13
H index
17
i10 index
665
Citations
Damiano Brigo : Citation Profile
| RESEARCH PRODUCTION: 50 Articles 69 Papers 6 Chapters EDITOR: Series edited RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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26 years (1998 - 2024). Relations with other researchers
Works with:
Authors registered in RePEc who have co-authored more than one work in the last five years with Damiano Brigo. | Is cited by:
| Cites to:
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Main data
Where Damiano Brigo has published?
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Papers / arXiv.org | 58 |
| LIDAM Reprints LFIN / Universit� catholique de Louvain, Louvain Finance (LFIN) | 3 |
| ICMA Centre Discussion Papers in Finance / Henley Business School, University of Reading | 3 |
Recent works citing Damiano Brigo (2025 and 2024)
Year  | Title of citing document |
|---|---|
| 2024 | Sensitivity to large losses and $\rho$-arbitrage for convex risk measures. (2022). Herdegen, Martin ; Khan, Nazem. In: Papers. RePEc:arx:papers:2202.07610. Full description at Econpapers || Download paper |
| 2024 | No-Arbitrage Pricing, Dynamics and Forward Prices of Collateralized Derivatives. (2022). Calvelli, Alessio. In: Papers. RePEc:arx:papers:2208.08746. Full description at Econpapers || Download paper |
| 2024 | Efficient Wrong-Way Risk Modelling for Funding Valuation Adjustments. (2022). Oosterlee, C W ; Grzelak, L A ; van der Zwaard, T. In: Papers. RePEc:arx:papers:2209.12222. Full description at Econpapers || Download paper |
| 2024 | Randomization of Short-Rate Models, Analytic Pricing and Flexibility in Controlling Implied Volatilities. (2022). Grzelak, Lech A. In: Papers. RePEc:arx:papers:2211.05014. Full description at Econpapers || Download paper |
| 2024 | Gamma Hedging and Rough Paths. (2023). Ionescu, Andrei ; Armstrong, John. In: Papers. RePEc:arx:papers:2309.05054. Full description at Econpapers || Download paper |
| 2024 | Optimal Portfolio Choice with Cross-Impact Propagators. (2024). Tuschmann, Sturmius ; Neuman, Eyal ; Jaber, Eduardo Abi. In: Papers. RePEc:arx:papers:2403.10273. Full description at Econpapers || Download paper |
| 2024 | On the Hull-White model with volatility smile for Valuation Adjustments. (2024). Oosterlee, C W ; Grzelak, L A ; van der Zwaard, T. In: Papers. RePEc:arx:papers:2403.14841. Full description at Econpapers || Download paper |
| 2025 | Pricing and delta computation in jump-diffusion models with stochastic intensity by Malliavin calculus. (2024). Tahmasebi, Mahdieh ; Ahmadi, Ayub. In: Papers. RePEc:arx:papers:2405.00473. Full description at Econpapers || Download paper |
| 2025 | Integrating the implied regularity into implied volatility models: A study on free arbitrage model. (2025). di Sciorio, Fabrizio ; Angelini, Daniele. In: Papers. RePEc:arx:papers:2502.07518. Full description at Econpapers || Download paper |
| 2024 | Pricing vulnerable spread options with liquidity risk under Lévy processes. (2024). Yu, Baimin ; Wang, Xingchun ; Cai, Chengyou. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000494. Full description at Econpapers || Download paper |
| 2025 | Evaluation of counterparty credit risk under netting agreements. (2025). Tavasoli, Ahmadreza ; Breton, Michle. In: European Journal of Operational Research. RePEc:eee:ejores:v:320:y:2025:i:2:p:402-416. Full description at Econpapers || Download paper |
| 2025 | Industry return prediction via interpretable deep learning. (2025). Sermpinis, Georgios ; Iannino, Maria Chiara ; Psaradellis, Ioannis ; Zografopoulos, Lazaros. In: European Journal of Operational Research. RePEc:eee:ejores:v:321:y:2025:i:1:p:257-268. Full description at Econpapers || Download paper |
| 2024 | Functional clustering of NPLs recovery curves. (2024). Rocci, Roberto ; Carleo, Alessandra. In: Socio-Economic Planning Sciences. RePEc:eee:soceps:v:95:y:2024:i:c:s0038012124002179. Full description at Econpapers || Download paper |
| 2024 | The adoption of social robots in service operations: A comprehensive review. (2024). Mishra, Ruchi ; Kr, Rajesh ; Vishwakarma, Laxmi Pandit ; Daim, Tugrul ; Demirkol, Denizhan. In: Technology in Society. RePEc:eee:teinso:v:76:y:2024:i:c:s0160791x23002464. Full description at Econpapers || Download paper |
| 2024 | Interaction between Sovereign Quanto Credit Default Swap Spreads and Currency Options. (2024). Tsuruta, Masaru. In: JRFM. RePEc:gam:jjrfmx:v:17:y:2024:i:2:p:85-:d:1341039. Full description at Econpapers || Download paper |
| 2025 | Credit Card Default Prediction: An Empirical Analysis on Predictive Performance Using Statistical and Machine Learning Methods. (2025). Bhandary, Rakshith ; Ghosh, Bidyut Kumar. In: JRFM. RePEc:gam:jjrfmx:v:18:y:2025:i:1:p:23-:d:1562935. Full description at Econpapers || Download paper |
| 2024 | Chinas business cycle forecasting: a machine learning approach. (2024). Tang, Pan ; Zhang, Yuwei. In: Computational Economics. RePEc:kap:compec:v:64:y:2024:i:5:d:10.1007_s10614-024-10549-w. Full description at Econpapers || Download paper |
| 2025 | Discounted-likelihood valuation of variance and volatility swaps. (2025). Rujeerapaiboon, Napat ; Chen, Hongdan ; Rujivan, Sanae. In: Financial Innovation. RePEc:spr:fininn:v:11:y:2025:i:1:d:10.1186_s40854-024-00701-8. Full description at Econpapers || Download paper |
| 2024 | How does robotic process automation create value for firms?. (2024). Reis, Antnio Palma ; Durao, Daniel. In: Information Systems and e-Business Management. RePEc:spr:infsem:v:22:y:2024:i:4:d:10.1007_s10257-024-00685-z. Full description at Econpapers || Download paper |
Damiano Brigo is editor of
| Journal | |
|---|---|
| Journal of Financial Perspectives | |
| Journal of Financial Transformation |
Works by Damiano Brigo:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2020 | Forecasting recovery rates on non-performing loans with machine learning In: LIDAM Discussion Papers LFIN. [Full Text][Citation analysis] | paper | 18 |
| 2020 | Forecasting recovery rates on non-performing loans with machine learning.(2020) In: LIDAM Reprints LFIN. [Citation analysis] This paper has nother version. Agregated cites: 18 | paper | |
| 2021 | Forecasting recovery rates on non-performing loans with machine learning.(2021) In: International Journal of Forecasting. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 18 | article | |
| 2018 | Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures In: LIDAM Reprints LFIN. [Citation analysis] | paper | 20 |
| 2018 | Disentangling wrong-way risk: Pricing credit valuation adjustment via change of measures.(2018) In: LIDAM Reprints CORE. [Citation analysis] This paper has nother version. Agregated cites: 20 | paper | |
| 2018 | Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures.(2018) In: European Journal of Operational Research. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 20 | article | |
| 2019 | SDES with uniform distributions: Peacocks, conic martingales and mean reverting uniform diffusions In: LIDAM Reprints LFIN. [Citation analysis] | paper | 0 |
| 2016 | SDEs with Uniform Distributions : Peacocks, Conic Martingales and Mean Reverting Uniform Diffusions.(2016) In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2019 | SDEs with uniform distributions: Peacocks, conic martingales and mean reverting uniform diffusions.(2019) In: LIDAM Reprints CORE. [Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2020 | SDEs with uniform distributions: Peacocks, conic martingales and mean reverting uniform diffusions.(2020) In: Stochastic Processes and their Applications. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2009 | Bilateral counterparty risk valuation with stochastic dynamical models and application to Credit Default Swaps In: Papers. [Full Text][Citation analysis] | paper | 18 |
| 2008 | Discrete Time vs Continuous Time Stock-price Dynamics and implications for Option Pricing In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2008 | On three filtering problems arising in mathematical finance In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2008 | The general mixture-diffusion SDE and its relationship with an uncertain-volatility option model with volatility-asset decorrelation In: Papers. [Full Text][Citation analysis] | paper | 6 |
| 2008 | Arbitrage-free Pricing of Credit Index Options: The no-armageddon pricing measure and the role of correlation after the subprime crisis In: Papers. [Full Text][Citation analysis] | paper | 2 |
| 2008 | Constant Maturity Credit Default Swap Pricing with Market Models In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2008 | Default correlation, cluster dynamics and single names: The GPCL dynamical loss model In: Papers. [Full Text][Citation analysis] | paper | 3 |
| 2008 | An exact formula for default swaptions pricing in the SSRJD stochastic intensity model In: Papers. [Full Text][Citation analysis] | paper | 4 |
| 2007 | An exact formula for default swaptions pricing in the SSRJD stochastic intensity model.(2007) In: ICMA Centre Discussion Papers in Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
| 2008 | A Stochastic Processes Toolkit for Risk Management In: Papers. [Full Text][Citation analysis] | paper | 4 |
| 2009 | Counterparty risk valuation for Energy-Commodities swaps: Impact of volatilities and correlation In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2010 | Bilateral counterparty risk valuation for interest-rate products: impact of volatilities and correlations In: Papers. [Full Text][Citation analysis] | paper | 7 |
| 2009 | Credit Default Swap Calibration and Equity Swap Valuation under Counterparty Risk with a Tractable Structural Model In: Papers. [Full Text][Citation analysis] | paper | 3 |
| 2009 | Credit Default Swap Calibration and Counterparty Risk Valuation with a Scenario based First Passage Model In: Papers. [Full Text][Citation analysis] | paper | 4 |
| 2009 | Credit Calibration with Structural Models: The Lehman case and Equity Swaps under Counterparty Risk In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2010 | Credit models and the crisis, or: how I learned to stop worrying and love the CDOs In: Papers. [Full Text][Citation analysis] | paper | 4 |
| 2010 | Credit Default Swaps Liquidity modeling: A survey In: Papers. [Full Text][Citation analysis] | paper | 4 |
| 2010 | Liquidity-adjusted Market Risk Measures with Stochastic Holding Period In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2010 | Dangers of Bilateral Counterparty Risk: the fundamental impact of closeout conventions In: Papers. [Full Text][Citation analysis] | paper | 8 |
| 2011 | Collateral Margining in Arbitrage-Free Counterparty Valuation Adjustment including Re-Hypotecation and Netting In: Papers. [Full Text][Citation analysis] | paper | 30 |
| 2011 | Impact of the first to default time on Bilateral CVA In: Papers. [Full Text][Citation analysis] | paper | 3 |
| 2012 | Counterparty Risk FAQ: Credit VaR, PFE, CVA, DVA, Closeout, Netting, Collateral, Re-hypothecation, WWR, Basel, Funding, CCDS and Margin Lending In: Papers. [Full Text][Citation analysis] | paper | 2 |
| 2011 | Funding Valuation Adjustment: a consistent framework including CVA, DVA, collateral,netting rules and re-hypothecation In: Papers. [Full Text][Citation analysis] | paper | 35 |
| 2012 | Restructuring Counterparty Credit Risk In: Papers. [Full Text][Citation analysis] | paper | 7 |
| 2013 | RESTRUCTURING COUNTERPARTY CREDIT RISK.(2013) In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | article | |
| 2013 | Restructuring counterparty credit risk.(2013) In: Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | paper | |
| 2012 | Consistent single- and multi-step sampling of multivariate arrival times: A characterization of self-chaining copulas In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2012 | Illustrating a problem in the self-financing condition in two 2010-2011 papers on funding, collateral and discounting In: Papers. [Full Text][Citation analysis] | paper | 2 |
| 2012 | Funding, Collateral and Hedging: uncovering the mechanics and the subtleties of funding valuation adjustments In: Papers. [Full Text][Citation analysis] | paper | 37 |
| 2013 | CoCo Bonds Valuation with Equity- and Credit-Calibrated First Passage Structural Models In: Papers. [Full Text][Citation analysis] | paper | 7 |
| 2014 | The arbitrage-free Multivariate Mixture Dynamics Model: Consistent single-assets and index volatility smiles In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2013 | Interest-Rate Modelling in Collateralized Markets: Multiple curves, credit-liquidity effects, CCPs In: Papers. [Full Text][Citation analysis] | paper | 10 |
| 2014 | Optimal execution comparison across risks and dynamics, with solutions for displaced diffusions In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2014 | Consistent iterated simulation of multi-variate default times: a Markovian indicators characterization In: Papers. [Full Text][Citation analysis] | paper | 2 |
| 2013 | 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? In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2014 | CCP Cleared or Bilateral CSA Trades with Initial/Variation Margins under credit, funding and wrong-way risks: A Unified Valuation Approach In: Papers. [Full Text][Citation analysis] | paper | 3 |
| 2014 | Inflation securities valuation with macroeconomic-based no-arbitrage dynamics In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2014 | Nonlinear Valuation under Collateral, Credit Risk and Funding Costs: A Numerical Case Study Extending Black-Scholes In: Papers. [Full Text][Citation analysis] | paper | 3 |
| 2014 | An initial approach to Risk Management of Funding Costs In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2015 | Invariance, existence and uniqueness of solutions of nonlinear valuation PDEs and FBSDEs inclusive of credit risk, collateral and funding costs In: Papers. [Full Text][Citation analysis] | paper | 5 |
| 2015 | Impact of Multiple Curve Dynamics in Credit Valuation Adjustments under Collateralization In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2018 | Impact of multiple curve dynamics in credit valuation adjustments under collateralization.(2018) In: Quantitative Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
| 2018 | The Multivariate Mixture Dynamics Model: Shifted dynamics and correlation skew In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2021 | The multivariate mixture dynamics model: shifted dynamics and correlation skew.(2021) In: Annals of Operations Research. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2018 | Multi Currency Credit Default Swaps Quanto effects and FX devaluation jumps In: Papers. [Full Text][Citation analysis] | paper | 3 |
| 2017 | Funding, repo and credit inclusive valuation as modified option pricing In: Papers. [Full Text][Citation analysis] | paper | 7 |
| 2016 | Static vs adapted optimal execution strategies in two benchmark trading models In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2016 | Disentangling wrong-way risk: pricing CVA via change of measures and drift adjustment In: Papers. [Full Text][Citation analysis] | paper | 9 |
| 2017 | An indifference approach to the cost of capital constraints: KVA and beyond In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2018 | Optimizing S-shaped utility and implications for risk management In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2018 | Risk-neutral valuation under differential funding costs, defaults and collateralization In: Papers. [Full Text][Citation analysis] | paper | 8 |
| 2020 | Option pricing models without probability: a rough paths approach In: Papers. [Full Text][Citation analysis] | paper | 2 |
| 2021 | Option pricing models without probability: a rough paths approach.(2021) In: Mathematical Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
| 2019 | Static vs Adaptive Strategies for Optimal Execution with Signals In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2020 | The ineffectiveness of coherent risk measures In: Papers. [Full Text][Citation analysis] | paper | 2 |
| 2021 | Probability-free models in option pricing: statistically indistinguishable dynamics and historical vs implied volatility In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2023 | Probability-Free Models in Option Pricing: Statistically Indistinguishable Dynamics and Historical vs Implied Volatility.(2023) In: World Scientific Book Chapters. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | chapter | |
| 2019 | On the consistency of jump-diffusion dynamics for FX rates under inversion In: Papers. [Full Text][Citation analysis] | paper | 2 |
| 2020 | On the consistency of jump-diffusion dynamics for FX rates under inversion.(2020) In: International Journal of Financial Engineering (IJFE). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
| 2020 | Mechanics of good trade execution in the framework of linear temporary market impact In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2021 | Mechanics of good trade execution in the framework of linear temporary market impact.(2021) In: Quantitative Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2020 | The importance of dynamic risk constraints for limited liability operators In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2024 | The importance of dynamic risk constraints for limited liability operators.(2024) In: Annals of Operations Research. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2021 | Price Impact on Term Structure In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2022 | Price impact on term structure.(2022) In: Quantitative Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
| 2021 | Interpretability in deep learning for finance: a case study for the Heston model In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2022 | Non-average price impact in order-driven markets In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2021 | Mild to classical solutions for XVA equations under stochastic volatility In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2024 | Deep learning interpretability for rough volatility In: Papers. [Full Text][Citation analysis] | paper | 1 |
| In: . [Full Text][Citation analysis] | article | 0 | |
| In: . [Full Text][Citation analysis] | article | 2 | |
| In: . [Full Text][Citation analysis] | article | 0 | |
| In: . [Full Text][Citation analysis] | article | 0 | |
| In: . [Full Text][Citation analysis] | article | 0 | |
| 2014 | ARBITRAGE-FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS In: Mathematical Finance. [Full Text][Citation analysis] | article | 53 |
| 2005 | The LIBOR model dynamics: Approximations, calibration and diagnostics In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 3 |
| 2019 | Nonlinear valuation under credit, funding, and margins: Existence, uniqueness, invariance, and disentanglement In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 9 |
| 1998 | On some filtering problems arising in mathematical finance In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 11 |
| 2019 | Risk managing tail-risk seekers: VaR and expected shortfall vs S-shaped utility In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 10 |
| 2022 | Coherent risk measures alone are ineffective in constraining portfolio losses In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 0 |
| 2016 | Markov multi-variate survival indicators for default simulation as a new characterization of the Marshall–Olkin law In: Statistics & Probability Letters. [Full Text][Citation analysis] | article | 1 |
| 2000 | On SDEs with marginal laws evolving in finite-dimensional exponential families In: Statistics & Probability Letters. [Full Text][Citation analysis] | article | 0 |
| In: . [Full Text][Citation analysis] | article | 1 | |
| 2006 | Credit Derivatives Pricing with a Smile-Extended Jump Stochastic Intensity Model In: ICMA Centre Discussion Papers in Finance. [Full Text][Citation analysis] | paper | 3 |
| 2008 | An analytically tractable time-changed jump-diffusion default intensity model In: ICMA Centre Discussion Papers in Finance. [Full Text][Citation analysis] | paper | 0 |
| 2017 | Impact of Robotics, RPA and AI on the insurance industry: challenges and opportunities In: Journal of Financial Perspectives. [Citation analysis] | article | 3 |
| 2005 | Efficient pricing of default risk: Different approaches for a single goal In: Journal of Financial Transformation. [Citation analysis] | article | 0 |
| 2000 | Option pricing impact of alternative continuous-time dynamics for discretely-observed stock prices In: Finance and Stochastics. [Full Text][Citation analysis] | article | 1 |
| 2001 | A deterministic-shift extension of analytically-tractable and time-homogeneous short-rate models In: Finance and Stochastics. [Full Text][Citation analysis] | article | 28 |
| 2005 | Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model In: Finance and Stochastics. [Full Text][Citation analysis] | article | 43 |
| 2023 | Price Impact Without Averaging In: Applied Mathematical Finance. [Full Text][Citation analysis] | article | 0 |
| 2003 | Analytical pricing of the smile in a forward LIBOR market model In: Quantitative Finance. [Full Text][Citation analysis] | article | 8 |
| 2003 | Alternative asset-price dynamics and volatility smile In: Quantitative Finance. [Full Text][Citation analysis] | article | 10 |
| 2005 | On the distributional distance between the lognormal LIBOR and swap market models In: Quantitative Finance. [Full Text][Citation analysis] | article | 6 |
| 2009 | A dynamic programming approach for pricing CDS and CDS options In: Quantitative Finance. [Full Text][Citation analysis] | article | 1 |
| 2018 | The multivariate mixture dynamics: Consistent no-arbitrage single-asset and index volatility smiles In: IISE Transactions. [Full Text][Citation analysis] | article | 0 |
| 2021 | Optimal trading: The importance of being adaptive In: International Journal of Financial Engineering (IJFE). [Full Text][Citation analysis] | article | 0 |
| 2022 | On the design of sovereign bond-backed securities In: International Journal of Financial Engineering (IJFE). [Full Text][Citation analysis] | article | 1 |
| 2002 | LOGNORMAL-MIXTURE DYNAMICS AND CALIBRATION TO MARKET VOLATILITY SMILES In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 54 |
| 2006 | THE 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). [Full Text][Citation analysis] | article | 0 |
| 2007 | CLUSTER-BASED EXTENSION OF THE GENERALIZED POISSON LOSS DYNAMICS AND CONSISTENCY WITH SINGLE NAMES In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 4 |
| 2007 | CLUSTER-BASED EXTENSION OF THE GENERALIZED POISSON LOSS DYNAMICS AND CONSISTENCY WITH SINGLE NAMES.(2007) In: World Scientific Book Chapters. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | chapter | |
| 2009 | COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 37 |
| 2011 | ARBITRAGE-FREE VALUATION OF BILATERAL COUNTERPARTY RISK FOR INTEREST-RATE PRODUCTS: IMPACT OF VOLATILITIES AND CORRELATIONS In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 18 |
| 2012 | COUNTERPARTY RISK PRICING: IMPACT OF CLOSEOUT AND FIRST-TO-DEFAULT TIMES In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 3 |
| 2013 | PRICING COUNTERPARTY RISK INCLUDING COLLATERALIZATION, NETTING RULES, RE-HYPOTHECATION AND WRONG-WAY RISK In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 4 |
| 2015 | A NOTE ON THE SELF-FINANCING CONDITION FOR FUNDING, COLLATERAL AND DISCOUNTING In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 2 |
| 2015 | COCO BONDS PRICING WITH CREDIT AND EQUITY CALIBRATED FIRST-PASSAGE FIRM VALUE MODELS In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 8 |
| 2019 | MULTI-CURRENCY CREDIT DEFAULT SWAPS In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 1 |
| 2014 | Nonlinear 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). [Full Text][Citation analysis] | article | 36 |
| 2014 | Optimal trade execution under displaced diffusions dynamics across different risk criteria In: Journal of Financial Engineering (JFE). [Full Text][Citation analysis] | article | 4 |
| 2018 | Wrong-Way Risk Adjusted Exposure: Analytical Approximations for Options in Default Intensity Models In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 6 |
| 2018 | Consistent Iterated Simulation of Multivariate Defaults: Markov Indicators, Lack of Memory, Extreme-Value Copulas, and the Marshall–Olkin Distribution In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 1 |
| 2018 | Examples of Wrong-Way Risk in CVA Induced by Devaluations on Default In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
| 2018 | Static Versus Adapted Optimal Execution Strategies in Two Benchmark Trading Models In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 1 |
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