to-default and second-to-default options in models with various information flows," LSE Research Online Documents on Economics 110750, London School of Economics and Political Science, LSE Library.
    18. Andrea Pallavicini & Daniele Perini & Damiano Brigo, 2012. "Funding, Collateral and Hedging: uncovering the mechanics and the subtleties of funding valuation adjustments," Papers 1210.3811, arXiv.org, revised Dec 2012.
    19. Claudio Albanese & Damiano Brigo & Frank Oertel, 2011. "Restructuring Counterparty Credit Risk," Papers 1112.1607, arXiv.org, revised May 2012.
    20. Xingchun Wang, 2022. "Valuing fade-in options with default risk in Heston–Nandi GARCH models," Review of Derivatives Research, Springer, vol. 25(1), pages 1-22, April.
    21. Yinghui Dong & Guojing Wang & Kam C. Yuen, 2014. "Bilateral Counterparty Risk Valuation on a CDS with a Common Shock Model," Methodology and Computing in Applied Probability, Springer, vol. 16(3), pages 643-673, September.
    22. Akari, Mohamed-Ali & Ben-Abdallah, Ramzi & Breton, Michèle & Dionne, Georges, 2018. "The impact of central clearing on the market for single-name credit default swaps," Working Papers 18-1, HEC Montreal, Canada Research Chair in Risk Management, revised 25 Jan 2019.
    23. Jan Baldeaux & Eckhard Platen, 2013. "Credit Derivative Evaluation and CVA under the Benchmark Approach," Research Paper Series 324, Quantitative Finance Research Centre, University of Technology, Sydney.
    24. Damiano Brigo & Mirela Predescu & Agostino Capponi, 2010. "Credit Default Swaps Liquidity modeling: A survey," Papers 1003.0889, arXiv.org, revised Mar 2010.
    25. Chris Kenyon & Andrew Green, 2016. "Option-Based Pricing of Wrong Way Risk for CVA," Papers 1609.00819, arXiv.org, revised Oct 2021.
    26. Li, Hui, 2009. "Double Impact on CVA for CDS: Wrong-Way Risk with Stochastic Recovery," MPRA Paper 19684, University Library of Munich, Germany.
    27. Chen, Wenting & He, Xinjiang, 2017. "Pricing credit default swaps under a multi-scale stochastic volatility model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 468(C), pages 425-433.
    28. Damiano Brigo & Kyriakos Chourdakis, 2012. "Consistent single- and multi-step sampling of multivariate arrival times: A characterization of self-chaining copulas," Papers 1204.2090, arXiv.org, revised Apr 2012.
    29. Damiano Brigo & Nicola Pede & Andrea Petrelli, 2019. "Multi-Currency Credit Default Swaps," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(04), pages 1-35, June.
    30. Damiano Brigo & Massimo Morini, 2010. "Dangers of Bilateral Counterparty Risk: the fundamental impact of closeout conventions," Papers 1011.3355, arXiv.org.
    31. Lee, Y. & So, Leh-chyan, 2013. "Enemies or Allies: Pricing counterparty credit risk for synthetic CDO tranches," MPRA Paper 52371, University Library of Munich, Germany.
    32. Damiano Brigo & Qing Liu & Andrea Pallavicini & David Sloth, 2014. "Nonlinear Valuation under Collateral, Credit Risk and Funding Costs: A Numerical Case Study Extending Black-Scholes," Papers 1404.7314, arXiv.org.
    33. Damiano Brigo & Jo~ao Garcia & Nicola Pede, 2013. "CoCo Bonds Valuation with Equity- and Credit-Calibrated First Passage Structural Models," Papers 1302.6629, arXiv.org.
    34. Alexander Lipton & Ioana Savescu, 2012. "Pricing credit default swaps with bilateral value adjustments," Papers 1207.6049, arXiv.org.
    35. Arndt Claußen & Sebastian Löhr & Daniel Rösch, 2014. "An analytical approach for systematic risk sensitivity of structured finance products," Review of Derivatives Research, Springer, vol. 17(1), pages 1-37, April.
    36. He, Xinjiang & Chen, Wenting, 2014. "The pricing of credit default swaps under a generalized mixed fractional Brownian motion," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 404(C), pages 26-33.
    37. Damiano Brigo & Massimo Morini & Marco Tarenghi, 2009. "Credit Calibration with Structural Models: The Lehman case and Equity Swaps under Counterparty Risk," Papers 0912.4404, arXiv.org.
    38. Arismendi-Zambrano, Juan & Belitsky, Vladimir & Sobreiro, Vinicius Amorim & Kimura, Herbert, 2022. "The implications of dependence, tail dependence, and bounds’ measures for counterparty credit risk pricing," Journal of Financial Stability, Elsevier, vol. 58(C).
    39. Brigo, Damiano & Francischello, Marco & Pallavicini, Andrea, 2019. "Nonlinear valuation under credit, funding, and margins: Existence, uniqueness, invariance, and disentanglement," European Journal of Operational Research, Elsevier, vol. 274(2), pages 788-805.
    40. Damiano Brigo & Nicola Pede & Andrea Petrelli, 2015. "Multi Currency Credit Default Swaps Quanto effects and FX devaluation jumps," Papers 1512.07256, arXiv.org, revised Jan 2018.
    41. Fabio Antonelli & Alessandro Ramponi & Sergio Scarlatti, 2015. "Random Time Forward Starting Options," Papers 1504.03552, arXiv.org.
    42. P. Amster & A. P. Mogni, 2018. "Adapting the CVA model to Leland's framework," Papers 1802.04837, arXiv.org.
    43. Damiano Brigo & Fr'ed'eric Vrins, 2016. "Disentangling wrong-way risk: pricing CVA via change of measures and drift adjustment," Papers 1611.02877, arXiv.org.
    44. Boros, Péter, 2020. "A hitelminősítői bejelentések fertőző hatásai és a hitelértékelési kiigazítás [Rating migration, credit risk contagion and Credit Valuation Adjustment]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(2), pages 140-163.
    45. Alessandro Andreoli & Luca Vincenzo Ballestra & Graziella Pacelli, 2018. "Pricing Credit Default Swaps Under Multifactor Reduced-Form Models: A Differential Quadrature Approach," Computational Economics, Springer;Society for Computational Economics, vol. 51(3), pages 379-406, March.
    46. Damiano Brigo & Cristin Buescu & Massimo Morini, 2011. "Impact of the first to default time on Bilateral CVA," Papers 1106.3496, arXiv.org.
    47. Zhou, Richard, 2010. "Counterparty Risk Subject To ATE," MPRA Paper 27782, University Library of Munich, Germany.

  25. Hatem Ben-Ameur & Damiano Brigo & Eymen Errais, 2009. "A dynamic programming approach for pricing CDS and CDS options," Quantitative Finance, Taylor & Francis Journals, vol. 9(6), pages 717-726.

    Cited by:

    1. Richard J Martin, 2011. "A CDS Option Miscellany," Papers 1201.0111, arXiv.org, revised May 2019.

  26. Damiano Brigo & Andrea Pallavicini & Roberto Torresetti, 2007. "Cluster-Based Extension Of The Generalized Poisson Loss Dynamics And Consistency With Single Names," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 10(04), pages 607-631.

    Cited by:

    1. Brigo, Damiano & Mai, Jan-Frederik & Scherer, Matthias, 2016. "Markov multi-variate survival indicators for default simulation as a new characterization of the Marshall–Olkin law," Statistics & Probability Letters, Elsevier, vol. 114(C), pages 60-66.
    2. Bielecki, Tomasz R. & Cousin, Areski & Crépey, Stéphane & Herbertsson, Alexander, 2011. "Dynamic Hedging of Portfolio Credit Risk in a Markov Copula Model (Previous title: Dynamic Modeling of Portfolio Credit Risk with Common Shocks)," Working Papers in Economics 502, University of Gothenburg, Department of Economics, revised 12 Oct 2012.
    3. Bielecki, T.R. & Cousin, A. & Crépey, S. & Herbertsson, Alexander, 2012. "A Markov Copula Model of Portfolio Credit Risk with Stochastic Intensities and Random Recoveries," Working Papers in Economics 545, University of Gothenburg, Department of Economics.
    4. Tomasz R. Bielecki & Areski Cousin & Stéphane Crépey & Alexander Herbertsson, 2014. "Dynamic Hedging of Portfolio Credit Risk in a Markov Copula Model," Journal of Optimization Theory and Applications, Springer, vol. 161(1), pages 90-102, April.
    5. Stéphane Crépey & Shiqi Song, 2014. "Counterparty risk and funding: Immersion and beyond," Working Papers hal-00989062, HAL.

  27. Damiano Brigo & Aurélien Alfonsi, 2005. "Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model," Finance and Stochastics, Springer, vol. 9(1), pages 29-42, January.

    Cited by:

    1. Guillermo Andrés Cangrejo Jiménez, 2014. "La Estructura a Plazos del Riesgo Interbancario," Documentos de Trabajo 12172, Universidad del Rosario.
    2. Damiano Brigo & Kyriakos Chourdakis & Imane Bakkar, 2009. "Counterparty risk valuation for Energy-Commodities swaps: Impact of volatilities and correlation," Papers 0901.1099, arXiv.org.
    3. Damiano Brigo & Andrea Pallavicini & Vasileios Papatheodorou, 2009. "Bilateral counterparty risk valuation for interest-rate products: impact of volatilities and correlations," Papers 0911.3331, arXiv.org, revised Feb 2010.
    4. Stephan Höcht & Rudi Zagst, 2010. "Pricing credit derivatives under stochastic recovery in a hybrid model," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 26(3), pages 254-276, May.
    5. Rehez Ahlip & Laurence A. F. Park & Ante Prodan, 2017. "Pricing currency options in the Heston/CIR double exponential jump-diffusion model," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 4(01), pages 1-30, March.
    6. Guarin, Alexander & Liu, Xiaoquan & Ng, Wing Lon, 2014. "Recovering default risk from CDS spreads with a nonlinear filter," Journal of Economic Dynamics and Control, Elsevier, vol. 38(C), pages 87-104.
    7. Damiano Brigo & Andrea Pallavicini & Roberto Torresetti, 2009. "Credit models and the crisis, or: how I learned to stop worrying and love the CDOs," Papers 0912.5427, arXiv.org, revised Feb 2010.
    8. Jankowitsch, Rainer & Pullirsch, Rainer & Veza, Tanja, 2008. "The delivery option in credit default swaps," Journal of Banking & Finance, Elsevier, vol. 32(7), pages 1269-1285, July.
    9. Angelos Dassios & Jia Wei Lim & Yan Qu, 2020. "Azéma martingales for Bessel and CIR processes and the pricing of Parisian zero‐coupon bonds," Mathematical Finance, Wiley Blackwell, vol. 30(4), pages 1497-1526, October.
    10. Ayoub Gargouri & Van Son Lai & Issouf Soumaré, 2016. "Revisiting Interest Rate Swap Valuation with Counterparty Risk, Wrong-Way Risk and OIS Discount," Working Papers 2016-003, Department of Research, Ipag Business School.
    11. Papin, Timothée, 2013. "Pricing of Corporate Loan : Credit Risk and Liquidity cost," Economics Thesis from University Paris Dauphine, Paris Dauphine University, number 123456789/12545 edited by Turinici, Gabriel.
    12. Jean-David Fermanian & Olivier Vigneron, 2012. "On break-even correlation: the way to price structured credit derivatives by replication," Papers 1204.2251, arXiv.org.
    13. Cousot, Laurent, 2007. "Conditions on option prices for absence of arbitrage and exact calibration," Journal of Banking & Finance, Elsevier, vol. 31(11), pages 3377-3397, November.
    14. Holger Fink & Stefan Mittnik, 2021. "Quanto Pricing beyond Black–Scholes," JRFM, MDPI, vol. 14(3), pages 1-27, March.
    15. Damiano Brigo, 2011. "Counterparty Risk FAQ: Credit VaR, PFE, CVA, DVA, Closeout, Netting, Collateral, Re-hypothecation, WWR, Basel, Funding, CCDS and Margin Lending," Papers 1111.1331, arXiv.org, revised Jun 2012.
    16. A. Itkin & V. Shcherbakov & A. Veygman, 2019. "New Model For Pricing Quanto Credit Default Swaps," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(03), pages 1-37, May.
    17. Damiano Brigo & Mirela Predescu & Agostino Capponi, 2010. "Credit Default Swaps Liquidity modeling: A survey," Papers 1003.0889, arXiv.org, revised Mar 2010.
    18. Damiano Brigo & Nicola Pede & Andrea Petrelli, 2019. "Multi-Currency Credit Default Swaps," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(04), pages 1-35, June.
    19. Breton, Michèle & Marzouk, Oussama, 2018. "Evaluation of counterparty risk for derivatives with early-exercise features," Journal of Economic Dynamics and Control, Elsevier, vol. 88(C), pages 1-20.
    20. Damiano Brigo & Naoufel El-Bachir, 2008. "An exact formula for default swaptions' pricing in the SSRJD stochastic intensity model," Papers 0812.4199, arXiv.org.
    21. Dassios, Angelos & Lim, Jia Wei & Qu, Yan, 2020. "Azéma martingales for Bessel and CIR processes and the pricing of Parisian zero-coupon bonds," LSE Research Online Documents on Economics 101765, London School of Economics and Political Science, LSE Library.
    22. Damiano Brigo & Jo~ao Garcia & Nicola Pede, 2013. "CoCo Bonds Valuation with Equity- and Credit-Calibrated First Passage Structural Models," Papers 1302.6629, arXiv.org.
    23. Andrea Consiglio & Michele Tumminello & Stavros A. Zenios, 2018. "Pricing Sovereign Contingent Convertible Debt," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(08), pages 1-36, December.
    24. Damien Ackerer & Damir Filipovi'c, 2016. "Linear Credit Risk Models," Papers 1605.07419, arXiv.org, revised Jul 2019.
    25. Damiano Brigo & Marco Tarenghi, 2009. "Credit Default Swap Calibration and Equity Swap Valuation under Counterparty Risk with a Tractable Structural Model," Papers 0912.3028, arXiv.org.
    26. Frédéric Abergel & Rémy Tachet Des Combes & Riadh Zaatour, 2017. "Nonparametric model calibration for derivatives," Post-Print hal-01399542, HAL.
    27. Alfonsi Aurélien, 2005. "On the discretization schemes for the CIR (and Bessel squared) processes," Monte Carlo Methods and Applications, De Gruyter, vol. 11(4), pages 355-384, December.
    28. Damiano Brigo & Naoufel El-Bachir, 2006. "Credit Derivatives Pricing with a Smile-Extended Jump Stochastic Intensity Model," ICMA Centre Discussion Papers in Finance icma-dp2006-13, Henley Business School, University of Reading.
    29. Guo, Zhi Jun, 2008. "A note on the CIR process and the existence of equivalent martingale measures," Statistics & Probability Letters, Elsevier, vol. 78(5), pages 481-487, April.
    30. Damiano Brigo & Nicola Pede & Andrea Petrelli, 2015. "Multi Currency Credit Default Swaps Quanto effects and FX devaluation jumps," Papers 1512.07256, arXiv.org, revised Jan 2018.
    31. Damien Ackerer & Damir Filipović, 2020. "Linear credit risk models," Finance and Stochastics, Springer, vol. 24(1), pages 169-214, January.
    32. Damiano Brigo, 2008. "Constant Maturity Credit Default Swap Pricing with Market Models," Papers 0812.4159, arXiv.org.
    33. Boros, Péter, 2020. "A hitelminősítői bejelentések fertőző hatásai és a hitelértékelési kiigazítás [Rating migration, credit risk contagion and Credit Valuation Adjustment]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(2), pages 140-163.
    34. Alessandro Andreoli & Luca Vincenzo Ballestra & Graziella Pacelli, 2018. "Pricing Credit Default Swaps Under Multifactor Reduced-Form Models: A Differential Quadrature Approach," Computational Economics, Springer;Society for Computational Economics, vol. 51(3), pages 379-406, March.
    35. Damiano Brigo & Andrea Pallavicini, 2013. "CCPs, Central Clearing, CSA, Credit Collateral and Funding Costs Valuation FAQ: Re-hypothecation, CVA, Closeout, Netting, WWR, Gap-Risk, Initial and Variation Margins, Multiple Discount Curves, FVA?," Papers 1312.0128, arXiv.org, revised Dec 2013.
    36. Guarin, Alexander & Liu, Xiaoquan & Ng, Wing Lon, 2011. "Enhancing credit default swap valuation with meshfree methods," European Journal of Operational Research, Elsevier, vol. 214(3), pages 805-813, November.
    37. S. Corsaro & P. De Angelis & Z. Marino & F. Perla, 2011. "Participating life insurance policies: an accurate and efficient parallel software for COTS clusters," Computational Management Science, Springer, vol. 8(3), pages 219-236, August.
    38. El Kolei, Salima & Pelgrin, Florian, 2017. "Parametric inference of autoregressive heteroscedastic models with errors in variables," Statistics & Probability Letters, Elsevier, vol. 130(C), pages 63-70.
    39. Naoufel El-Bachir & Damiano Brigo, 2008. "An analytically tractable time-changed jump-diffusion default intensity model," ICMA Centre Discussion Papers in Finance icma-dp2008-06, Henley Business School, University of Reading.

  28. Damiano Brigo & Jan Liinev, 2005. "On the distributional distance between the lognormal LIBOR and swap market models," Quantitative Finance, Taylor & Francis Journals, vol. 5(5), pages 433-442.

    Cited by:

    1. Jacques Van Appel & Thomas A. Mcwalter, 2018. "Efficient Long-Dated Swaption Volatility Approximation In The Forward-Libor Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(04), pages 1-26, June.
    2. Brigo, Damiano & Mercurio, Fabio & Morini, Massimo, 2005. "The LIBOR model dynamics: Approximations, calibration and diagnostics," European Journal of Operational Research, Elsevier, vol. 163(1), pages 30-51, May.
    3. Fred Espen Benth & Jūratė Šaltytė Benth & Steen Koekebakker, 2008. "Stochastic Modeling of Electricity and Related Markets," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 6811, January.
    4. Rudiger Kiesel & Gero Schindlmayr & Reik Borger, 2009. "A two-factor model for the electricity forward market," Quantitative Finance, Taylor & Francis Journals, vol. 9(3), pages 279-287.
    5. Reik Borger & Jan van Heys, 2010. "Calibration of the Libor Market Model Using Correlations Implied by CMS Spread Options," Applied Mathematical Finance, Taylor & Francis Journals, vol. 17(5), pages 453-469.
    6. Lixin Wu, 2013. "Inflation-rate Derivatives: From Market Model to Foreign Currency Analogy," Papers 1302.0574, arXiv.org.

  29. Brigo, Damiano & Mercurio, Fabio & Morini, Massimo, 2005. "The LIBOR model dynamics: Approximations, calibration and diagnostics," European Journal of Operational Research, Elsevier, vol. 163(1), pages 30-51, May.

    Cited by:

    1. Dana Cíchová Králová, 2015. "Využití modelu BGM při řízení úrokového rizika v českém prostředí v období po finanční krizi [Aplication of the BGM Model for Interest Rate Risk Management in the Czech Environment after Financial ," Politická ekonomie, Prague University of Economics and Business, vol. 2015(6), pages 714-740.
    2. Moreno, Manuel & Platania, Federico, 2015. "A cyclical square-root model for the term structure of interest rates," European Journal of Operational Research, Elsevier, vol. 241(1), pages 109-121.
    3. Colino, Jesús P. & Nogales, Francisco J. & Stute, Winfried, 2008. "LIBOR additive model calibration to swaptions markets," DES - Working Papers. Statistics and Econometrics. WS ws085619, Universidad Carlos III de Madrid. Departamento de Estadística.

  30. Damiano Brigo & Fabio Mercurio & Giulio Sartorelli, 2003. "Alternative asset-price dynamics and volatility smile," Quantitative Finance, Taylor & Francis Journals, vol. 3(3), pages 173-183.

    Cited by:

    1. Damiano Brigo & Camilla Pisani & Francesco Rapisarda, 2021. "The multivariate mixture dynamics model: shifted dynamics and correlation skew," Annals of Operations Research, Springer, vol. 299(1), pages 1411-1435, April.
    2. Alessandro Ramponi, 2011. "Mixture Dynamics and Regime Switching Diffusions with Application to Option Pricing," Methodology and Computing in Applied Probability, Springer, vol. 13(2), pages 349-368, June.
    3. Ma, Chao & Ma, Qinghua & Yao, Haixiang & Hou, Tiancheng, 2018. "An accurate European option pricing model under Fractional Stable Process based on Feynman Path Integral," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 494(C), pages 87-117.
    4. Marco Airoldi & Vito Antonelli & Bruno Bassetti & Andrea Martinelli & Marco Picariello, 2004. "Long Range Interaction Generating Fat-Tails in Finance," GE, Growth, Math methods 0404006, University Library of Munich, Germany, revised 27 Apr 2004.
    5. Iain J. Clark & Saeed Amen, 2017. "Implied Distributions from GBPUSD Risk-Reversals and Implication for Brexit Scenarios," Risks, MDPI, vol. 5(3), pages 1-17, July.
    6. Schneider, Stefan & Schneider, Stefan, 2010. "Power Spot Price Models with negative Prices," MPRA Paper 29958, University Library of Munich, Germany.
    7. Roman V. Ivanov, 2023. "On the Stochastic Volatility in the Generalized Black-Scholes-Merton Model," Risks, MDPI, vol. 11(6), pages 1-23, June.
    8. Dinghai Xu, 2009. "The Applications of Mixtures of Normal Distributions in Empirical Finance: A Selected Survey," Working Papers 0904, University of Waterloo, Department of Economics, revised Sep 2009.
    9. Nappo, Giovanna & Marchetti, Fabio Massimo & Vagnani, Gianluca, 2023. "Traders’ heterogeneous beliefs about stock volatility and the implied volatility skew in financial options markets," Finance Research Letters, Elsevier, vol. 53(C).
    10. Damiano Brigo & Francesco Rapisarda & Abir Sridi, 2013. "The arbitrage-free Multivariate Mixture Dynamics Model: Consistent single-assets and index volatility smiles," Papers 1302.7010, arXiv.org, revised Sep 2014.
    11. Damiano Brigo, 2008. "The general mixture-diffusion SDE and its relationship with an uncertain-volatility option model with volatility-asset decorrelation," Papers 0812.4052, arXiv.org.
    12. Carol Alexander, 2002. "Short and Long Term Smile Effects: The Binomial Normal Mixture Diffusion Model," ICMA Centre Discussion Papers in Finance icma-dp2003-06, Henley Business School, University of Reading, revised Mar 2003.

  31. D. Brigo & F. Mercurio, 2003. "Analytical pricing of the smile in a forward LIBOR market model," Quantitative Finance, Taylor & Francis Journals, vol. 3(1), pages 15-27.

    Cited by:

    1. J. C. Arismendi-Zambrano & Vladimir Belitsky & Vinicius Amorim Sobreiro & Herbert Kimura, 2020. "The Implications of Tail Dependency Measures for Counterparty Credit Risk Pricing," Economics Department Working Paper Series n306-20.pdf, Department of Economics, National University of Ireland - Maynooth.
    2. Lixin Wu & Fan Zhang, 2008. "Fast swaption pricing under the market model with a square-root volatility process," Quantitative Finance, Taylor & Francis Journals, vol. 8(2), pages 163-180.
    3. Koichiro Takaoka & Hidenori Futami, 2010. "The Instantaneous Volatility and the Implied Volatility Surface for a Generalized Black–Scholes Model," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 17(4), pages 391-436, December.
    4. Dariusz Gatarek & Juliusz Jabłecki, 2021. "Between Scylla and Charybdis: The Bermudan Swaptions Pricing Odyssey," Mathematics, MDPI, vol. 9(2), pages 1-32, January.
    5. Fries, Christian P. & Nigbur, Tobias & Seeger, Norman, 2017. "Displaced relative changes in historical simulation: Application to risk measures of interest rates with phases of negative rates," Journal of Empirical Finance, Elsevier, vol. 42(C), pages 175-198.
    6. Arismendi-Zambrano, Juan & Belitsky, Vladimir & Sobreiro, Vinicius Amorim & Kimura, Herbert, 2022. "The implications of dependence, tail dependence, and bounds’ measures for counterparty credit risk pricing," Journal of Financial Stability, Elsevier, vol. 58(C).
    7. Da Fonseca, José & Gnoatto, Alessandro & Grasselli, Martino, 2013. "A flexible matrix Libor model with smiles," Journal of Economic Dynamics and Control, Elsevier, vol. 37(4), pages 774-793.

  32. Damiano Brigo & Fabio Mercurio, 2002. "Lognormal-Mixture Dynamics And Calibration To Market Volatility Smiles," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 5(04), pages 427-446.

    Cited by:

    1. Wilkens, Sascha & Roder, Klaus, 2006. "The informational content of option-implied distributions: Evidence from the Eurex index and interest rate futures options market," Global Finance Journal, Elsevier, vol. 17(1), pages 50-74, September.
    2. Masakazu Miura & Kenichiro Tamaki & Takayuki Shiohama, 2013. "Asymptotic Expansion for Term Structures of Defaultable Bonds with Non-Gaussian Dependent Innovations," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 20(4), pages 311-344, November.
    3. Maria Grith & Wolfgang K. Härdle & Alois Kneip & Heiko Wagner, 2016. "Functional Principal Component Analysis for Derivatives of Multivariate Curves," SFB 649 Discussion Papers SFB649DP2016-033, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    4. Carol Alexandra & Leonardo M. Nogueira, 2005. "Optimal Hedging and Scale Inavriance: A Taxonomy of Option Pricing Models," ICMA Centre Discussion Papers in Finance icma-dp2005-10, Henley Business School, University of Reading, revised Nov 2005.
    5. Labuschagne, Coenraad C.A. & von Boetticher, Sven T., 2016. "Dupire’s formulas in the Piterbarg option pricing model," The North American Journal of Economics and Finance, Elsevier, vol. 38(C), pages 148-162.
    6. Damiano Brigo & Camilla Pisani & Francesco Rapisarda, 2021. "The multivariate mixture dynamics model: shifted dynamics and correlation skew," Annals of Operations Research, Springer, vol. 299(1), pages 1411-1435, April.
    7. Rania Hentati & Jean-Luc Prigent, 2016. "Optimal positioning in financial derivatives under mixture distributions," Post-Print hal-01299840, HAL.
    8. Antoine Jacquier & Patrick Roome, 2015. "Black-Scholes in a CEV random environment," Papers 1503.08082, arXiv.org, revised Nov 2017.
    9. Harish S. Bhat & Nitesh Kumar, 2015. "Large-Scale Empirical Tests of the Markov Tree Model," IJFS, MDPI, vol. 3(3), pages 1-39, July.
    10. Liu, Xiaoquan & Shackleton, Mark B. & Taylor, Stephen J. & Xu, Xinzhong, 2007. "Closed-form transformations from risk-neutral to real-world distributions," Journal of Banking & Finance, Elsevier, vol. 31(5), pages 1501-1520, May.
    11. Vagnani, Gianluca, 2009. "The Black-Scholes model as a determinant of the implied volatility smile: A simulation study," Journal of Economic Behavior & Organization, Elsevier, vol. 72(1), pages 103-118, October.
    12. Polotto, Franciele & Drigo Filho, Elso & Chahine, Jorge & Oliveira, Ronaldo Junio de, 2018. "Supersymmetric quantum mechanics method for the Fokker–Planck equation with applications to protein folding dynamics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 493(C), pages 286-300.
    13. Dietmar Leisen, 2004. "Mixed Lognormal Distributions for Derivatives Pricing and Risk-Management," Computing in Economics and Finance 2004 48, Society for Computational Economics.
    14. Gianluca Vagnani, 2009. "The Black-Scholes model as a determinant of the implied volatility smile: A simulation study," Post-Print hal-00736952, HAL.
    15. Ruijun Bu & Fredj Jawadi & Yuyi Li, 2020. "A multifactor transformed diffusion model with applications to VIX and VIX futures," Econometric Reviews, Taylor & Francis Journals, vol. 39(1), pages 27-53, January.
    16. Carol Alexander & Leonardo M. Nogueira, 2004. "Hedging with Stochastic and Local Volatility," ICMA Centre Discussion Papers in Finance icma-dp2004-10, Henley Business School, University of Reading, revised Dec 2004.
    17. Andrea Barletta & Paolo Santucci de Magistris & Francesco Violante, 2016. "Retrieving Risk-Neutral Densities Embedded in VIX Options: a Non-Structural Approach," CREATES Research Papers 2016-20, Department of Economics and Business Economics, Aarhus University.
    18. Alessandro Ramponi, 2011. "Mixture Dynamics and Regime Switching Diffusions with Application to Option Pricing," Methodology and Computing in Applied Probability, Springer, vol. 13(2), pages 349-368, June.
    19. Xin Liu, 2016. "Asset Pricing with Random Volatility," Papers 1610.01450, arXiv.org, revised Sep 2018.
    20. Ma, Chao & Ma, Qinghua & Yao, Haixiang & Hou, Tiancheng, 2018. "An accurate European option pricing model under Fractional Stable Process based on Feynman Path Integral," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 494(C), pages 87-117.
    21. Murphy, David & Vasios, Michalis & Vause, Nick, 2014. "Financial Stability Paper No 29: An investigation into the procyclicality of risk-based initial margin models," Bank of England Financial Stability Papers 29, Bank of England.
    22. Lech A. Grzelak, 2022. "Randomization of Short-Rate Models, Analytic Pricing and Flexibility in Controlling Implied Volatilities," Papers 2211.05014, arXiv.org.
    23. Philip Nadler & Alessio Sancetta, 2023. "Empirical Asset Pricing with Functional Factors," Journal of Financial Econometrics, Oxford University Press, vol. 21(4), pages 1258-1281.
    24. Iain J. Clark & Saeed Amen, 2017. "Implied Distributions from GBPUSD Risk-Reversals and Implication for Brexit Scenarios," Risks, MDPI, vol. 5(3), pages 1-17, July.
    25. Donald Geman & H'elyette Geman & Nassim Nicholas Taleb, 2014. "Tail Risk Constraints and Maximum Entropy," Papers 1412.7647, arXiv.org.
    26. Alexander, Carol, 2004. "Normal mixture diffusion with uncertain volatility: Modelling short- and long-term smile effects," Journal of Banking & Finance, Elsevier, vol. 28(12), pages 2957-2980, December.
    27. Barletta, Andrea & Santucci de Magistris, Paolo & Violante, Francesco, 2019. "A non-structural investigation of VIX risk neutral density," Journal of Banking & Finance, Elsevier, vol. 99(C), pages 1-20.
    28. Abir Sridi & Paul Bilokon, 2023. "Applying Deep Learning to Calibrate Stochastic Volatility Models," Papers 2309.07843, arXiv.org, revised Sep 2023.
    29. Roman V. Ivanov, 2023. "On the Stochastic Volatility in the Generalized Black-Scholes-Merton Model," Risks, MDPI, vol. 11(6), pages 1-23, June.
    30. Ding, Kailin & Ning, Ning, 2021. "Markov chain approximation and measure change for time-inhomogeneous stochastic processes," Applied Mathematics and Computation, Elsevier, vol. 392(C).
    31. Donald Aingworth & Sanjiv Das & Rajeev Motwani, 2006. "A simple approach for pricing equity options with Markov switching state variables," Quantitative Finance, Taylor & Francis Journals, vol. 6(2), pages 95-105.
    32. Carol Alexander & Leonardo Nogueira, 2004. "Stochastic Local Volatility," ICMA Centre Discussion Papers in Finance icma-dp2008-02, Henley Business School, University of Reading, revised Mar 2008.
    33. Alexander, Carol & Nogueira, Leonardo M., 2007. "Model-free hedge ratios and scale-invariant models," Journal of Banking & Finance, Elsevier, vol. 31(6), pages 1839-1861, June.
    34. Maria Kyriacou & Jose Olmo & Marius Strittmatter, 2021. "Optimal portfolio allocation using option‐implied information," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(2), pages 266-285, February.
    35. Sana Ben Hamida & Rama Cont, 2005. "Recovering Volatility from Option Prices by Evolutionary Optimization," Post-Print hal-02490586, HAL.
    36. Rania Hentati-Kaffel & Jean-Luc Prigent, 2014. "Portfolio Optimization within Mixture of Distributions," Working Papers hal-01066105, HAL.
    37. Lech A. Grzelak, 2022. "On Randomization of Affine Diffusion Processes with Application to Pricing of Options on VIX and S&P 500," Papers 2208.12518, arXiv.org.
    38. Tao L. Wu & Shengqiang Xu, 2014. "A Random Field LIBOR Market Model," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 34(6), pages 580-606, June.
    39. Rama Cont & Nicolas Lantos & Olivier Pironneau, 2011. "A reduced basis for option pricing," Post-Print hal-00522410, HAL.
    40. J. A. Jiménez & V. Arunachalam & G. M. Serna, 2015. "Option Pricing Based On A Log–Skew–Normal Mixture," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(08), pages 1-22, December.
    41. Detering, Nils & Packham, Natalie, 2018. "Model risk of contingent claims," IRTG 1792 Discussion Papers 2018-036, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    42. Damiano Brigo, 2008. "The general mixture-diffusion SDE and its relationship with an uncertain-volatility option model with volatility-asset decorrelation," Papers 0812.4052, arXiv.org.
    43. Carol Alexander & Leonardo M. Nogueira, 2006. "Hedging Options with Scale-Invariant Models," ICMA Centre Discussion Papers in Finance icma-dp2006-03, Henley Business School, University of Reading.
    44. Kole, Erik & Koedijk, Kees & Verbeek, Marno, 2006. "Portfolio implications of systemic crises," Journal of Banking & Finance, Elsevier, vol. 30(8), pages 2347-2369, August.
    45. Bhat, Harish S. & Kumar, Nitesh, 2012. "Option pricing under a normal mixture distribution derived from the Markov tree model," European Journal of Operational Research, Elsevier, vol. 223(3), pages 762-774.
    46. Carol Alexander, 2002. "Short and Long Term Smile Effects: The Binomial Normal Mixture Diffusion Model," ICMA Centre Discussion Papers in Finance icma-dp2003-06, Henley Business School, University of Reading, revised Mar 2003.
    47. Henrik Hult & Filip Lindskog & Johan Nykvist, 2013. "A simple time-consistent model for the forward density process," Papers 1301.4869, arXiv.org.
    48. Pertaia Giorgi & Uryasev Stan, 2019. "Fitting heavy-tailed mixture models with CVaR constraints," Dependence Modeling, De Gruyter, vol. 7(1), pages 365-374, January.
    49. Christa Cuchiero & Irene Klein & Josef Teichmann, 2017. "A fundamental theorem of asset pricing for continuous time large financial markets in a two filtration setting," Papers 1705.02087, arXiv.org.
    50. Douglas Cumming & Lars Helge Haß & Denis Schweizer, 2014. "Strategic Asset Allocation and the Role of Alternative Investments," European Financial Management, European Financial Management Association, vol. 20(3), pages 521-547, June.

  33. Damiano Brigo & Fabio Mercurio, 2001. "A deterministic-shift extension of analytically-tractable and time-homogeneous short-rate models," Finance and Stochastics, Springer, vol. 5(3), pages 369-387.

    Cited by:

    1. Antonio Mannolini & Carlo Mari & Roberto Renò, 2008. "Pricing caps and floors with the extended CIR model," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 13(4), pages 386-400.
    2. Morelli, Giacomo & Santucci de Magistris, Paolo, 2019. "Volatility tail risk under fractionality," Journal of Banking & Finance, Elsevier, vol. 108(C).
    3. Christa Cuchiero & Claudio Fontana & Alessandro Gnoatto, 2014. "A general HJM framework for multiple yield curve modeling," Papers 1406.4301, arXiv.org, revised May 2015.
    4. Cousin, Areski & Jiao, Ying & Robert, Christian Y. & Zerbib, Olivier David, 2016. "Asset allocation strategies in the presence of liability constraints," Insurance: Mathematics and Economics, Elsevier, vol. 70(C), pages 327-338.
    5. Christa Cuchiero & Claudio Fontana & Alessandro Gnoatto, 2019. "Affine multiple yield curve models," Mathematical Finance, Wiley Blackwell, vol. 29(2), pages 568-611, April.
    6. Oh Kwon, 2009. "On the equivalence of a class of affine term structure models," Annals of Finance, Springer, vol. 5(2), pages 263-279, March.
    7. Shane Miller & Eckhard Platen, 2004. "Two-Factor Model for Low Interest Rate Regimes," Research Paper Series 130, Quantitative Finance Research Centre, University of Technology, Sydney.
    8. Renne, Jean-Paul, 2016. "A tractable interest rate model with explicit monetary policy rates," European Journal of Operational Research, Elsevier, vol. 251(3), pages 873-887.
    9. Damiano Brigo & Mirela Predescu & Agostino Capponi, 2010. "Credit Default Swaps Liquidity modeling: A survey," Papers 1003.0889, arXiv.org, revised Mar 2010.
    10. Hans-Peter Bermin, 2012. "Bonds and Options in Exponentially Affine Bond Models," Applied Mathematical Finance, Taylor & Francis Journals, vol. 19(6), pages 513-534, December.
    11. Oh Kang Kwon, 2007. "Mean Reversion Level Extensions of Time-Homogeneous Affine Term Structure Models," Applied Mathematical Finance, Taylor & Francis Journals, vol. 14(4), pages 291-302.
    12. Breton, Michèle & Marzouk, Oussama, 2018. "Evaluation of counterparty risk for derivatives with early-exercise features," Journal of Economic Dynamics and Control, Elsevier, vol. 88(C), pages 1-20.
    13. Giuseppe Orlando & Rosa Maria Mininni & Michele Bufalo, 2018. "On The Calibration of Short-Term Interest Rates Through a CIR Model," Papers 1806.03683, arXiv.org.
    14. Giuseppe Orlando & Michele Bufalo, 2021. "Interest rates forecasting: Between Hull and White and the CIR#—How to make a single‐factor model work," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(8), pages 1566-1580, December.
    15. Marco Di Francesco & Kevin Kamm, 2021. "How to handle negative interest rates in a CIR framework," Papers 2106.03716, arXiv.org.
    16. Claudio Fontana & Alessandro Gnoatto & Guillaume Szulda, 2019. "Multiple yield curve modelling with CBI processes," Papers 1911.02906, arXiv.org, revised Oct 2020.
    17. Shane Miller, 2007. "Pricing of Contingent Claims Under the Real-World Measure," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2007.
    18. Claudio Fontana, 2022. "Caplet pricing in affine models for alternative risk-free rates," Papers 2202.09116, arXiv.org, revised Jan 2023.
    19. Yue Zhou, 2020. "Rational Kernel on Pricing Models of Inflation Derivatives," Papers 2001.05124, arXiv.org, revised Jan 2020.
    20. Markus Hess, 2020. "A pure-jump mean-reverting short rate model," Papers 2006.14814, arXiv.org.
    21. Pacati, Claudio & Pompa, Gabriele & Renò, Roberto, 2018. "Smiling twice: The Heston++ model," Journal of Banking & Finance, Elsevier, vol. 96(C), pages 185-206.
    22. Martino Grasselli & Giulio Miglietta, 2016. "A flexible spot multiple-curve model," Quantitative Finance, Taylor & Francis Journals, vol. 16(10), pages 1465-1477, October.
    23. Keiichi Tanaka & Takeshi Yamada & Toshiaki Watanabe, 2010. "Applications of Gram-Charlier expansion and bond moments for pricing of interest rates and credit risk," Quantitative Finance, Taylor & Francis Journals, vol. 10(6), pages 645-662.

  34. Damiano Brigo & Fabio Mercurio, 2000. "Option pricing impact of alternative continuous-time dynamics for discretely-observed stock prices," Finance and Stochastics, Springer, vol. 4(2), pages 147-159.

    Cited by:

    1. Damiano Brigo & Monique Jeanblanc & Frédéric Vrins, 2019. "SDEs with uniform distributions: Peacocks, conic martingales and mean reverting uniform diffusions," LIDAM Reprints CORE 3067, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    2. Damiano Brigo, 2019. "Probability-free models in option pricing: statistically indistinguishable dynamics and historical vs implied volatility," Papers 1904.01889, arXiv.org, revised Aug 2021.
    3. John Armstrong & Claudio Bellani & Damiano Brigo & Thomas Cass, 2018. "Option pricing models without probability: a rough paths approach," Papers 1808.09378, arXiv.org, revised Jul 2020.
    4. Brigo, Damiano, 2000. "On SDEs with marginal laws evolving in finite-dimensional exponential families," Statistics & Probability Letters, Elsevier, vol. 49(2), pages 127-134, August.
    5. Luciano Campi, 2004. "Arbitrage and completeness in financial markets with given N-dimensional distributions," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 27(1), pages 57-80, August.
    6. Damiano Brigo & Fabio Mercurio, 2008. "Discrete Time vs Continuous Time Stock-price Dynamics and implications for Option Pricing," Papers 0812.4010, arXiv.org.

  35. Brigo, Damiano, 2000. "On SDEs with marginal laws evolving in finite-dimensional exponential families," Statistics & Probability Letters, Elsevier, vol. 49(2), pages 127-134, August.

    Cited by:

    1. Damiano Brigo & Monique Jeanblanc & Frédéric Vrins, 2019. "SDEs with uniform distributions: Peacocks, conic martingales and mean reverting uniform diffusions," LIDAM Reprints CORE 3067, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    2. Damiano Brigo, 2019. "Probability-free models in option pricing: statistically indistinguishable dynamics and historical vs implied volatility," Papers 1904.01889, arXiv.org, revised Aug 2021.
    3. Damiano Brigo & Fabio Mercurio, 2008. "Discrete Time vs Continuous Time Stock-price Dynamics and implications for Option Pricing," Papers 0812.4010, arXiv.org.
    4. Damiano Brigo, 2008. "The general mixture-diffusion SDE and its relationship with an uncertain-volatility option model with volatility-asset decorrelation," Papers 0812.4052, arXiv.org.

  36. Brigo, Damiano & Hanzon, Bernard, 1998. "On some filtering problems arising in mathematical finance," Insurance: Mathematics and Economics, Elsevier, vol. 22(1), pages 53-64, May.

    Cited by:

    1. Broto, Carmen & Ruiz Ortega, Esther, 2002. "Estimation methods for stochastic volatility models: a survey," DES - Working Papers. Statistics and Econometrics. WS ws025414, Universidad Carlos III de Madrid. Departamento de Estadística.
    2. Shin Ichi Aihara & Arunabha Bagchi, 2010. "Identification Of Affine Term Structures From Yield Curve Data," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 13(02), pages 259-283.
    3. Damiano Brigo & Mirela Predescu & Agostino Capponi, 2010. "Credit Default Swaps Liquidity modeling: A survey," Papers 1003.0889, arXiv.org, revised Mar 2010.
    4. Wolfgang Lemke & Deutsche Bundesbank, 2006. "Term Structure Modeling and Estimation in a State Space Framework," Lecture Notes in Economics and Mathematical Systems, Springer, number 978-3-540-28344-7, December.
    5. Damiano Brigo & Jan Liinev, 2005. "On the distributional distance between the lognormal LIBOR and swap market models," Quantitative Finance, Taylor & Francis Journals, vol. 5(5), pages 433-442.
    6. Aleš Černý & Jan Kallsen, 2008. "Mean–Variance Hedging And Optimal Investment In Heston'S Model With Correlation," Mathematical Finance, Wiley Blackwell, vol. 18(3), pages 473-492, July.
    7. Gonon, Lukas & Teichmann, Josef, 2020. "Linearized filtering of affine processes using stochastic Riccati equations," Stochastic Processes and their Applications, Elsevier, vol. 130(1), pages 394-430.
    8. Michele Bianchi & Frank Fabozzi, 2015. "Investigating the Performance of Non-Gaussian Stochastic Intensity Models in the Calibration of Credit Default Swap Spreads," Computational Economics, Springer;Society for Computational Economics, vol. 46(2), pages 243-273, August.
    9. Andrea Gombani & Wolfgang J. Runggaldier, 2001. "A Filtering Approach To Pricing In Multifactor Term Structure Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 4(02), pages 303-320.
    10. Gombani, Andrea & Jaschke, Stefan R. & Runggaldier, Wolfgang J., 2005. "A filtered no arbitrage model for term structures from noisy data," Stochastic Processes and their Applications, Elsevier, vol. 115(3), pages 381-400, March.
    11. J. C. Jimenez & T. Ozaki, 2006. "An Approximate Innovation Method For The Estimation Of Diffusion Processes From Discrete Data," Journal of Time Series Analysis, Wiley Blackwell, vol. 27(1), pages 77-97, January.
    12. Kasper Bågmark & Adam Andersson & Stig Larsson, 2023. "An energy-based deep splitting method for the nonlinear filtering problem," Partial Differential Equations and Applications, Springer, vol. 4(2), pages 1-27, April.

Chapters

  1. Damiano Brigo & Thomas Hvolby & Frédéric Vrins, 2018. "Wrong-Way Risk Adjusted Exposure: Analytical Approximations for Options in Default Intensity Models," World Scientific Book Chapters, in: Kathrin Glau & Daniël Linders & Aleksey Min & Matthias Scherer & Lorenz Schneider & Rudi Zagst (ed.), Innovations in Insurance, Risk- and Asset Management, chapter 2, pages 27-45, World Scientific Publishing Co. Pte. Ltd..

    Cited by:

    1. Alòs, Elisa & Antonelli, Fabio & Ramponi, Alessandro & Scarlatti, Sergio, 2023. "CVA in fractional and rough volatility models," Applied Mathematics and Computation, Elsevier, vol. 442(C).
    2. Fabio Antonelli & Alessandro Ramponi & Sergio Scarlatti, 2018. "CVA and vulnerable options pricing by correlation expansions," Papers 1811.07294, arXiv.org.
    3. Elisa Alos & Fabio Antonelli & Alessandro Ramponi & Sergio Scarlatti, 2019. "CVA and vulnerable options in stochastic volatility models," Papers 1907.12922, arXiv.org.
    4. Antonelli, Fabio & Ramponi, Alessandro & Scarlatti, Sergio, 2022. "Approximate value adjustments for European claims," European Journal of Operational Research, Elsevier, vol. 300(3), pages 1149-1161.
    5. Elisa Al`os & Fabio Antonelli & Alessandro Ramponi & Sergio Scarlatti, 2022. "CVA in fractional and rough volatility models," Papers 2204.11554, arXiv.org.

  2. Damiano Brigo & Jan-Frederik Mai & Matthias Scherer & Henrik Sloot, 2018. "Consistent Iterated Simulation of Multivariate Defaults: Markov Indicators, Lack of Memory, Extreme-Value Copulas, and the Marshall–Olkin Distribution," World Scientific Book Chapters, in: Kathrin Glau & Daniël Linders & Aleksey Min & Matthias Scherer & Lorenz Schneider & Rudi Zagst (ed.), Innovations in Insurance, Risk- and Asset Management, chapter 3, pages 47-93, World Scientific Publishing Co. Pte. Ltd..

    Cited by:

    1. Kiriliouk, Anna, 2020. "Hypothesis testing for tail dependence parameters on the boundary of the parameter space," Econometrics and Statistics, Elsevier, vol. 16(C), pages 121-135.

  3. Damiano Brigo & Clément Piat, 2018. "Static Versus Adapted Optimal Execution Strategies in Two Benchmark Trading Models," World Scientific Book Chapters, in: Kathrin Glau & Daniël Linders & Aleksey Min & Matthias Scherer & Lorenz Schneider & Rudi Zagst (ed.), Innovations in Insurance, Risk- and Asset Management, chapter 10, pages 239-273, World Scientific Publishing Co. Pte. Ltd..

    Cited by:

    1. Claudio Bellani & Damiano Brigo & Alex Done & Eyal Neuman, 2018. "Static vs Adaptive Strategies for Optimal Execution with Signals," Papers 1811.11265, arXiv.org, revised Jul 2019.
    2. Michael Karpe, 2020. "An overall view of key problems in algorithmic trading and recent progress," Papers 2006.05515, arXiv.org.
    3. Claudio Bellani & Damiano Brigo, 2021. "Mechanics of good trade execution in the framework of linear temporary market impact," Quantitative Finance, Taylor & Francis Journals, vol. 21(1), pages 143-163, January.

  4. Damiano Brigo & Andrea Pallavicini & Roberto Torresetti, 2007. "Cluster-Based Extension Of The Generalized Poisson Loss Dynamics And Consistency With Single Names," World Scientific Book Chapters, in: Alexander Lipton & Andrew Rennie (ed.), Credit Correlation Life After Copulas, chapter 2, pages 15-39, World Scientific Publishing Co. Pte. Ltd..
    See citations under working paper version above.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.