Details about Damiano Brigo

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

Access statistics for papers by Damiano Brigo.

Last updated 2024-04-06. Update your information in the RePEc Author Service.

Short-id: pbr17

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Working Papers

2022

1. Non-average price impact in order-driven markets
   Papers, arXiv.org

2021

2. Interpretability in deep learning for finance: a case study for the Heston model
   Papers, arXiv.org
3. Mild to classical solutions for XVA equations under stochastic volatility
   Papers, arXiv.org
4. Price Impact on Term Structure
   Papers, arXiv.org
   See also Journal Article Price impact on term structure, Quantitative Finance, Taylor & Francis Journals (2022) View citations (1) (2022)
5. Probability-free models in option pricing: statistically indistinguishable dynamics and historical vs implied volatility
   Papers, arXiv.org
   See also Chapter Probability-Free Models in Option Pricing: Statistically Indistinguishable Dynamics and Historical vs Implied Volatility, World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd. (2023) (2023)

2020

6. Forecasting recovery rates on non-performing loans with machine learning
   LIDAM Discussion Papers LFIN, Université catholique de Louvain, Louvain Finance (LFIN)
   Also in LIDAM Reprints LFIN, Université catholique de Louvain, Louvain Finance (LFIN) (2020)
   See also Journal Article Forecasting recovery rates on non-performing loans with machine learning, International Journal of Forecasting, Elsevier (2021) View citations (14) (2021)
7. Mechanics of good trade execution in the framework of linear temporary market impact
   Papers, arXiv.org
   See also Journal Article Mechanics of good trade execution in the framework of linear temporary market impact, Quantitative Finance, Taylor & Francis Journals (2021) (2021)
8. Option pricing models without probability: a rough paths approach
   Papers, arXiv.org
   See also Journal Article Option pricing models without probability: a rough paths approach, Mathematical Finance, Wiley Blackwell (2021) View citations (1) (2021)
9. The importance of dynamic risk constraints for limited liability operators
   Papers, arXiv.org
10. The ineffectiveness of coherent risk measures
    Papers, arXiv.org View citations (3)

2019

11. On the consistency of jump-diffusion dynamics for FX rates under inversion
    Papers, arXiv.org
    See also Journal Article On the consistency of jump-diffusion dynamics for FX rates under inversion, International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd. (2020) View citations (2) (2020)
12. SDES with uniform distributions: Peacocks, conic martingales and mean reverting uniform diffusions
    LIDAM Reprints LFIN, Université catholique de Louvain, Louvain Finance (LFIN)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2016) View citations (1)
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2019)
    See also Journal Article SDEs with uniform distributions: Peacocks, conic martingales and mean reverting uniform diffusions, Stochastic Processes and their Applications, Elsevier (2020) (2020)
13. Static vs Adaptive Strategies for Optimal Execution with Signals
    Papers, arXiv.org

2018

14. Disentangling wrong-way risk: Pricing credit valuation adjustment via change of measures
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (16)
    Also in LIDAM Reprints LFIN, Université catholique de Louvain, Louvain Finance (LFIN) (2018) View citations (15)
    See also Journal Article Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures, European Journal of Operational Research, Elsevier (2018) View citations (19) (2018)
15. Multi Currency Credit Default Swaps Quanto effects and FX devaluation jumps
    Papers, arXiv.org View citations (3)
16. Optimizing S-shaped utility and implications for risk management
    Papers, arXiv.org
17. Risk-neutral valuation under differential funding costs, defaults and collateralization
    Papers, arXiv.org View citations (9)
18. The Multivariate Mixture Dynamics Model: Shifted dynamics and correlation skew
    Papers, arXiv.org
    See also Journal Article The multivariate mixture dynamics model: shifted dynamics and correlation skew, Annals of Operations Research, Springer (2021) (2021)

2017

19. An indifference approach to the cost of capital constraints: KVA and beyond
    Papers, arXiv.org View citations (1)
20. Funding, repo and credit inclusive valuation as modified option pricing
    Papers, arXiv.org View citations (9)

2016

21. Disentangling wrong-way risk: pricing CVA via change of measures and drift adjustment
    Papers, arXiv.org View citations (7)
22. Static vs adapted optimal execution strategies in two benchmark trading models
    Papers, arXiv.org

2015

23. Impact of Multiple Curve Dynamics in Credit Valuation Adjustments under Collateralization
    Papers, arXiv.org View citations (1)
    See also Journal Article Impact of multiple curve dynamics in credit valuation adjustments under collateralization, Quantitative Finance, Taylor & Francis Journals (2018) View citations (2) (2018)
24. Invariance, existence and uniqueness of solutions of nonlinear valuation PDEs and FBSDEs inclusive of credit risk, collateral and funding costs
    Papers, arXiv.org View citations (8)

2014

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

2013

32. 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 View citations (3)
33. CoCo Bonds Valuation with Equity- and Credit-Calibrated First Passage Structural Models
    Papers, arXiv.org View citations (8)
34. Interest-Rate Modelling in Collateralized Markets: Multiple curves, credit-liquidity effects, CCPs
    Papers, arXiv.org View citations (15)
35. Restructuring counterparty credit risk
    Discussion Papers, Deutsche Bundesbank View citations (7)
    Also in Papers, arXiv.org (2012) View citations (4)
    See also Journal Article RESTRUCTURING COUNTERPARTY CREDIT RISK, International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd. (2013) View citations (6) (2013)

2012

36. Consistent single- and multi-step sampling of multivariate arrival times: A characterization of self-chaining copulas
    Papers, arXiv.org View citations (2)
37. Counterparty Risk FAQ: Credit VaR, PFE, CVA, DVA, Closeout, Netting, Collateral, Re-hypothecation, WWR, Basel, Funding, CCDS and Margin Lending
    Papers, arXiv.org View citations (5)
38. Funding, Collateral and Hedging: uncovering the mechanics and the subtleties of funding valuation adjustments
    Papers, arXiv.org View citations (48)
39. Illustrating a problem in the self-financing condition in two 2010-2011 papers on funding, collateral and discounting
    Papers, arXiv.org View citations (2)

2011

40. Collateral Margining in Arbitrage-Free Counterparty Valuation Adjustment including Re-Hypotecation and Netting
    Papers, arXiv.org View citations (40)
41. Funding Valuation Adjustment: a consistent framework including CVA, DVA, collateral,netting rules and re-hypothecation
    Papers, arXiv.org View citations (46)
42. Impact of the first to default time on Bilateral CVA
    Papers, arXiv.org View citations (8)

2010

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

2009

48. Bilateral counterparty risk valuation with stochastic dynamical models and application to Credit Default Swaps
    Papers, arXiv.org View citations (23)
49. Counterparty risk valuation for Energy-Commodities swaps: Impact of volatilities and correlation
    Papers, arXiv.org
50. Credit Calibration with Structural Models: The Lehman case and Equity Swaps under Counterparty Risk
    Papers, arXiv.org View citations (1)
51. Credit Default Swap Calibration and Counterparty Risk Valuation with a Scenario based First Passage Model
    Papers, arXiv.org View citations (6)
52. Credit Default Swap Calibration and Equity Swap Valuation under Counterparty Risk with a Tractable Structural Model
    Papers, arXiv.org View citations (7)

2008

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

2006

62. Credit Derivatives Pricing with a Smile-Extended Jump Stochastic Intensity Model
    ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading View citations (4)

Journal Articles

2023

1. Price Impact Without Averaging
   Applied Mathematical Finance, 2023, 30, (4), 175-206

2022

2. Coherent risk measures alone are ineffective in constraining portfolio losses
   Journal of Banking & Finance, 2022, 140, (C)
3. Nonlinear Valuation with XVAs: Two Converging Approaches
   Mathematics, 2022, 10, (5), 1-31 View citations (1)
4. On the design of sovereign bond-backed securities
   International Journal of Financial Engineering (IJFE), 2022, 09, (01), 1-23 View citations (1)
5. Price impact on term structure
   Quantitative Finance, 2022, 22, (1), 171-195 View citations (1)
   See also Working Paper Price Impact on Term Structure, Papers (2021) (2021)

2021

6. Forecasting recovery rates on non-performing loans with machine learning
   International Journal of Forecasting, 2021, 37, (1), 428-444 View citations (14)
   See also Working Paper Forecasting recovery rates on non-performing loans with machine learning, LIDAM Discussion Papers LFIN (2020) (2020)
7. Mechanics of good trade execution in the framework of linear temporary market impact
   Quantitative Finance, 2021, 21, (1), 143-163
   See also Working Paper Mechanics of good trade execution in the framework of linear temporary market impact, Papers (2020) (2020)
8. Optimal trading: The importance of being adaptive
   International Journal of Financial Engineering (IJFE), 2021, 08, (04), 1-18
9. Option pricing models without probability: a rough paths approach
   Mathematical Finance, 2021, 31, (4), 1494-1521 View citations (1)
   See also Working Paper Option pricing models without probability: a rough paths approach, Papers (2020) (2020)
10. The multivariate mixture dynamics model: shifted dynamics and correlation skew
    Annals of Operations Research, 2021, 299, (1), 1411-1435
    See also Working Paper The Multivariate Mixture Dynamics Model: Shifted dynamics and correlation skew, Papers (2018) (2018)

2020

11. On the consistency of jump-diffusion dynamics for FX rates under inversion
    International Journal of Financial Engineering (IJFE), 2020, 07, (04), 1-17 View citations (2)
    See also Working Paper On the consistency of jump-diffusion dynamics for FX rates under inversion, Papers (2019) (2019)
12. SDEs with uniform distributions: Peacocks, conic martingales and mean reverting uniform diffusions
    Stochastic Processes and their Applications, 2020, 130, (7), 3895-3919
    See also Working Paper SDES with uniform distributions: Peacocks, conic martingales and mean reverting uniform diffusions, LIDAM Reprints LFIN (2019) (2019)

2019

13. MULTI-CURRENCY CREDIT DEFAULT SWAPS
    International Journal of Theoretical and Applied Finance (IJTAF), 2019, 22, (04), 1-35 View citations (2)
14. Nonlinear valuation under credit, funding, and margins: Existence, uniqueness, invariance, and disentanglement
    European Journal of Operational Research, 2019, 274, (2), 788-805 View citations (10)
15. Risk managing tail-risk seekers: VaR and expected shortfall vs S-shaped utility
    Journal of Banking & Finance, 2019, 101, (C), 122-135 View citations (11)

2018

16. Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures
    European Journal of Operational Research, 2018, 269, (3), 1154-1164 View citations (19)
    See also Working Paper Disentangling wrong-way risk: Pricing credit valuation adjustment via change of measures, LIDAM Reprints CORE (2018) View citations (16) (2018)
17. Impact of multiple curve dynamics in credit valuation adjustments under collateralization
    Quantitative Finance, 2018, 18, (1), 31-44 View citations (2)
    See also Working Paper Impact of Multiple Curve Dynamics in Credit Valuation Adjustments under Collateralization, Papers (2015) View citations (1) (2015)
18. The multivariate mixture dynamics: Consistent no-arbitrage single-asset and index volatility smiles
    IISE Transactions, 2018, 50, (1), 27-44

2017

19. Impact of Robotics, RPA and AI on the insurance industry: challenges and opportunities
    Journal of Financial Perspectives, 2017, 4, (1), 8-20 View citations (2)

2016

20. 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 View citations (1)

2015

21. 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 View citations (2)
22. 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 View citations (8)

2014

23. ARBITRAGE-FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS
    Mathematical Finance, 2014, 24, (1), 125-146 View citations (61)
24. 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 View citations (45)
25. Optimal trade execution under displaced diffusions dynamics across different risk criteria
    Journal of Financial Engineering (JFE), 2014, 01, (02), 1-17 View citations (6)

2013

26. 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 View citations (9)
27. RESTRUCTURING COUNTERPARTY CREDIT RISK
    International Journal of Theoretical and Applied Finance (IJTAF), 2013, 16, (02), 1-29 View citations (6)
    See also Working Paper Restructuring counterparty credit risk, Discussion Papers (2013) View citations (7) (2013)

2012

28. COUNTERPARTY RISK PRICING: IMPACT OF CLOSEOUT AND FIRST-TO-DEFAULT TIMES
    International Journal of Theoretical and Applied Finance (IJTAF), 2012, 15, (06), 1-23 View citations (5)

2011

29. 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 View citations (22)
30. Credit models and the crisis: An overview
    Journal of Risk Management in Financial Institutions, 2011, 4, (3), 243-253
31. Guest Editorial
    Journal of Risk Management in Financial Institutions, 2011, 4, (3), 212-215

2009

32. A dynamic programming approach for pricing CDS and CDS options
    Quantitative Finance, 2009, 9, (6), 717-726 View citations (1)
33. A stochastic processes toolkit for risk management: Geometric Brownian motion, jumps, GARCH and variance gamma models
    Journal of Risk Management in Financial Institutions, 2009, 2, (4), 365-393 View citations (1)
34. 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 View citations (54)
35. Risk-neutral versus objective loss distribution and CDO tranche valuation
    Journal of Risk Management in Financial Institutions, 2009, 2, (2), 175-192

2007

36. 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 View citations (5)
    See also Chapter CLUSTER-BASED EXTENSION OF THE GENERALIZED POISSON LOSS DYNAMICS AND CONSISTENCY WITH SINGLE NAMES, World Scientific Book Chapters, 2007, 15-39 (2007) View citations (5) (2007)

2006

37. 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

2005

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

2003

42. Alternative asset-price dynamics and volatility smile
    Quantitative Finance, 2003, 3, (3), 173-183 View citations (14)
43. Analytical pricing of the smile in a forward LIBOR market model
    Quantitative Finance, 2003, 3, (1), 15-27 View citations (8)

2002

44. LOGNORMAL-MIXTURE DYNAMICS AND CALIBRATION TO MARKET VOLATILITY SMILES
    International Journal of Theoretical and Applied Finance (IJTAF), 2002, 05, (04), 427-446 View citations (54)

2001

45. A deterministic-shift extension of analytically-tractable and time-homogeneous short-rate models
    Finance and Stochastics, 2001, 5, (3), 369-387 View citations (29)

2000

46. On SDEs with marginal laws evolving in finite-dimensional exponential families
    Statistics & Probability Letters, 2000, 49, (2), 127-134 View citations (5)
47. Option pricing impact of alternative continuous-time dynamics for discretely-observed stock prices
    Finance and Stochastics, 2000, 4, (2), 147-159 View citations (7)

1998

48. On some filtering problems arising in mathematical finance
    Insurance: Mathematics and Economics, 1998, 22, (1), 53-64 View citations (13)

Chapters

2023

1. Probability-Free Models in Option Pricing: Statistically Indistinguishable Dynamics and Historical vs Implied Volatility
   Chapter 4 in Options — 45 years since the Publication of the Black–Scholes–Merton Model The Gershon Fintech Center Conference, 2023, pp 47-61
   See also Working Paper Probability-free models in option pricing: statistically indistinguishable dynamics and historical vs implied volatility, arXiv.org (2021) (2021)

2018

2. Consistent Iterated Simulation of Multivariate Defaults: Markov Indicators, Lack of Memory, Extreme-Value Copulas, and the Marshall–Olkin Distribution
   Chapter 3 in Innovations in Insurance, Risk- and Asset Management, 2018, pp 47-93 View citations (1)
3. Examples of Wrong-Way Risk in CVA Induced by Devaluations on Default
   Chapter 4 in Innovations in Insurance, Risk- and Asset Management, 2018, pp 95-115
4. Static Versus Adapted Optimal Execution Strategies in Two Benchmark Trading Models
   Chapter 10 in Innovations in Insurance, Risk- and Asset Management, 2018, pp 239-273 View citations (3)
5. Wrong-Way Risk Adjusted Exposure: Analytical Approximations for Options in Default Intensity Models
   Chapter 2 in Innovations in Insurance, Risk- and Asset Management, 2018, pp 27-45 View citations (6)

2007

6. CLUSTER-BASED EXTENSION OF THE GENERALIZED POISSON LOSS DYNAMICS AND CONSISTENCY WITH SINGLE NAMES
   Chapter 2 in Credit Correlation Life After Copulas, 2007, pp 15-39 View citations (5)
   See also Journal Article CLUSTER-BASED EXTENSION OF THE GENERALIZED POISSON LOSS DYNAMICS AND CONSISTENCY WITH SINGLE NAMES, World Scientific Publishing Co. Pte. Ltd. (2007) View citations (5) (2007)

Editor

1. Journal of Financial Perspectives
   EY Global FS Institute
2. Journal of Financial Transformation
   Capco Institute