Damiano Brigo

According to our database, Damiano Brigo authored at least 16 papers between 1998 and 2024.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of five.

2024

The importance of dynamic risk constraints for limited liability operators.

John Armstrong, Damiano Brigo, Alex S. L. Tse

Ann. Oper. Res., May, 2024

Mild to Classical Solutions for XVA Equations under Stochastic Volatility.

Damiano Brigo, Federico Graceffa, Alexander Kalinin

SIAM J. Financial Math., March, 2024

2021

The multivariate mixture dynamics model: shifted dynamics and correlation skew.

Damiano Brigo, Camilla Pisani, Francesco Rapisarda

Ann. Oper. Res., April, 2021

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

Damiano Brigo, Xiaoshan Huang, Andrea Pallavicini, Haitz Sáez de Ocáriz Borde

CoRR, 2021

2019

Nonlinear valuation under credit, funding, and margins: Existence, uniqueness, invariance, and disentanglement.

Damiano Brigo, Marco Francischello, Andrea Pallavicini

Eur. J. Oper. Res., 2019

2018

Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures.

Damiano Brigo, Frédéric Vrins

Eur. J. Oper. Res., 2018

2017

Funding, repo and credit inclusive valuation as modified option pricing.

Damiano Brigo, Cristin Buescu, Marek Rutkowski

Oper. Res. Lett., 2017

Itô Stochastic Differential Equations as 2-Jets.

John Armstrong, Damiano Brigo

Proceedings of the Geometric Science of Information - Third International Conference, 2017

2016

Nonlinear filtering via stochastic PDE projection on mixture manifolds in L² direct metric.

John Armstrong, Damiano Brigo

Math. Control. Signals Syst., 2016

2015

Stochastic PDE Projection on Manifolds: Assumed-Density and Galerkin Filters.

John Armstrong, Damiano Brigo

Proceedings of the Geometric Science of Information - Second International Conference, 2015

2013

Stochastic Filtering by Projection: The Example of the Quadratic Sensor.

John Armstrong, Damiano Brigo

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.

Damiano Brigo, Aurélien Alfonsi

Finance Stochastics, 2005

The LIBOR model dynamics: Approximations, calibration and diagnostics.

Damiano Brigo, Fabio Mercurio, Massimo Morini

Eur. J. Oper. Res., 2005

2001

A deterministic-shift extension of analytically-tractable and time-homogeneous short-rate models.

Damiano Brigo, Fabio Mercurio

Finance Stochastics, 2001

2000

Option pricing impact of alternative continuous-time dynamics for discretely-observed stock prices.

Damiano Brigo, Fabio Mercurio

Finance Stochastics, 2000

1998

A differential geometric approach to nonlinear filtering: the projection filter.

Damiano Brigo, Bernard Hanzon, François LeGland

IEEE Trans. Autom. Control., 1998