Damiano Brigo

16 papers Journal 13Unranked 3
YearRankTypeTitle / Venue / Authors
2024 J jnl
Mild to Classical Solutions for XVA Equations under Stochastic Volatility.
SIAM J. Financial Math.
Damiano Brigo, Federico Graceffa, Alexander Kalinin
2024 J jnl
The importance of dynamic risk constraints for limited liability operators.
Ann. Oper. Res.
John Armstrong, Damiano Brigo, Alex S. L. Tse
2021 J jnl
Interpretability in deep learning for finance: a case study for the Heston model.
CoRR
Damiano Brigo, Xiaoshan Huang, Andrea Pallavicini, Haitz Sáez de Ocáriz Borde
2021 J jnl
The multivariate mixture dynamics model: shifted dynamics and correlation skew.
Ann. Oper. Res.
Damiano Brigo, Camilla Pisani, Francesco Rapisarda
2019 J jnl
Nonlinear valuation under credit, funding, and margins: Existence, uniqueness, invariance, and disentanglement.
Eur. J. Oper. Res.
Damiano Brigo, Marco Francischello, Andrea Pallavicini
2018 J jnl
Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures.
Eur. J. Oper. Res.
Damiano Brigo, Frédéric Vrins
2017 J jnl
Funding, repo and credit inclusive valuation as modified option pricing.
Oper. Res. Lett.
Damiano Brigo, Cristin Buescu, Marek Rutkowski
2017 — conf
Itô Stochastic Differential Equations as 2-Jets.
GSI
John Armstrong, Damiano Brigo
2016 J jnl
Nonlinear filtering via stochastic PDE projection on mixture manifolds in L
Math. Control. Signals Syst.
John Armstrong, Damiano Brigo
2015 — conf
Stochastic PDE Projection on Manifolds: Assumed-Density and Galerkin Filters.
GSI
John Armstrong, Damiano Brigo
2013 — conf
Stochastic Filtering by Projection: The Example of the Quadratic Sensor.
GSI
John Armstrong, Damiano Brigo
2005 J jnl
Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model.
Finance Stochastics
Damiano Brigo, Aurélien Alfonsi
2005 J jnl
The LIBOR model dynamics: Approximations, calibration and diagnostics.
Eur. J. Oper. Res.
Damiano Brigo, Fabio Mercurio, Massimo Morini
2001 J jnl
A deterministic-shift extension of analytically-tractable and time-homogeneous short-rate models.
Finance Stochastics
Damiano Brigo, Fabio Mercurio
2000 J jnl
Option pricing impact of alternative continuous-time dynamics for discretely-observed stock prices.
Finance Stochastics
Damiano Brigo, Fabio Mercurio
1998 J jnl
A differential geometric approach to nonlinear filtering: the projection filter.
IEEE Trans. Autom. Control.
Damiano Brigo, Bernard Hanzon, François LeGland