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Damiano Brigo

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Personal Details

First Name: Damiano
Middle Name:
Last Name: Brigo
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RePEc Short-ID: pbr17

Email:
Homepage: http://www.damianobrigo.it
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Affiliation

Imperial College, Department of Mathematics
Homepage: http://www3.imperial.ac.uk/mathematics/
Location: UK, London

Works

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Working papers

  1. Gabriele Sarais & Damiano Brigo, 2014. "Inflation securities valuation with macroeconomic-based no-arbitrage dynamics," Papers 1403.7799, arXiv.org, revised Jul 2014.
  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. 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. Andrea Pallavicini & Damiano Brigo, 2013. "Interest-Rate Modelling in Collateralized Markets: Multiple curves, credit-liquidity effects, CCPs," Papers 1304.1397, arXiv.org.
  5. 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.
  6. 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.
  7. 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.
  8. 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.
  9. 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.
  10. 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.
  11. 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.
  12. 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.
  13. Damiano Brigo & Cristin Buescu & Massimo Morini, 2011. "Impact of the first to default time on Bilateral CVA," Papers 1106.3496, arXiv.org.
  14. 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.
  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. Claudio Albanese & Damiano Brigo & Frank Oertel, 2011. "Restructuring Counterparty Credit Risk," Papers 1112.1607, arXiv.org, revised May 2012.
  17. 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.
  18. Damiano Brigo & Claudio Nordio, 2010. "Liquidity-adjusted Market Risk Measures with Stochastic Holding Period," Papers 1009.3760, arXiv.org, revised Oct 2010.
  19. Damiano Brigo & Massimo Morini, 2010. "Dangers of Bilateral Counterparty Risk: the fundamental impact of closeout conventions," Papers 1011.3355, arXiv.org.
  20. Damiano Brigo & Mirela Predescu & Agostino Capponi, 2010. "Credit Default Swaps Liquidity modeling: A survey," Papers 1003.0889, arXiv.org, revised Mar 2010.
  21. 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.
  22. 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.
  23. Damiano Brigo & Kyriakos Chourdakis & Imane Bakkar, 2009. "Counterparty risk valuation for Energy-Commodities swaps: Impact of volatilities and correlation," Papers 0901.1099, arXiv.org.
  24. 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.
  25. 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.
  26. 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.
  27. 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.
  28. 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.
  29. Damiano Brigo & Fabio Mercurio, 2008. "Discrete Time vs Continuous Time Stock-price Dynamics and implications for Option Pricing," Papers 0812.4010, arXiv.org.
  30. Damiano Brigo & Bernard Hanzon, 2008. "On three filtering problems arising in mathematical finance," Papers 0812.4050, arXiv.org.
  31. 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, Reading University.
  32. 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.
  33. Damiano Brigo, 2008. "Constant Maturity Credit Default Swap Pricing with Market Models," Papers 0812.4159, arXiv.org.
  34. Damiano Brigo & Naoufel El-Bachir, 2008. "An exact formula for default swaptions' pricing in the SSRJD stochastic intensity model," Papers 0812.4199, arXiv.org.
  35. Damiano Brigo & Andrea Pallavicini & Roberto Torresetti, 2008. "Default correlation, cluster dynamics and single names: The GPCL dynamical loss model," Papers 0812.4163, arXiv.org.
  36. Damiano Brigo & Antonio Dalessandro & Matthias Neugebauer & Fares Triki, 2008. "A Stochastic Processes Toolkit for Risk Management," Papers 0812.4210, arXiv.org.
  37. 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, Reading University.

Articles

  1. 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 1350010-1-1.
  2. 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 1350007-1-1.
  3. 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 1250039-1-1.
  4. 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.
  5. 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.
  6. 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.
  7. 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.
  8. Damiano Brigo & Laurent Cousot, 2006. "The Stochastic Intensity Ssrd Model Implied Volatility Patterns For Credit Default Swap Options And The Impact Of Correlation," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 9(03), pages 315-339.
  9. 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.
  10. Brigo, Damiano & Morini, Massimo, 2005. "Efficient pricing of default risk: Different approaches for a single goal," Journal of Financial Transformation, Capco Institute, vol. 13, pages 151-160.
  11. 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.
  12. 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.
  13. 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.
  14. 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.
  15. 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.
  16. 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.
  17. 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.
  18. 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.

Editor

  1. Journal of Financial Transformation, Capco Institute.

NEP Fields

27 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-BAN: Banking (13) 2009-12-19 2010-01-16 2010-03-20 2010-10-02 2010-11-27 2011-01-30 2011-11-14 2011-12-13 2011-12-13 2012-10-27 2013-03-02 2013-04-06 2013-05-22. Author is listed
  2. NEP-CBA: Central Banking (1) 2014-04-05
  3. NEP-CMP: Computational Economics (2) 2013-06-09 2014-05-09
  4. NEP-DGE: Dynamic General Equilibrium (1) 2014-04-05
  5. NEP-ECM: Econometrics (1) 2012-04-17
  6. NEP-ENE: Energy Economics (1) 2009-09-26
  7. NEP-FMK: Financial Markets (4) 2010-01-16 2010-03-20 2013-03-02 2013-05-22
  8. NEP-MAC: Macroeconomics (1) 2014-04-05
  9. NEP-MIC: Microeconomics (1) 2009-12-19
  10. NEP-MON: Monetary Economics (1) 2014-04-05
  11. NEP-RMG: Risk Management (9) 2009-11-21 2009-12-19 2009-12-19 2010-03-20 2010-11-27 2011-01-30 2011-06-25 2011-11-14 2013-05-22. Author is listed
  12. NEP-URE: Urban & Real Estate Economics (1) 2010-01-16

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