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Journal Articles
- 2024
[j11]John Armstrong, Damiano Brigo
, Alex S. L. Tse:
The importance of dynamic risk constraints for limited liability operators. Ann. Oper. Res. 336(1-2): 861-898 (2024)- [j10]Damiano Brigo, Federico Graceffa, Alexander Kalinin:
Mild to Classical Solutions for XVA Equations under Stochastic Volatility. SIAM J. Financial Math. 15(1): 215-254 (2024) - 2019
- [j9]Damiano Brigo, Marco Francischello, Andrea Pallavicini:
Nonlinear valuation under credit, funding, and margins: Existence, uniqueness, invariance, and disentanglement. Eur. J. Oper. Res. 274(2): 788-805 (2019) - 2018
- [j8]Damiano Brigo, Frédéric Vrins:
Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures. Eur. J. Oper. Res. 269(3): 1154-1164 (2018) - 2017
- [j7]Damiano Brigo, Cristin Buescu, Marek Rutkowski:
Funding, repo and credit inclusive valuation as modified option pricing. Oper. Res. Lett. 45(6): 665-670 (2017) - 2016
- [j6]John Armstrong, Damiano Brigo:
Nonlinear filtering via stochastic PDE projection on mixture manifolds in L2 direct metric. Math. Control. Signals Syst. 28(1): 5:1-5:33 (2016) - 2005
- [j5]Damiano Brigo, Fabio Mercurio, Massimo Morini:
The LIBOR model dynamics: Approximations, calibration and diagnostics. Eur. J. Oper. Res. 163(1): 30-51 (2005) - [j4]Damiano Brigo, Aurélien Alfonsi:
Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model. Finance Stochastics 9(1): 29-42 (2005) - 2001
- [j3]Damiano Brigo, Fabio Mercurio:
A deterministic-shift extension of analytically-tractable and time-homogeneous short-rate models. Finance Stochastics 5(3): 369-387 (2001) - 2000
- [j2]Damiano Brigo, Fabio Mercurio:
Option pricing impact of alternative continuous-time dynamics for discretely-observed stock prices. Finance Stochastics 4(2): 147-159 (2000) - 1998
- [j1]Damiano Brigo, Bernard Hanzon, François LeGland:
A differential geometric approach to nonlinear filtering: the projection filter. IEEE Trans. Autom. Control. 43(2): 247-252 (1998)
Conference and Workshop Papers
- 2017
- [c3]John Armstrong, Damiano Brigo:
Itô Stochastic Differential Equations as 2-Jets. GSI 2017: 543-551 - 2015
- [c2]John Armstrong, Damiano Brigo:
Stochastic PDE Projection on Manifolds: Assumed-Density and Galerkin Filters. GSI 2015: 713-722 - 2013
- [c1]John Armstrong, Damiano Brigo:
Stochastic Filtering by Projection: The Example of the Quadratic Sensor. GSI 2013: 685-692
Informal and Other Publications
- 2021
- [i1]Damiano Brigo, Xiaoshan Huang, Andrea Pallavicini, Haitz Sáez de Ocáriz Borde:
Interpretability in deep learning for finance: a case study for the Heston model. CoRR abs/2104.09476 (2021)
Coauthor Index
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