Damiano Brigo : Citation Profile


Are you Damiano Brigo?

8

H index

7

i10 index

280

Citations

RESEARCH PRODUCTION:

30

Articles

53

Papers

EDITOR:

2

Series edited

RESEARCH ACTIVITY:

   21 years (1998 - 2019). See details.
   Cites by year: 13
   Journals where Damiano Brigo has often published
   Relations with other researchers
   Recent citing documents: 50.    Total self citations: 44 (13.58 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pbr17
   Updated: 2019-11-16    RAS profile: 2019-02-06    
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Relations with other researchers


Works with:

Pallavicini, Andrea (13)

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 (7)

Pallavicini, Andrea (5)

Ballotta, Laura (4)

Blake, David (4)

Platen, Eckhard (3)

Alexander, Carol (3)

DA FONSECA, José (2)

Douady, Raphael (2)

Biffis, Enrico (2)

Gründl, Helmut (2)

vanini, paolo (2)

Cites to:

Pallavicini, Andrea (56)

Duffie, Darrell (13)

merton, robert (8)

HUANG, MING (7)

Pedersen, Lasse (6)

Scholes, Myron (6)

Brunnermeier, Markus (5)

Clarida, Richard (5)

Gertler, Mark (5)

Woodford, Michael (5)

Henrard, Marc (5)

Main data


Where Damiano Brigo has published?


Journals with more than one article published# docs
International Journal of Theoretical and Applied Finance (IJTAF)10
Quantitative Finance5
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.org48
ICMA Centre Discussion Papers in Finance / Henley Business School, Reading University2

Recent works citing Damiano Brigo (2019 and 2018)


YearTitle of citing document
2019A CDS Option Miscellany. (2017). Martin, Richard J. In: Papers. RePEc:arx:papers:1201.0111.

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2017Black-Scholes in a CEV random environment. (2017). Jacquier, Antoine ; Roome, Patrick. In: Papers. RePEc:arx:papers:1503.08082.

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2017Central Clearing Valuation Adjustment. (2017). St'ephane Cr'epey, ; Yannick, Armenti . In: Papers. RePEc:arx:papers:1506.08595.

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2019Linear Credit Risk Models. (2018). Ackerer, Damien ; Filipovi, Damir. In: Papers. RePEc:arx:papers:1605.07419.

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2018Arbitrage-Free Pricing Of Derivatives In Nonlinear Market Models. (2018). Bielecki, Tomasz R ; Cialenco, Igor ; Rutkowski, Marek. In: Papers. RePEc:arx:papers:1701.08399.

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2017Robust and Consistent Estimation of Generators in Credit Risk. (2017). Reis, Goncalo Dos ; Smith, Greig. In: Papers. RePEc:arx:papers:1702.08867.

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

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2017Influence of jump-at-default in IR and FX on Quanto CDS prices. (2017). Itkin, Andrey ; Veygman, A ; Shcherbakov, V. In: Papers. RePEc:arx:papers:1711.07133.

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2018Adapting the CVA model to Lelands framework. (2018). Mogni, A P ; Amster, P. In: Papers. RePEc:arx:papers:1802.04837.

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2018On The Calibration of Short-Term Interest Rates Through a CIR Model. (2018). Bufalo, Michele ; Mininni, Rosa Maria ; Orlando, Giuseppe. In: Papers. RePEc:arx:papers:1806.03683.

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2018Credit Value Adjustment for Counterparties with Illiquid CDS. (2018). Leniec, Marta ; Hammarlid, Ola. In: Papers. RePEc:arx:papers:1806.07667.

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

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2019Term structure modeling for multiple curves with stochastic discontinuities. (2019). Schmidt, Thorsten ; Gumbel, Sandrine ; Grbac, Zorana ; Fontana, Claudio. In: Papers. RePEc:arx:papers:1810.09882.

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2018Arbitrage Opportunities in CDS Term Structure: Theory and Implications for OTC Derivatives. (2018). Luo, Zhongmin ; Brummelhuis, Raymond. In: Papers. RePEc:arx:papers:1811.08038.

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2019Optimal execution with dynamic risk adjustment. (2019). Wang, Tai-Ho ; di Giacinto, Marina ; Cheng, Xue. In: Papers. RePEc:arx:papers:1901.00617.

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2019Probability-free models in option pricing: statistically indistinguishable dynamics and historical vs implied volatility. (2019). Brigo, Damiano. In: Papers. RePEc:arx:papers:1904.01889.

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2019An arbitrage-free conic martingale model with application to credit risk. (2019). Fr'ed'eric Vrins, ; Mbaye, Cheikh. In: Papers. RePEc:arx:papers:1909.02474.

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2019Mechanics of good trade execution in the framework of linear temporary market impact. (2019). Brigo, Damiano ; Bellani, Claudio. In: Papers. RePEc:arx:papers:1909.10464.

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2019Affine multiple yield curve models. (2019). Gnoatto, Alessandro ; Fontana, Claudio ; Cuchiero, Christa. In: Mathematical Finance. RePEc:bla:mathfi:v:29:y:2019:i:2:p:568-611.

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2017PDE models and numerical methods for total value adjustment in European and American options with counterparty risk. (2017). Arregui, Iigo ; Vazquez, Carlos ; Salvador, Beatriz . In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:308:y:2017:i:c:p:31-53.

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2018Evaluation of counterparty risk for derivatives with early-exercise features. (2018). BRETON, Michel E ; Marzouk, Oussama. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:88:y:2018:i:c:p:1-20.

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2019CVA for Cliquet options under Heston model. (2019). Zhang, Yuanqing ; Wang, Min ; Feng, Yaqin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:48:y:2019:i:c:p:272-282.

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2017Implications of implicit credit spread volatilities on interest rate modelling. (2017). Fanelli, Viviana . In: European Journal of Operational Research. RePEc:eee:ejores:v:263:y:2017:i:2:p:707-718.

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2019Integrated structural approach to Credit Value Adjustment. (2019). Ballotta, Laura ; Marazzina, Daniele ; Fusai, Gianluca. In: European Journal of Operational Research. RePEc:eee:ejores:v:272:y:2019:i:3:p:1143-1157.

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2018Stressed to the core: Counterparty concentrations and systemic losses in CDS markets. (2018). Cetina, Jill ; Rajan, Sriram ; Paddrik, Mark. In: Journal of Financial Stability. RePEc:eee:finsta:v:35:y:2018:i:c:p:38-52.

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2018How does risk flow in the credit default swap market?. (2018). Derrico, Marco ; Scheicher, Martin ; Peltonen, Tuomas ; Battiston, Stefano. In: Journal of Financial Stability. RePEc:eee:finsta:v:35:y:2018:i:c:p:53-74.

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2018Stochastic distortion and its transformed copula. (2018). Lin, Feng ; Yang, Jingping ; Xie, Jiehua ; Peng, Liang. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:79:y:2018:i:c:p:148-166.

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2018Smiling twice: The Heston++ model. (2018). Pacati, Claudio ; Reno, Roberto ; Pompa, Gabriele . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:96:y:2018:i:c:p:185-206.

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2018Supersymmetric quantum mechanics method for the Fokker–Planck equation with applications to protein folding dynamics. (2018). Polotto, Franciele ; de Oliveira, Ronaldo Junio ; Chahine, Jorge ; Filho, Elso Drigo . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:493:y:2018:i:c:p:286-300.

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2018An accurate European option pricing model under Fractional Stable Process based on Feynman Path Integral. (2018). Ma, Chao ; Hou, Tiancheng ; Yao, Haixiang. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:494:y:2018:i:c:p:87-117.

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2019Pricing contingent convertible bonds: An analytical approach based on two-dimensional stochastic processes. (2019). Na, Young Hoon ; Jang, Hyun Jin ; Ho, Geon . In: Statistics & Probability Letters. RePEc:eee:stapro:v:148:y:2019:i:c:p:43-53.

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2019Contingent Convertible Debt: The Impact on Equity Holders. (2019). Pourkalbassi, Farhad ; Gauthier, Genevieve ; Boursicot, Delphine. In: Risks. RePEc:gam:jrisks:v:7:y:2019:i:2:p:47-:d:227019.

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2019Credit Valuation Adjustment Compression by Genetic Optimization. (2019). Crepey, Stephane ; Chataigner, Marc. In: Risks. RePEc:gam:jrisks:v:7:y:2019:i:4:p:100-:d:272095.

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2017Central Clearing Valuation Adjustment. (2017). Crepey, Stephane ; Yannick, Armenti . In: Working Papers. RePEc:hal:wpaper:hal-01169169.

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2018Nonlinear Monte Carlo schemes for counterparty risk on credit derivatives. (2018). Nguyen, Tuyet ; Crepey, Stephane. In: Working Papers. RePEc:hal:wpaper:hal-01764400.

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2018The Implied Bail-in Probability in the Contingent Convertible Securities Market. (2018). Yamada, Tetsuya ; Kazato, Masayuki. In: IMES Discussion Paper Series. RePEc:ime:imedps:18-e-03.

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2019Wrong-way Risk in Credit Valuation Adjustment of Credit Default Swap with Copulas. (2019). Yoshiba, Toshinao ; Sueshige, Takumi ; Adachi, Tetsuya . In: IMES Discussion Paper Series. RePEc:ime:imedps:19-e-01.

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2018Pricing Credit Default Swaps Under Multifactor Reduced-Form Models: A Differential Quadrature Approach. (2018). Andreoli, Alessandro ; Pacelli, Graziella ; Ballestra, Luca Vincenzo. In: Computational Economics. RePEc:kap:compec:v:51:y:2018:i:3:d:10.1007_s10614-016-9608-x.

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2017Bail-in and asset encumbrance - Implications for banks’ asset liability management. (2017). Erhardt, Joachim ; Posch, Peter N ; Lubbers, Johannes . In: Journal of Banking Regulation. RePEc:pal:jbkreg:v:18:y:2017:i:2:d:10.1057_jbr.2016.4.

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2018A Second Look at Post Crisis Pricing of Derivatives - Part I: A Note on Money Accounts and Collateral. (2018). Tumasyan, Hovik. In: MPRA Paper. RePEc:pra:mprapa:90806.

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2019The impact of central clearing on the market for single-name credit default swaps. (2019). Dionne, Georges ; Breton, Michele ; Ben-Abdallah, Ramzi ; Akari, Mohamed-Ali. In: Working Papers. RePEc:ris:crcrmw:2018_001.

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2018An enlargement of filtration formula with applications to multiple non-ordered default times. (2018). Jeanblanc, Monique ; Song, Shiqi ; Li, Libo. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:1:d:10.1007_s00780-017-0349-z.

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2018Accounting Noise and the Pricing of Cocos. (2018). van Wijnbergen, Sweder ; Spreij, Peter ; Derksen, Mike. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20180037.

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2019Pricing of counterparty risk and funding with CSA discounting, portfolio effects and initial margin. (2019). Oliva, Immacolata ; Gnoatto, Alessandro ; Biagini, Francesca. In: Working Papers. RePEc:ver:wpaper:04/2019.

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2017DERIVATIVE PRICING WITH COLLATERALIZATION AND FX MARKET DISLOCATIONS. (2017). Moreni, Nicola ; Pallavicini, Andrea. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:06:n:s0219024917500406.

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2017RISE AND FALL OF SYNTHETIC CDO MARKET: LESSONS LEARNED. (2017). Jabecki, Juliusz . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:08:n:s0219024917500522.

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2018EFFICIENT LONG-DATED SWAPTION VOLATILITY APPROXIMATION IN THE FORWARD-LIBOR MODEL. (2018). van Appel, Jacques ; McWalter, Thomas A. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:21:y:2018:i:04:n:s0219024918500206.

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2018XVA PRINCIPLES, NESTED MONTE CARLO STRATEGIES, AND GPU OPTIMIZATIONS. (2018). Abbas-Turki, Lokman A ; Diallo, Babacar ; Crepey, Stephane. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:21:y:2018:i:06:n:s0219024918500309.

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Damiano Brigo is editor of


Journal
Journal of Financial Perspectives
Journal of Financial Transformation

Works by Damiano Brigo:


YearTitleTypeCited
2009Bilateral counterparty risk valuation with stochastic dynamical models and application to Credit Default Swaps In: Papers.
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paper12
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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paper0
2008The general mixture-diffusion SDE and its relationship with an uncertain-volatility option model with volatility-asset decorrelation In: Papers.
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paper4
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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paper2
2008Constant Maturity Credit Default Swap Pricing with Market Models In: Papers.
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paper0
2008Default correlation, cluster dynamics and single names: The GPCL dynamical loss model In: Papers.
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paper3
2008An exact formula for default swaptions pricing in the SSRJD stochastic intensity model In: Papers.
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paper4
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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paper2
2009Counterparty risk valuation for Energy-Commodities swaps: Impact of volatilities and correlation In: Papers.
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paper0
2010Bilateral counterparty risk valuation for interest-rate products: impact of volatilities and correlations In: Papers.
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paper7
2009Credit Default Swap Calibration and Equity Swap Valuation under Counterparty Risk with a Tractable Structural Model In: Papers.
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paper1
2009Credit Default Swap Calibration and Counterparty Risk Valuation with a Scenario based First Passage Model In: Papers.
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paper2
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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paper1
2011Funding Valuation Adjustment: a consistent framework including CVA, DVA, collateral,netting rules and re-hypothecation In: Papers.
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paper23
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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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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2019Option pricing models without probability In: Papers.
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2019Static vs Adaptive Strategies for Optimal Execution with Signals 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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2016SDEs with Uniform Distributions : Peacocks, Conic Martingales and Mean Reverting Uniform Diffusions In: CORE Discussion Papers.
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2018Disentangling wrong-way risk: Pricing credit valuation adjustment via change of measures In: CORE Discussion Papers RP.
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2018Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures.(2018) In: European Journal of Operational Research.
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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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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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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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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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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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