Concepedia
Statistics
Publications
94
Citations
3.6K
H-Index
33
Active since
1995
Affiliations
Imperial College London(Current)
Intesa Sanpaolo (Italy)
King's College London
Ospedale San Paolo
Bank of Italy
Damiano Brigo is an author at Imperial College London specializing in financial economics, finance, and business.
Publications per year
1995–2020
Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model
Damiano Brigo, Aurélien Alfonsi · Finance and Stochastics · 2004 · 165 citations
Business, Finance, Financial Management +14
ARBITRAGE‐FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS
Damiano Brigo, Agostino Capponi, Andrea Pallavicini · Mathematical Finance · 2012 · 163 citations
Business, Finance, Asset Pricing +10
COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION
Damiano Brigo, Kyriakos Chourdakis · International Journal of Theoretical and Applied Finance · 2009 · 153 citations
Business, Economics, Finance +17
LOGNORMAL-MIXTURE DYNAMICS AND CALIBRATION TO MARKET VOLATILITY SMILES
Damiano Brigo, Fabio Mercurio · International Journal of Theoretical and Applied Finance · 2002 · 137 citations
Calibration of CDO Tranches with the Dynamical Generalized-Poisson Loss Model
Damiano Brigo, Andrea Pallavicini, Roberto Torresetti · SSRN Electronic Journal · 2007 · 111 citations · Full text
Business, Economics, Risk Management +15
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