Damiano Brigo

Finance · 2001–2014

A researcher in the Science corpus: 14 papers; trusts 42 researchers and is trusted by 30 researchers here, as inferred from the citation graph.

Subfields

• Finance — 66 citations into it; #1,162 of 10,518 by trust here, #1,777 by citations
• Economics and Econometrics — 29 citations into it; #3,628 of 23,481 by trust here, #7,096 by citations
• Management Science and Operations Research — 9 citations into it

Whom Damiano Brigo trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Tomasz R. Bielecki
2. Marek Rutkowski
3. St'ephane Cr'epey
4. Naoufel El-Bachir
5. Fabio Mercurio
6. Marek Musiela
7. Mark Broadie
8. Filip Lindskog
9. Agostino Capponi
10. Andrea Pallavicini

Who trusts Damiano Brigo overall

1. St'ephane Cr'epey
2. Agostino Capponi
3. Andrea Pallavicini
4. Daniel Sevcovic
5. Carol Alexander
6. Tomasz R. Bielecki
7. David Hobson *
8. Lingfei Li
9. Nicolai Meinshausen
10. Fabio Mercurio

Papers from Damiano Brigo's perspective

Ordered by how strongly the researchers Damiano Brigo trusts endorse each paper. Same corpus, a different order for every researcher.

1. On Default Correlation: A Copula Function Approach
2. The Pricing of Options and Corporate Liabilities
3. Counterparty Risk for Credit Default Swaps: Impact of Spread Volatility and Default Correlation
4. On Models of Default Risk
5. Martingale Methods in Financial Modelling
6. ARBITRAGE-FREE VALUATION OF BILATERAL COUNTERPARTY RISK FOR INTEREST-RATE PRODUCTS: IMPACT OF VOLATILITIES AND CORRELATIONS
7. Credit Default Swap Valuation with Counterparty Risk
8. ARBITRAGE‐FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS
9. Interest Rates and The Credit Crunch: New Formulas and Market Models
10. A multi-quality model of interest rates

Their papers

• Interest Rate Models (2001) — 1,258 citations
• ARBITRAGE‐FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS (2014) — 141 citations
• Approximated moment-matching dynamics for basket-options pricing (2004) — 70 citations
• Displaced and Mixture Diffusions for Analytically-Tractable Smile Models (2002) — 68 citations
• Lognormal-mixture dynamics and calibration to market volatility smiles (2002) — 155 citations
• Parameterizing correlations: a geometric interpretation (2007) — 106 citations
• Counterparty Risk and Funding: A Tale of Two Puzzles (2014) — 82 citations
• Counterparty Credit Risk, Collateral and Funding: With Pricing Cases For All Asset Classes (2013) — 207 citations
• ARBITRAGE-FREE VALUATION OF BILATERAL COUNTERPARTY RISK FOR INTEREST-RATE PRODUCTS: IMPACT OF VOLATILITIES AND CORRELATIONS (2011) — 57 citations
• Credit Models and the Crisis: A Journey into CDOs, Copulas, Correlations and Dynamic Models (2010) — 79 citations
• Counterparty Risk for Credit Default Swaps: Impact of Spread Volatility and Default Correlation (2009) — 185 citations
• Bilateral Counterparty Risk Valuation with Stochastic Dynamical Models and Application to Credit Default Swaps (2008) — 117 citations
• AN EXACT FORMULA FOR DEFAULT SWAPTIONS’ PRICING IN THE SSRJD STOCHASTIC INTENSITY MODEL (2008) — 73 citations
• Calibration of CDO Tranches with the Dynamical Generalized-Poisson Loss Model (2007) — 120 citations