Damiano Brigo : Citation Profile


Are you Damiano Brigo?

10

H index

10

i10 index

356

Citations

RESEARCH PRODUCTION:

37

Articles

66

Papers

5

Chapters

EDITOR:

2

Series edited

RESEARCH ACTIVITY:

   23 years (1998 - 2021). See details.
   Cites by year: 15
   Journals where Damiano Brigo has often published
   Relations with other researchers
   Recent citing documents: 38.    Total self citations: 54 (13.17 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pbr17
   Updated: 2021-06-12    RAS profile: 2021-05-07    
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Relations with other researchers


Works with:

Vrins, Frédéric (8)

Pallavicini, Andrea (5)

Authors registered in RePEc who have co-authored more than one work in the last five years with Damiano Brigo.

Is cited by:

Gnoatto, Alessandro (23)

Oosterlee, Cornelis (5)

Pallavicini, Andrea (5)

Blake, David (4)

Arismendi Zambrano, Juan (4)

Ballotta, Laura (4)

Wang, Xingchun (4)

Platen, Eckhard (3)

Vrins, Frédéric (3)

Alexander, Carol (3)

Dionne, Georges (3)

Cites to:

Pallavicini, Andrea (59)

Duffie, Darrell (14)

merton, robert (11)

Acerbi, Carlo (8)

HUANG, MING (7)

Jamshidian, Farshid (7)

Scholes, Myron (7)

Pedersen, Lasse (6)

Singleton, Kenneth (5)

Clarida, Richard (5)

Fries, Christian (5)

Main data


Where Damiano Brigo has published?


Journals with more than one article published# docs
International Journal of Theoretical and Applied Finance (IJTAF)11
Quantitative Finance6
European Journal of Operational Research3
Finance and Stochastics3
Journal of Financial Engineering (JFE)2
Statistics & Probability Letters2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org55
LIDAM Reprints LFIN / Universit catholique de Louvain, Louvain Finance (LFIN)3
ICMA Centre Discussion Papers in Finance / Henley Business School, University of Reading3

Recent works citing Damiano Brigo (2021 and 2020)


YearTitle of citing document
2020A Binary Nature of Funding Impacts in Bilateral Contracts. (2018). Lee, Junbeom ; Zhou, Chao. In: Papers. RePEc:arx:papers:1703.00259.

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2020Robust XVA. (2019). Sturm, Stephan ; Capponi, Agostino ; Bichuch, Maxim. In: Papers. RePEc:arx:papers:1808.04908.

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2020Multiple yield curve modelling with CBI processes. (2019). Gnoatto, Alessandro ; Szulda, Guillaume ; Fontana, Claudio. In: Papers. RePEc:arx:papers:1911.02906.

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2020Rational Kernel on Pricing Models of Inflation Derivatives. (2020). Zhou, Yue. In: Papers. RePEc:arx:papers:2001.05124.

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2021Cross Currency Valuation and Hedging in the Multiple Curve Framework. (2020). Seiffert, Nicole ; Gnoatto, Alessandro. In: Papers. RePEc:arx:papers:2001.11012.

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2020Derivatives Discounting Explained. (2020). Lou, Wujiang . In: Papers. RePEc:arx:papers:2002.08532.

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2020Deep xVA solver -- A neural network based counterparty credit risk management framework. (2020). Gnoatto, Alessandro ; Reisinger, Christoph ; Picarelli, Athena. In: Papers. RePEc:arx:papers:2005.02633.

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2020A Computational Approach to Hedging Credit Valuation Adjustment in a Jump-Diffusion Setting. (2020). Oosterlee, C W ; Grzelak, L A ; van der Zwaard, T. In: Papers. RePEc:arx:papers:2005.10504.

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2020A moment matching method for option pricing under stochastic interest rates. (2020). Scarlatti, Sergio ; Ramponi, Alessandro ; Antonelli, Fabio. In: Papers. RePEc:arx:papers:2005.14063.

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2020An overall view of key problems in algorithmic trading and recent progress. (2020). Karpe, Michael. In: Papers. RePEc:arx:papers:2006.05515.

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2020A pure-jump mean-reverting short rate model. (2020). Hess, Markus. In: Papers. RePEc:arx:papers:2006.14814.

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2020XVA Analysis From the Balance Sheet. (2020). Saadeddine, Bouazza ; Hoskinson, Rodney ; Crepey, Stephane ; Albanese, Claudio. In: Papers. RePEc:arx:papers:2009.00368.

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2021A Dual Characterisation of Regulatory Arbitrage for Coherent Risk Measures. (2020). Khan, Nazem ; Herdegen, Martin. In: Papers. RePEc:arx:papers:2009.05498.

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2020Robust XVA. (2020). Sturm, Stephan ; Capponi, Agostino ; Bichuch, Maxim. In: Mathematical Finance. RePEc:bla:mathfi:v:30:y:2020:i:3:p:738-781.

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2020Azéma martingales for Bessel and CIR processes and the pricing of Parisian zero‐coupon bonds. (2020). Qu, Yan ; Lim, Jia Wei ; Dassios, Angelos. In: Mathematical Finance. RePEc:bla:mathfi:v:30:y:2020:i:4:p:1497-1526.

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2021A computational approach to hedging Credit Valuation Adjustment in a jump-diffusion setting. (2021). Oosterlee, Cornelis W ; Grzelak, Lech A ; van der Zwaard, Thomas. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:391:y:2021:i:c:s009630032030624x.

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2021Markov chain approximation and measure change for time-inhomogeneous stochastic processes. (2021). Ning, Ning ; Ding, Kailin. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:392:y:2021:i:c:s0096300320306858.

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2021The impact of central clearing on the market for single-name credit default swaps. (2021). Dionne, Georges ; Breton, Michele ; Ben-Abdallah, Ramzi ; Akari, Mohamed-Ali. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:56:y:2021:i:c:s106294082030231x.

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2020Hypothesis testing for tail dependence parameters on the boundary of the parameter space. (2020). Kiriliouk, Anna. In: Econometrics and Statistics. RePEc:eee:ecosta:v:16:y:2020:i:c:p:121-135.

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2020Mildly explosive dynamics in U.S. fixed income markets. (2020). Guidolin, Massimo ; De Pace, Pierangelo ; DePace, Pierangelo ; Contessi, Silvio. In: European Journal of Operational Research. RePEc:eee:ejores:v:287:y:2020:i:2:p:712-724.

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2020Linearized filtering of affine processes using stochastic Riccati equations. (2020). Teichmann, Josef ; Gonon, Lukas. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:130:y:2020:i:1:p:394-430.

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2020Mildly Explosive Dynamics in U.S. Fixed Income Markets. (2020). Guidolin, Massimo ; de Pace, Pierangelo ; DePace, Pierangelo ; Contessi, Silvio. In: Working Papers. RePEc:igi:igierp:667.

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2020A hitelminősítői bejelentések fertőző hatásai és a hitelértékelési kiigazítás. (2020). Boros, Peter. In: Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences). RePEc:ksa:szemle:1888.

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2020The Implications of Tail Dependency Measures for Counterparty Credit Risk Pricing. (2020). Arismendi Zambrano, Juan ; Kimura, Herbert ; Sobreiro, Vinicius Amorim ; Belitsky, Vladimir ; Arismendi-Zambrano, J C. In: Economics, Finance and Accounting Department Working Paper Series. RePEc:may:mayecw:n306-20.pdf.

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2021CVA and vulnerable options pricing by correlation expansions. (2021). Scarlatti, S ; Ramponi, A ; Antonelli, F. In: Annals of Operations Research. RePEc:spr:annopr:v:299:y:2021:i:1:d:10.1007_s10479-019-03367-z.

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2020Linear credit risk models. (2020). Filipovi, Damir ; Ackerer, Damien . In: Finance and Stochastics. RePEc:spr:finsto:v:24:y:2020:i:1:d:10.1007_s00780-019-00409-z.

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2020Term structure modelling for multiple curves with stochastic discontinuities. (2020). Fontana, Claudio ; Schmidt, Thorsten ; Gumbel, Sandrine ; Grbac, Zorana. In: Finance and Stochastics. RePEc:spr:finsto:v:24:y:2020:i:2:d:10.1007_s00780-020-00416-5.

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2020A simulation analysis of systemic counterparty risk in over-the-counter derivatives markets. (2020). Kurosaki, Tetsuo ; Sakurai, Yuji . In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:15:y:2020:i:1:d:10.1007_s11403-019-00260-7.

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2020Five Fundamental Questions on Central Counterparties. (2020). Berndsen, Ron. In: Discussion Paper. RePEc:tiu:tiucen:1f3bd844-92ab-4104-8f57-9e18c384bd2b.

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2020Five Fundamental Questions on Central Counterparties. (2020). Berndsen, Ron. In: Other publications TiSEM. RePEc:tiu:tiutis:1f3bd844-92ab-4104-8f57-9e18c384bd2b.

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2020Branching Diffusions with Jumps and Valuation with Systemic Counterparties. (2020). Hoffmann, Daniel ; Belak, Christoph ; Seifried, Frank T. In: Working Paper Series. RePEc:trr:qfrawp:202004.

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2020Cross Currency Valuation and Hedging in the Multiple Curve Framework. (2020). Seiffert, Nicole ; Gnoatto, Alessandro. In: Working Papers. RePEc:ver:wpaper:03/2020.

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2020Deep xVA solver - A neural network based counterparty credit risk management framework. (2020). Reisinger, Christoph ; Picarelli, Athena ; Gnoatto, Alessandro. In: Working Papers. RePEc:ver:wpaper:07/2020.

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2020Analytical valuation of Asian options with counterparty risk under stochastic volatility models. (2020). Wang, Xingchun. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:3:p:410-429.

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2021Optimal portfolio allocation using option?implied information. (2021). Strittmatter, Marius ; Olmo, Jose ; Kyriacou, Maria. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:2:p:266-285.

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2020GENERAL ANALYSIS OF LONG-TERM INTEREST RATES. (2020). Gnoatto, Alessandro ; Hartel, Maximilian ; Biagini, Francesca. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:23:y:2020:i:01:n:s0219024920500028.

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2020xVA: DEFINITION, EVALUATION AND RISK MANAGEMENT. (2020). Zhang, Dawei ; Wu, Lixin. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:23:y:2020:i:01:n:s0219024920500065.

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2020CREDIT DEFAULT SWAPS IN TWO-DIMENSIONAL MODELS WITH VARIOUS INFORMATIONS FLOWS. (2020). Jeanblanc, Monique ; Gapeev, Pavel V. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:23:y:2020:i:02:n:s0219024920500107.

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Damiano Brigo is editor of


Journal
Journal of Financial Perspectives
Journal of Financial Transformation

Works by Damiano Brigo:


YearTitleTypeCited
2020Forecasting recovery rates on non-performing loans with machine learning In: LIDAM Discussion Papers LFIN.
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2020Forecasting recovery rates on non-performing loans with machine learning.(2020) In: LIDAM Reprints LFIN.
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2021Forecasting recovery rates on non-performing loans with machine learning.(2021) In: International Journal of Forecasting.
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2018Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures In: LIDAM Reprints LFIN.
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paper5
2018Disentangling wrong-way risk: Pricing credit valuation adjustment via change of measures.(2018) In: LIDAM Reprints CORE.
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paper
2018Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures.(2018) In: European Journal of Operational Research.
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article
2019SDES with uniform distributions: Peacocks, conic martingales and mean reverting uniform diffusions In: LIDAM Reprints LFIN.
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2016SDEs with Uniform Distributions : Peacocks, Conic Martingales and Mean Reverting Uniform Diffusions.(2016) In: LIDAM Discussion Papers CORE.
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2019SDEs with uniform distributions: Peacocks, conic martingales and mean reverting uniform diffusions.(2019) In: LIDAM Reprints CORE.
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2020SDEs with uniform distributions: Peacocks, conic martingales and mean reverting uniform diffusions.(2020) In: Stochastic Processes and their Applications.
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2009Bilateral counterparty risk valuation with stochastic dynamical models and application to Credit Default Swaps In: Papers.
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2008Discrete Time vs Continuous Time Stock-price Dynamics and implications for Option Pricing In: Papers.
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paper1
2008On three filtering problems arising in mathematical finance In: Papers.
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2008The general mixture-diffusion SDE and its relationship with an uncertain-volatility option model with volatility-asset decorrelation In: Papers.
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2008Arbitrage-free Pricing of Credit Index Options: The no-armageddon pricing measure and the role of correlation after the subprime crisis In: Papers.
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2008Constant Maturity Credit Default Swap Pricing with Market Models In: Papers.
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2008Default correlation, cluster dynamics and single names: The GPCL dynamical loss model In: Papers.
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2008An exact formula for default swaptions pricing in the SSRJD stochastic intensity model In: Papers.
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2007An exact formula for default swaptions pricing in the SSRJD stochastic intensity model.(2007) In: ICMA Centre Discussion Papers in Finance.
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2008A Stochastic Processes Toolkit for Risk Management In: Papers.
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2009Counterparty risk valuation for Energy-Commodities swaps: Impact of volatilities and correlation In: Papers.
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2010Bilateral counterparty risk valuation for interest-rate products: impact of volatilities and correlations In: Papers.
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2009Credit Default Swap Calibration and Equity Swap Valuation under Counterparty Risk with a Tractable Structural Model In: Papers.
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2009Credit Default Swap Calibration and Counterparty Risk Valuation with a Scenario based First Passage Model In: Papers.
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2009Credit Calibration with Structural Models: The Lehman case and Equity Swaps under Counterparty Risk In: Papers.
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2010Credit models and the crisis, or: how I learned to stop worrying and love the CDOs In: Papers.
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2010Credit Default Swaps Liquidity modeling: A survey In: Papers.
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2010Liquidity-adjusted Market Risk Measures with Stochastic Holding Period In: Papers.
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2010Dangers of Bilateral Counterparty Risk: the fundamental impact of closeout conventions In: Papers.
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2011Collateral Margining in Arbitrage-Free Counterparty Valuation Adjustment including Re-Hypotecation and Netting In: Papers.
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2011Impact of the first to default time on Bilateral CVA In: Papers.
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2012Counterparty Risk FAQ: Credit VaR, PFE, CVA, DVA, Closeout, Netting, Collateral, Re-hypothecation, WWR, Basel, Funding, CCDS and Margin Lending In: Papers.
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2011Funding Valuation Adjustment: a consistent framework including CVA, DVA, collateral,netting rules and re-hypothecation In: Papers.
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2012Restructuring Counterparty Credit Risk In: Papers.
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2013RESTRUCTURING COUNTERPARTY CREDIT RISK.(2013) In: International Journal of Theoretical and Applied Finance (IJTAF).
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2013Restructuring counterparty credit risk.(2013) In: Discussion Papers.
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2012Consistent single- and multi-step sampling of multivariate arrival times: A characterization of self-chaining copulas In: Papers.
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2012Illustrating a problem in the self-financing condition in two 2010-2011 papers on funding, collateral and discounting In: Papers.
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2012Funding, Collateral and Hedging: uncovering the mechanics and the subtleties of funding valuation adjustments In: Papers.
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2013CoCo Bonds Valuation with Equity- and Credit-Calibrated First Passage Structural Models In: Papers.
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2014The arbitrage-free Multivariate Mixture Dynamics Model: Consistent single-assets and index volatility smiles In: Papers.
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2013Interest-Rate Modelling in Collateralized Markets: Multiple curves, credit-liquidity effects, CCPs In: Papers.
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2014Optimal execution comparison across risks and dynamics, with solutions for displaced diffusions In: Papers.
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2014Consistent iterated simulation of multi-variate default times: a Markovian indicators characterization In: Papers.
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2013CCPs, 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? In: Papers.
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2014CCP Cleared or Bilateral CSA Trades with Initial/Variation Margins under credit, funding and wrong-way risks: A Unified Valuation Approach In: Papers.
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2014Inflation securities valuation with macroeconomic-based no-arbitrage dynamics In: Papers.
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2014Nonlinear Valuation under Collateral, Credit Risk and Funding Costs: A Numerical Case Study Extending Black-Scholes In: Papers.
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2014An initial approach to Risk Management of Funding Costs In: Papers.
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2015Invariance, existence and uniqueness of solutions of nonlinear valuation PDEs and FBSDEs inclusive of credit risk, collateral and funding costs In: Papers.
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2015Impact of Multiple Curve Dynamics in Credit Valuation Adjustments under Collateralization In: Papers.
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2018Impact of multiple curve dynamics in credit valuation adjustments under collateralization.(2018) In: Quantitative Finance.
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2018The Multivariate Mixture Dynamics Model: Shifted dynamics and correlation skew In: Papers.
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2021The multivariate mixture dynamics model: shifted dynamics and correlation skew.(2021) In: Annals of Operations Research.
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2018Multi Currency Credit Default Swaps Quanto effects and FX devaluation jumps In: Papers.
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2017Funding, repo and credit inclusive valuation as modified option pricing In: Papers.
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2016Static vs adapted optimal execution strategies in two benchmark trading models In: Papers.
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2016Disentangling wrong-way risk: pricing CVA via change of measures and drift adjustment In: Papers.
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2017An indifference approach to the cost of capital constraints: KVA and beyond In: Papers.
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2018Optimizing S-shaped utility and implications for risk management In: Papers.
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2018Risk-neutral valuation under differential funding costs, defaults and collateralization In: Papers.
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2020Option pricing models without probability: a rough paths approach In: Papers.
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2019Static vs Adaptive Strategies for Optimal Execution with Signals In: Papers.
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2020The ineffectiveness of coherent risk measures In: Papers.
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2019Probability-free models in option pricing: statistically indistinguishable dynamics and historical vs implied volatility In: Papers.
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2019On the consistency of jump-diffusion dynamics for FX rates under inversion In: Papers.
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2020On the consistency of jump-diffusion dynamics for FX rates under inversion.(2020) In: International Journal of Financial Engineering (IJFE).
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2020Mechanics of good trade execution in the framework of linear temporary market impact In: Papers.
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2021Mechanics of good trade execution in the framework of linear temporary market impact.(2021) In: Quantitative Finance.
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2020The importance of dynamic risk constraints for limited liability operators In: Papers.
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2020Price Impact on Term Structure In: Papers.
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2021Interpretability in deep learning for finance: a case study for the Heston model In: Papers.
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2014ARBITRAGE-FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS In: Mathematical Finance.
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2005The LIBOR model dynamics: Approximations, calibration and diagnostics In: European Journal of Operational Research.
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2019Nonlinear valuation under credit, funding, and margins: Existence, uniqueness, invariance, and disentanglement In: European Journal of Operational Research.
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1998On some filtering problems arising in mathematical finance In: Insurance: Mathematics and Economics.
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2019Risk managing tail-risk seekers: VaR and expected shortfall vs S-shaped utility In: Journal of Banking & Finance.
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2016Markov multi-variate survival indicators for default simulation as a new characterization of the Marshall–Olkin law In: Statistics & Probability Letters.
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2000On SDEs with marginal laws evolving in finite-dimensional exponential families In: Statistics & Probability Letters.
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2006Credit Derivatives Pricing with a Smile-Extended Jump Stochastic Intensity Model In: ICMA Centre Discussion Papers in Finance.
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2008An analytically tractable time-changed jump-diffusion default intensity model In: ICMA Centre Discussion Papers in Finance.
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2017Impact of Robotics, RPA and AI on the insurance industry: challenges and opportunities In: Journal of Financial Perspectives.
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2005Efficient pricing of default risk: Different approaches for a single goal In: Journal of Financial Transformation.
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2000Option pricing impact of alternative continuous-time dynamics for discretely-observed stock prices In: Finance and Stochastics.
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2001A deterministic-shift extension of analytically-tractable and time-homogeneous short-rate models In: Finance and Stochastics.
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2005Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model In: Finance and Stochastics.
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2003Analytical pricing of the smile in a forward LIBOR market model In: Quantitative Finance.
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2003Alternative asset-price dynamics and volatility smile In: Quantitative Finance.
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2005On the distributional distance between the lognormal LIBOR and swap market models In: Quantitative Finance.
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2009A dynamic programming approach for pricing CDS and CDS options In: Quantitative Finance.
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2018The multivariate mixture dynamics: Consistent no-arbitrage single-asset and index volatility smiles In: IISE Transactions.
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2002LOGNORMAL-MIXTURE DYNAMICS AND CALIBRATION TO MARKET VOLATILITY SMILES In: International Journal of Theoretical and Applied Finance (IJTAF).
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2006THE STOCHASTIC INTENSITY SSRD MODEL IMPLIED VOLATILITY PATTERNS FOR CREDIT DEFAULT SWAP OPTIONS AND THE IMPACT OF CORRELATION In: International Journal of Theoretical and Applied Finance (IJTAF).
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2007CLUSTER-BASED EXTENSION OF THE GENERALIZED POISSON LOSS DYNAMICS AND CONSISTENCY WITH SINGLE NAMES In: International Journal of Theoretical and Applied Finance (IJTAF).
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2007CLUSTER-BASED EXTENSION OF THE GENERALIZED POISSON LOSS DYNAMICS AND CONSISTENCY WITH SINGLE NAMES.(2007) In: World Scientific Book Chapters.
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2009COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION In: International Journal of Theoretical and Applied Finance (IJTAF).
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2011ARBITRAGE-FREE VALUATION OF BILATERAL COUNTERPARTY RISK FOR INTEREST-RATE PRODUCTS: IMPACT OF VOLATILITIES AND CORRELATIONS In: International Journal of Theoretical and Applied Finance (IJTAF).
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2012COUNTERPARTY RISK PRICING: IMPACT OF CLOSEOUT AND FIRST-TO-DEFAULT TIMES In: International Journal of Theoretical and Applied Finance (IJTAF).
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2013PRICING COUNTERPARTY RISK INCLUDING COLLATERALIZATION, NETTING RULES, RE-HYPOTHECATION AND WRONG-WAY RISK In: International Journal of Theoretical and Applied Finance (IJTAF).
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2015A NOTE ON THE SELF-FINANCING CONDITION FOR FUNDING, COLLATERAL AND DISCOUNTING In: International Journal of Theoretical and Applied Finance (IJTAF).
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2015COCO BONDS PRICING WITH CREDIT AND EQUITY CALIBRATED FIRST-PASSAGE FIRM VALUE MODELS In: International Journal of Theoretical and Applied Finance (IJTAF).
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2019MULTI-CURRENCY CREDIT DEFAULT SWAPS In: International Journal of Theoretical and Applied Finance (IJTAF).
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2014Nonlinear consistent valuation of CCP cleared or CSA bilateral trades with initial margins under credit, funding and wrong-way risks In: Journal of Financial Engineering (JFE).
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2014Optimal trade execution under displaced diffusions dynamics across different risk criteria In: Journal of Financial Engineering (JFE).
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2018Wrong-Way Risk Adjusted Exposure: Analytical Approximations for Options in Default Intensity Models In: World Scientific Book Chapters.
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2018Consistent Iterated Simulation of Multivariate Defaults: Markov Indicators, Lack of Memory, Extreme-Value Copulas, and the Marshall–Olkin Distribution In: World Scientific Book Chapters.
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2018Examples of Wrong-Way Risk in CVA Induced by Devaluations on Default In: World Scientific Book Chapters.
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2018Static Versus Adapted Optimal Execution Strategies in Two Benchmark Trading Models In: World Scientific Book Chapters.
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