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Details about Damiano Brigo

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Homepage:http://wwwf.imperial.ac.uk/~dbrigo/
Workplace:Imperial College, Department of Mathematics

Access statistics for papers by Damiano Brigo.

Last updated 2019-02-06. Update your information in the RePEc Author Service.

Short-id: pbr17


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Working Papers

2019

  1. Option pricing models without probability
    Papers, arXiv.org Downloads

2018

  1. Disentangling wrong-way risk: Pricing credit valuation adjustment via change of measures
    CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (1)
    See also Journal Article in European Journal of Operational Research (2018)
  2. Multi Currency Credit Default Swaps Quanto effects and FX devaluation jumps
    Papers, arXiv.org Downloads View citations (1)
  3. Optimizing S-shaped utility and implications for risk management
    Papers, arXiv.org Downloads
  4. Risk-neutral valuation under differential funding costs, defaults and collateralization
    Papers, arXiv.org Downloads View citations (2)
  5. Static vs Adaptive Strategies for Optimal Execution with Signals
    Papers, arXiv.org Downloads
  6. The Multivariate Mixture Dynamics Model: Shifted dynamics and correlation skew
    Papers, arXiv.org Downloads

2017

  1. An indifference approach to the cost of capital constraints: KVA and beyond
    Papers, arXiv.org Downloads View citations (1)
  2. Funding, repo and credit inclusive valuation as modified option pricing
    Papers, arXiv.org Downloads View citations (2)

2016

  1. Disentangling wrong-way risk: pricing CVA via change of measures and drift adjustment
    Papers, arXiv.org Downloads
  2. SDEs with Uniform Distributions: Peacocks, Conic Martingales and Mean Reverting Uniform Diffusions
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads
  3. Static vs adapted optimal execution strategies in two benchmark trading models
    Papers, arXiv.org Downloads

2015

  1. Impact of Multiple Curve Dynamics in Credit Valuation Adjustments under Collateralization
    Papers, arXiv.org Downloads View citations (1)
    See also Journal Article in Quantitative Finance (2018)
  2. Invariance, existence and uniqueness of solutions of nonlinear valuation PDEs and FBSDEs inclusive of credit risk, collateral and funding costs
    Papers, arXiv.org Downloads View citations (5)

2014

  1. An initial approach to Risk Management of Funding Costs
    Papers, arXiv.org Downloads
  2. CCP Cleared or Bilateral CSA Trades with Initial/Variation Margins under credit, funding and wrong-way risks: A Unified Valuation Approach
    Papers, arXiv.org Downloads View citations (3)
  3. Consistent iterated simulation of multi-variate default times: a Markovian indicators characterization
    Papers, arXiv.org Downloads View citations (3)
  4. Inflation securities valuation with macroeconomic-based no-arbitrage dynamics
    Papers, arXiv.org Downloads
  5. Nonlinear Valuation under Collateral, Credit Risk and Funding Costs: A Numerical Case Study Extending Black-Scholes
    Papers, arXiv.org Downloads View citations (3)
  6. Optimal execution comparison across risks and dynamics, with solutions for displaced diffusions
    Papers, arXiv.org Downloads View citations (1)
  7. The arbitrage-free Multivariate Mixture Dynamics Model: Consistent single-assets and index volatility smiles
    Papers, arXiv.org Downloads

2013

  1. 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, arXiv.org Downloads View citations (1)
  2. CoCo Bonds Valuation with Equity- and Credit-Calibrated First Passage Structural Models
    Papers, arXiv.org Downloads View citations (6)
  3. Interest-Rate Modelling in Collateralized Markets: Multiple curves, credit-liquidity effects, CCPs
    Papers, arXiv.org Downloads View citations (14)
  4. Restructuring counterparty credit risk
    Discussion Papers, Deutsche Bundesbank Downloads View citations (2)
    Also in Papers, arXiv.org (2012) Downloads View citations (4)

    See also Journal Article in International Journal of Theoretical and Applied Finance (IJTAF) (2013)

2012

  1. Consistent single- and multi-step sampling of multivariate arrival times: A characterization of self-chaining copulas
    Papers, arXiv.org Downloads View citations (1)
  2. Counterparty Risk FAQ: Credit VaR, PFE, CVA, DVA, Closeout, Netting, Collateral, Re-hypothecation, WWR, Basel, Funding, CCDS and Margin Lending
    Papers, arXiv.org Downloads View citations (4)
  3. Funding, Collateral and Hedging: uncovering the mechanics and the subtleties of funding valuation adjustments
    Papers, arXiv.org Downloads View citations (33)
  4. Illustrating a problem in the self-financing condition in two 2010-2011 papers on funding, collateral and discounting
    Papers, arXiv.org Downloads

2011

  1. Collateral Margining in Arbitrage-Free Counterparty Valuation Adjustment including Re-Hypotecation and Netting
    Papers, arXiv.org Downloads View citations (30)
  2. Funding Valuation Adjustment: a consistent framework including CVA, DVA, collateral,netting rules and re-hypothecation
    Papers, arXiv.org Downloads View citations (30)
  3. Impact of the first to default time on Bilateral CVA
    Papers, arXiv.org Downloads View citations (8)

2010

  1. Bilateral counterparty risk valuation for interest-rate products: impact of volatilities and correlations
    Papers, arXiv.org Downloads View citations (15)
  2. Credit Default Swaps Liquidity modeling: A survey
    Papers, arXiv.org Downloads View citations (4)
  3. Credit models and the crisis, or: how I learned to stop worrying and love the CDOs
    Papers, arXiv.org Downloads View citations (4)
  4. Dangers of Bilateral Counterparty Risk: the fundamental impact of closeout conventions
    Papers, arXiv.org Downloads View citations (12)
  5. Liquidity-adjusted Market Risk Measures with Stochastic Holding Period
    Papers, arXiv.org Downloads

2009

  1. Bilateral counterparty risk valuation with stochastic dynamical models and application to Credit Default Swaps
    Papers, arXiv.org Downloads View citations (17)
  2. Counterparty risk valuation for Energy-Commodities swaps: Impact of volatilities and correlation
    Papers, arXiv.org Downloads
  3. Credit Calibration with Structural Models: The Lehman case and Equity Swaps under Counterparty Risk
    Papers, arXiv.org Downloads View citations (1)
  4. Credit Default Swap Calibration and Counterparty Risk Valuation with a Scenario based First Passage Model
    Papers, arXiv.org Downloads View citations (4)
  5. Credit Default Swap Calibration and Equity Swap Valuation under Counterparty Risk with a Tractable Structural Model
    Papers, arXiv.org Downloads View citations (6)

2008

  1. A Stochastic Processes Toolkit for Risk Management
    Papers, arXiv.org Downloads View citations (1)
  2. An analytically tractable time-changed jump-diffusion default intensity model
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads
  3. An exact formula for default swaptions' pricing in the SSRJD stochastic intensity model
    Papers, arXiv.org Downloads View citations (11)
    Also in ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University (2007) Downloads
  4. Arbitrage-free Pricing of Credit Index Options: The no-armageddon pricing measure and the role of correlation after the subprime crisis
    Papers, arXiv.org Downloads View citations (2)
  5. Constant Maturity Credit Default Swap Pricing with Market Models
    Papers, arXiv.org Downloads View citations (3)
  6. Default correlation, cluster dynamics and single names: The GPCL dynamical loss model
    Papers, arXiv.org Downloads View citations (3)
  7. Discrete Time vs Continuous Time Stock-price Dynamics and implications for Option Pricing
    Papers, arXiv.org Downloads View citations (1)
  8. On three filtering problems arising in mathematical finance
    Papers, arXiv.org Downloads
  9. The general mixture-diffusion SDE and its relationship with an uncertain-volatility option model with volatility-asset decorrelation
    Papers, arXiv.org Downloads View citations (5)

Journal Articles

2019

  1. Nonlinear valuation under credit, funding, and margins: Existence, uniqueness, invariance, and disentanglement
    European Journal of Operational Research, 2019, 274, (2), 788-805 Downloads

2018

  1. Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures
    European Journal of Operational Research, 2018, 269, (3), 1154-1164 Downloads View citations (1)
    See also Working Paper (2018)
  2. Impact of multiple curve dynamics in credit valuation adjustments under collateralization
    Quantitative Finance, 2018, 18, (1), 31-44 Downloads
    See also Working Paper (2015)
  3. The multivariate mixture dynamics: Consistent no-arbitrage single-asset and index volatility smiles
    IISE Transactions, 2018, 50, (1), 27-44 Downloads

2017

  1. Impact of Robotics, RPA and AI on the insurance industry: challenges and opportunities
    Journal of Financial Perspectives, 2017, 4, (1), 8-20

2016

  1. Markov multi-variate survival indicators for default simulation as a new characterization of the Marshall–Olkin law
    Statistics & Probability Letters, 2016, 114, (C), 60-66 Downloads

2015

  1. A NOTE ON THE SELF-FINANCING CONDITION FOR FUNDING, COLLATERAL AND DISCOUNTING
    International Journal of Theoretical and Applied Finance (IJTAF), 2015, 18, (02), 1-10 Downloads
  2. COCO BONDS PRICING WITH CREDIT AND EQUITY CALIBRATED FIRST-PASSAGE FIRM VALUE MODELS
    International Journal of Theoretical and Applied Finance (IJTAF), 2015, 18, (03), 1-31 Downloads View citations (4)

2014

  1. ARBITRAGE-FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS
    Mathematical Finance, 2014, 24, (1), 125-146 Downloads View citations (22)
  2. Nonlinear consistent valuation of CCP cleared or CSA bilateral trades with initial margins under credit, funding and wrong-way risks
    Journal of Financial Engineering (JFE), 2014, 01, (01), 1-60 Downloads View citations (4)
  3. Optimal trade execution under displaced diffusions dynamics across different risk criteria
    Journal of Financial Engineering (JFE), 2014, 01, (02), 1-17 Downloads View citations (4)

2013

  1. PRICING COUNTERPARTY RISK INCLUDING COLLATERALIZATION, NETTING RULES, RE-HYPOTHECATION AND WRONG-WAY RISK
    International Journal of Theoretical and Applied Finance (IJTAF), 2013, 16, (02), 1-16 Downloads View citations (3)
  2. RESTRUCTURING COUNTERPARTY CREDIT RISK
    International Journal of Theoretical and Applied Finance (IJTAF), 2013, 16, (02), 1-29 Downloads
    See also Working Paper (2013)

2012

  1. COUNTERPARTY RISK PRICING: IMPACT OF CLOSEOUT AND FIRST-TO-DEFAULT TIMES
    International Journal of Theoretical and Applied Finance (IJTAF), 2012, 15, (06), 1-23 Downloads View citations (1)

2011

  1. ARBITRAGE-FREE VALUATION OF BILATERAL COUNTERPARTY RISK FOR INTEREST-RATE PRODUCTS: IMPACT OF VOLATILITIES AND CORRELATIONS
    International Journal of Theoretical and Applied Finance (IJTAF), 2011, 14, (06), 773-802 Downloads View citations (4)

2009

  1. A dynamic programming approach for pricing CDS and CDS options
    Quantitative Finance, 2009, 9, (6), 717-726 Downloads View citations (1)
  2. COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION
    International Journal of Theoretical and Applied Finance (IJTAF), 2009, 12, (07), 1007-1026 Downloads View citations (7)

2007

  1. CLUSTER-BASED EXTENSION OF THE GENERALIZED POISSON LOSS DYNAMICS AND CONSISTENCY WITH SINGLE NAMES
    International Journal of Theoretical and Applied Finance (IJTAF), 2007, 10, (04), 607-631 Downloads View citations (1)

2006

  1. 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), 2006, 09, (03), 315-339 Downloads

2005

  1. Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model
    Finance and Stochastics, 2005, 9, (1), 29-42 Downloads View citations (30)
  2. Efficient pricing of default risk: Different approaches for a single goal
    Journal of Financial Transformation, 2005, 13, 151-160
  3. On the distributional distance between the lognormal LIBOR and swap market models
    Quantitative Finance, 2005, 5, (5), 433-442 Downloads View citations (6)
  4. The LIBOR model dynamics: Approximations, calibration and diagnostics
    European Journal of Operational Research, 2005, 163, (1), 30-51 Downloads View citations (3)

2003

  1. Alternative asset-price dynamics and volatility smile
    Quantitative Finance, 2003, 3, (3), 173-183 Downloads View citations (8)
  2. Analytical pricing of the smile in a forward LIBOR market model
    Quantitative Finance, 2003, 3, (1), 15-27 Downloads View citations (4)

2002

  1. LOGNORMAL-MIXTURE DYNAMICS AND CALIBRATION TO MARKET VOLATILITY SMILES
    International Journal of Theoretical and Applied Finance (IJTAF), 2002, 05, (04), 427-446 Downloads View citations (5)

2001

  1. A deterministic-shift extension of analytically-tractable and time-homogeneous short-rate models
    Finance and Stochastics, 2001, 5, (3), 369-387 Downloads View citations (19)

2000

  1. On SDEs with marginal laws evolving in finite-dimensional exponential families
    Statistics & Probability Letters, 2000, 49, (2), 127-134 Downloads View citations (4)
  2. Option pricing impact of alternative continuous-time dynamics for discretely-observed stock prices
    Finance and Stochastics, 2000, 4, (2), 147-159 Downloads View citations (5)

1998

  1. On some filtering problems arising in mathematical finance
    Insurance: Mathematics and Economics, 1998, 22, (1), 53-64 Downloads View citations (9)

Editor

  1. Journal of Financial Perspectives
    EY Global FS Institute
  2. Journal of Financial Transformation
    Capco Institute
 
Page updated 2019-06-16