Damiano Brigo : Citation Profile


Are you Damiano Brigo?

12

H index

15

i10 index

617

Citations

RESEARCH PRODUCTION:

47

Articles

68

Papers

6

Chapters

EDITOR:

2

Series edited

RESEARCH ACTIVITY:

   25 years (1998 - 2023). See details.
   Cites by year: 24
   Journals where Damiano Brigo has often published
   Relations with other researchers
   Recent citing documents: 34.    Total self citations: 67 (9.8 %)

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   Permalink: http://citec.repec.org/pbr17
   Updated: 2024-04-18    RAS profile: 2024-04-06    
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Relations with other researchers


Works with:

Vrins, Frédéric (6)

Pallavicini, Andrea (4)

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 (38)

Grzelak, Lech (14)

Oosterlee, Cornelis (14)

Vrins, Frédéric (13)

Ramponi, Alessandro (12)

Alexander, Carol (9)

Wang, Xingchun (8)

Kimura, Herbert (8)

Albanese, Claudio (8)

Arismendi Zambrano, Juan (8)

Platen, Eckhard (6)

Cites to:

Pallavicini, Andrea (90)

Duffie, Darrell (14)

merton, robert (11)

Acerbi, Carlo (10)

Pedersen, Lasse (9)

Scholes, Myron (9)

Brunnermeier, Markus (8)

HUANG, MING (7)

Albanese, Claudio (7)

Jamshidian, Farshid (7)

Kreps, David (7)

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 Finance7
Journal of Risk Management in Financial Institutions4
European Journal of Operational Research3
Finance and Stochastics3
Journal of Financial Engineering (JFE)2
Mathematical Finance2
International Journal of Financial Engineering (IJFE)2
Statistics & Probability Letters2
Journal of Banking & Finance2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org57
ICMA Centre Discussion Papers in Finance / Henley Business School, University of Reading3
LIDAM Reprints LFIN / Universit catholique de Louvain, Louvain Finance (LFIN)3

Recent works citing Damiano Brigo (2024 and 2023)


YearTitle of citing document
2024Sensitivity to large losses and $\rho$-arbitrage for convex risk measures. (2022). Herdegen, Martin ; Khan, Nazem. In: Papers. RePEc:arx:papers:2202.07610.

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2023Caplet pricing in affine models for risk-free rates. (2022). Fontana, Claudio. In: Papers. RePEc:arx:papers:2202.09116.

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2023No-Arbitrage Pricing, Dynamics and Forward Prices of Collateralized Derivatives. (2022). Calvelli, Alessio. In: Papers. RePEc:arx:papers:2208.08746.

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2023Efficient 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.

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2023Pricing Transition Risk with a Jump-Diffusion Credit Risk Model: Evidences from the CDS market. (2023). Smaniotto, Elia ; Radi, Davide ; Livieri, Giulia. In: Papers. RePEc:arx:papers:2303.12483.

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2023Optimal Asset Allocation in a High Inflation Regime: a Leverage-feasible Neural Network Approach. (2023). Forsyth, Peter A ; Li, Yuying ; Ni, Chendi. In: Papers. RePEc:arx:papers:2304.05297.

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2023Credit Valuation Adjustment in Financial Networks. (2023). Zlati, Vinko ; Battiston, Stefano ; Barjavsi, Irena. In: Papers. RePEc:arx:papers:2305.16434.

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2023Optimal Management of DC Pension Plan with Inflation Risk and Tail VaR Constraint. (2023). Yang, Dongfang ; Xu, Zuo Quan ; Mi, Hui. In: Papers. RePEc:arx:papers:2309.01936.

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2023Default Process Modeling and Credit Valuation Adjustment. (2023). Xiao, David. In: Papers. RePEc:arx:papers:2309.03311.

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2024Gamma Hedging and Rough Paths. (2023). Ionescu, Andrei ; Armstrong, John. In: Papers. RePEc:arx:papers:2309.05054.

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2023Applying Deep Learning to Calibrate Stochastic Volatility Models. (2023). Bilokon, Paul ; Sridi, Abir. In: Papers. RePEc:arx:papers:2309.07843.

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2023.

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2023CVA in fractional and rough volatility models. (2023). Scarlatti, Sergio ; Ramponi, Alessandro ; Antonelli, Fabio ; Alos, Elisa. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:442:y:2023:i:c:s0096300322007834.

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2023On the feasibility of a debt redemption fund. (2023). Marazzina, Daniele ; Brachetta, Matteo ; Barucci, Emilio. In: Economic Modelling. RePEc:eee:ecmode:v:119:y:2023:i:c:s0264999322003789.

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2023The profitability of online loans: A competing risks analysis on default and prepayment. (2023). Yao, Xiao ; Bellotti, Anthony ; Li, Aimin. In: European Journal of Operational Research. RePEc:eee:ejores:v:306:y:2023:i:2:p:968-985.

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2023Randomization and the valuation of guaranteed minimum death benefits. (2023). Hieber, Peter ; Deelstra, Griselda. In: European Journal of Operational Research. RePEc:eee:ejores:v:309:y:2023:i:3:p:1218-1236.

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2023Internal or external control? How to respond to credit risk contagion in complex enterprises network. (2023). Feng, Hairong ; Chao, Xiangrui ; Qian, Qian. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001205.

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2023Traders’ heterogeneous beliefs about stock volatility and the implied volatility skew in financial options markets. (2023). Vagnani, Gianluca ; Marchetti, Fabio Massimo ; Nappo, Giovanna. In: Finance Research Letters. RePEc:eee:finlet:v:53:y:2023:i:c:s1544612323000387.

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2023XVA in a multi-currency setting with stochastic foreign exchange rates. (2023). Vazquez, Carlos ; Simonella, Roberta. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:207:y:2023:i:c:p:59-79.

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2023Predicting loss given default of unsecured consumer loans with time-varying survival scores. (2023). Bellotti, Anthony ; Li, Zhiyong. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:78:y:2023:i:c:s0927538x2300015x.

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2023The effect of the disposal of non-performing loans on interbank liquidity risk in China: A cash flow network-based analysis. (2023). Shouyang, Wang ; Yahan, Wang ; Fangcheng, Tang ; Kun, Guo ; Jiajia, Liu. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:89:y:2023:i:c:p:105-119.

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2023Forecasting for regulatory credit loss derived from the COVID-19 pandemic: A machine learning approach. (2023). Fernandez-Aguado, Pilar Gomez ; Urea, Antonio Partal ; Gonzalez, Marta Ramos. In: Research in International Business and Finance. RePEc:eee:riibaf:v:64:y:2023:i:c:s0275531923000338.

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2023On the Stochastic Volatility in the Generalized Black-Scholes-Merton Model. (2023). Ivanov, Roman V. In: Risks. RePEc:gam:jrisks:v:11:y:2023:i:6:p:111-:d:1167116.

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2023The Adoption of Robotic Process Automation Considering Financial Aspects in Beef Supply Chains: An Approach towards Sustainability. (2023). Sarwar, Dilshad ; Hosseinian-Far, Amin ; Khandan, Rasoul. In: Sustainability. RePEc:gam:jsusta:v:15:y:2023:i:9:p:7236-:d:1133669.

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2023Default Forecasting and Credit Valuation Adjustment. (2023). Lee, David. In: MPRA Paper. RePEc:pra:mprapa:118578.

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2023Extending the Merton model with applications to credit value adjustment. (2023). Sensoy, Ahmet ; Fabozzi, Frank J ; Hekimoglu, Alper A ; Akyildirim, Erdinc. In: Annals of Operations Research. RePEc:spr:annopr:v:326:y:2023:i:1:d:10.1007_s10479-023-05289-3.

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2023Rogue traders. (2023). Mayerhofer, Eberhard ; Guasoni, Paolo ; Dong, Huayuan. In: Finance and Stochastics. RePEc:spr:finsto:v:27:y:2023:i:3:d:10.1007_s00780-023-00507-z.

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2023.

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2023.

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2023Heterogeneities among credit risk parameter distributions: the modality defines the best estimation method. (2023). Zollner, Marvin ; Gurtler, Marc. In: OR Spectrum: Quantitative Approaches in Management. RePEc:spr:orspec:v:45:y:2023:i:1:d:10.1007_s00291-022-00689-6.

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2023.

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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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paper12
2020Forecasting recovery rates on non-performing loans with machine learning.(2020) In: LIDAM Reprints LFIN.
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This paper has nother version. Agregated cites: 12
paper
2021Forecasting recovery rates on non-performing loans with machine learning.(2021) In: International Journal of Forecasting.
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This paper has nother version. Agregated cites: 12
article
2018Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures In: LIDAM Reprints LFIN.
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paper19
2018Disentangling 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: 19
paper
2018Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures.(2018) In: European Journal of Operational Research.
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This paper has nother version. Agregated cites: 19
article
2019SDES with uniform distributions: Peacocks, conic martingales and mean reverting uniform diffusions In: LIDAM Reprints LFIN.
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paper0
2016SDEs with Uniform Distributions : Peacocks, Conic Martingales and Mean Reverting Uniform Diffusions.(2016) In: LIDAM Discussion Papers CORE.
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This paper has nother version. Agregated cites: 0
paper
2019SDEs with uniform distributions: Peacocks, conic martingales and mean reverting uniform diffusions.(2019) In: LIDAM Reprints CORE.
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paper
2020SDEs with uniform distributions: Peacocks, conic martingales and mean reverting uniform diffusions.(2020) In: Stochastic Processes and their Applications.
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article
2009Bilateral counterparty risk valuation with stochastic dynamical models and application to Credit Default Swaps In: Papers.
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paper18
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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paper5
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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paper
2008A Stochastic Processes Toolkit for Risk Management In: Papers.
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paper3
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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paper2
2009Credit Default Swap Calibration and Counterparty Risk Valuation with a Scenario based First Passage Model In: Papers.
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paper4
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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paper4
2010Credit Default Swaps Liquidity modeling: A survey In: Papers.
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paper4
2010Liquidity-adjusted Market Risk Measures with Stochastic Holding Period In: Papers.
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paper0
2010Dangers of Bilateral Counterparty Risk: the fundamental impact of closeout conventions In: Papers.
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paper8
2011Collateral Margining in Arbitrage-Free Counterparty Valuation Adjustment including Re-Hypotecation and Netting In: Papers.
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paper30
2011Impact of the first to default time on Bilateral CVA In: Papers.
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paper4
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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paper2
2011Funding Valuation Adjustment: a consistent framework including CVA, DVA, collateral,netting rules and re-hypothecation In: Papers.
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paper33
2012Restructuring Counterparty Credit Risk In: Papers.
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paper7
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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paper
2012Consistent single- and multi-step sampling of multivariate arrival times: A characterization of self-chaining copulas In: Papers.
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paper1
2012Illustrating a problem in the self-financing condition in two 2010-2011 papers on funding, collateral and discounting In: Papers.
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paper2
2012Funding, Collateral and Hedging: uncovering the mechanics and the subtleties of funding valuation adjustments In: Papers.
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paper37
2013CoCo Bonds Valuation with Equity- and Credit-Calibrated First Passage Structural Models In: Papers.
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paper7
2014The arbitrage-free Multivariate Mixture Dynamics Model: Consistent single-assets and index volatility smiles In: Papers.
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paper0
2013Interest-Rate Modelling in Collateralized Markets: Multiple curves, credit-liquidity effects, CCPs In: Papers.
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paper10
2014Optimal execution comparison across risks and dynamics, with solutions for displaced diffusions In: Papers.
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paper1
2014Consistent iterated simulation of multi-variate default times: a Markovian indicators characterization In: Papers.
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paper2
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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paper1
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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paper3
2014Inflation securities valuation with macroeconomic-based no-arbitrage dynamics In: Papers.
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paper0
2014Nonlinear Valuation under Collateral, Credit Risk and Funding Costs: A Numerical Case Study Extending Black-Scholes In: Papers.
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paper3
2014An initial approach to Risk Management of Funding Costs In: Papers.
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paper0
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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paper5
2015Impact of Multiple Curve Dynamics in Credit Valuation Adjustments under Collateralization In: Papers.
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paper1
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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paper3
2017Funding, repo and credit inclusive valuation as modified option pricing In: Papers.
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paper7
2016Static vs adapted optimal execution strategies in two benchmark trading models In: Papers.
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paper0
2016Disentangling wrong-way risk: pricing CVA via change of measures and drift adjustment In: Papers.
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paper9
2017An indifference approach to the cost of capital constraints: KVA and beyond In: Papers.
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paper0
2018Optimizing S-shaped utility and implications for risk management In: Papers.
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paper0
2018Risk-neutral valuation under differential funding costs, defaults and collateralization In: Papers.
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paper8
2020Option pricing models without probability: a rough paths approach In: Papers.
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paper0
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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paper2
2021Probability-free models in option pricing: statistically indistinguishable dynamics and historical vs implied volatility In: Papers.
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paper0
2019On the consistency of jump-diffusion dynamics for FX rates under inversion In: Papers.
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paper0
2020Mechanics of good trade execution in the framework of linear temporary market impact In: Papers.
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paper0
2020The importance of dynamic risk constraints for limited liability operators In: Papers.
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2021Price 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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2022Non-average price impact in order-driven markets In: Papers.
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2021Mild to classical solutions for XVA equations under stochastic volatility 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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article51
2021Option pricing models without probability: a rough paths approach 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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article3
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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article11
2019Risk managing tail-risk seekers: VaR and expected shortfall vs S-shaped utility In: Journal of Banking & Finance.
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article5
2022Coherent risk measures alone are ineffective in constraining portfolio losses In: Journal of Banking & Finance.
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article0
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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article1
2005Efficient pricing of default risk: Different approaches for a single goal In: Journal of Financial Transformation.
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article0
2021The multivariate mixture dynamics model: shifted dynamics and correlation skew In: Annals of Operations Research.
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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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article1
2001A deterministic-shift extension of analytically-tractable and time-homogeneous short-rate models In: Finance and Stochastics.
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article28
2005Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model In: Finance and Stochastics.
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article26
2023Price Impact Without Averaging In: Applied Mathematical Finance.
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article0
2018Impact of multiple curve dynamics in credit valuation adjustments under collateralization In: Quantitative Finance.
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article0
2021Mechanics of good trade execution in the framework of linear temporary market impact In: Quantitative Finance.
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article0
2022Price impact on term structure In: Quantitative Finance.
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article1
2003Analytical pricing of the smile in a forward LIBOR market model In: Quantitative Finance.
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article8
2003Alternative asset-price dynamics and volatility smile In: Quantitative Finance.
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article9
2005On the distributional distance between the lognormal LIBOR and swap market models In: Quantitative Finance.
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article6
2009A dynamic programming approach for pricing CDS and CDS options In: Quantitative Finance.
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article1
2018The multivariate mixture dynamics: Consistent no-arbitrage single-asset and index volatility smiles In: IISE Transactions.
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2020On the consistency of jump-diffusion dynamics for FX rates under inversion In: International Journal of Financial Engineering (IJFE).
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article2
2022On the design of sovereign bond-backed securities In: International Journal of Financial Engineering (IJFE).
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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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article50
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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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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article35
2014Optimal trade execution under displaced diffusions dynamics across different risk criteria In: Journal of Financial Engineering (JFE).
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article4
2023Probability-Free Models in Option Pricing: Statistically Indistinguishable Dynamics and Historical vs Implied Volatility In: World Scientific Book Chapters.
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2007CLUSTER-BASED EXTENSION OF THE GENERALIZED POISSON LOSS DYNAMICS AND CONSISTENCY WITH SINGLE NAMES In: World Scientific Book Chapters.
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chapter4
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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chapter1
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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