Damiano Brigo

Orcid: 0000-0003-1636-8654

According to our database1, Damiano Brigo authored at least 15 papers between 1998 and 2024.

Collaborative distances:
  • Dijkstra number2 of five.
  • Erdős number3 of five.

Timeline

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Bibliography

2024
The importance of dynamic risk constraints for limited liability operators.
Ann. Oper. Res., May, 2024

Mild to Classical Solutions for XVA Equations under Stochastic Volatility.
SIAM J. Financial Math., March, 2024

2021
Interpretability in deep learning for finance: a case study for the Heston model.
CoRR, 2021

2019
Nonlinear valuation under credit, funding, and margins: Existence, uniqueness, invariance, and disentanglement.
Eur. J. Oper. Res., 2019

2018
Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures.
Eur. J. Oper. Res., 2018

2017
Funding, repo and credit inclusive valuation as modified option pricing.
Oper. Res. Lett., 2017

Itô Stochastic Differential Equations as 2-Jets.
Proceedings of the Geometric Science of Information - Third International Conference, 2017

2016
Nonlinear filtering via stochastic PDE projection on mixture manifolds in L<sup>2</sup> direct metric.
Math. Control. Signals Syst., 2016

2015
Stochastic PDE Projection on Manifolds: Assumed-Density and Galerkin Filters.
Proceedings of the Geometric Science of Information - Second International Conference, 2015

2013
Stochastic Filtering by Projection: The Example of the Quadratic Sensor.
Proceedings of the Geometric Science of Information - First International Conference, 2013

2005
Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model.
Finance Stochastics, 2005

The LIBOR model dynamics: Approximations, calibration and diagnostics.
Eur. J. Oper. Res., 2005

2001
A deterministic-shift extension of analytically-tractable and time-homogeneous short-rate models.
Finance Stochastics, 2001

2000
Option pricing impact of alternative continuous-time dynamics for discretely-observed stock prices.
Finance Stochastics, 2000

1998
A differential geometric approach to nonlinear filtering: the projection filter.
IEEE Trans. Autom. Control., 1998


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