Damiano Brigo

Publication Activity (10 Years)

Years Active: 1998-2024
Publications (10 Years): 9

Top Topics

Stochastic Differential Equations

Top Venues

Eur. J. Oper. Res.

Oper. Res. Lett.

Ann. Oper. Res.

Publications

John Armstrong, Damiano Brigo, Alex S. L. Tse
The importance of dynamic risk constraints for limited liability operators. Ann. Oper. Res. 336 (1-2) (2024)
Damiano Brigo, Federico Graceffa, Alexander Kalinin
Mild to Classical Solutions for XVA Equations under Stochastic Volatility. SIAM J. Financial Math. 15 (1) (2024)
Damiano Brigo, Xiaoshan Huang, Andrea Pallavicini, Haitz Saez de Ocariz Borde
Interpretability in deep learning for finance: a case study for the Heston model. CoRR (2021)
Damiano Brigo, Marco Francischello, Andrea Pallavicini
Nonlinear valuation under credit, funding, and margins: Existence, uniqueness, invariance, and disentanglement. Eur. J. Oper. Res. 274 (2) (2019)
Damiano Brigo, Frédéric Vrins
Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures. Eur. J. Oper. Res. 269 (3) (2018)
Damiano Brigo, Cristin Buescu, Marek Rutkowski
Funding, repo and credit inclusive valuation as modified option pricing. Oper. Res. Lett. 45 (6) (2017)
John Armstrong, Damiano Brigo
Itô Stochastic Differential Equations as 2-Jets. GSI (2017)
John Armstrong, Damiano Brigo
direct metric. Math. Control. Signals Syst. 28 (1) (2016)
John Armstrong, Damiano Brigo
Stochastic PDE Projection on Manifolds: Assumed-Density and Galerkin Filters. GSI (2015)
John Armstrong, Damiano Brigo
Stochastic Filtering by Projection: The Example of the Quadratic Sensor. GSI (2013)
Damiano Brigo, Fabio Mercurio, Massimo Morini
The LIBOR model dynamics: Approximations, calibration and diagnostics. Eur. J. Oper. Res. 163 (1) (2005)
Damiano Brigo, Aurélien Alfonsi
Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model. Finance Stochastics 9 (1) (2005)
Damiano Brigo, Fabio Mercurio
A deterministic-shift extension of analytically-tractable and time-homogeneous short-rate models. Finance Stochastics 5 (3) (2001)
Damiano Brigo, Fabio Mercurio
Option pricing impact of alternative continuous-time dynamics for discretely-observed stock prices. Finance Stochastics 4 (2) (2000)
Damiano Brigo, Bernard Hanzon, François LeGland
A differential geometric approach to nonlinear filtering: the projection filter. IEEE Trans. Autom. Control. 43 (2) (1998)