Damiano Brigo
Imperial College London
H-index: 43
Europe-United Kingdom
Top articles of Damiano Brigo
Title | Journal | Author(s) | Publication Date |
|---|---|---|---|
Projections of SDEs onto submanifolds | Information Geometry | John Armstrong Damiano Brigo Emilio Ferrucci | 2024/1 |
Mild to classical solutions for XVA equations under stochastic volatility | SIAM Journal on Financial Mathematics | Damiano Brigo Federico Graceffa Alexander Kalinin | 2024/3/31 |
Optimal projection filters with information geometry | John Armstrong Damiano Brigo Bernard Hanzon | 2024/1 | |
Price Impact Without Averaging | Applied Mathematical Finance | Claudio Bellani Damiano Brigo Mikko S Pakkanen Leandro Sánchez-Betancourt | 2023/7/4 |
The importance of dynamic risk constraints for limited liability operators | Annals of Operations Research | John Armstrong Damiano Brigo Alex SL Tse | 2023/4/4 |
Probability-free models in option pricing: statistically indistinguishable dynamics and historical vs implied volatility | Damiano Brigo | 2023 | |
Optimal projection filters | arXiv preprint arXiv:2205.01594 | Damiano Brigo | 2022/5/3 |
On the design of sovereign bond-backed securities | International Journal of Financial Engineering | Emilio Barucci Damiano Brigo Marco Francischello Daniele Marazzina | 2022/3/23 |
Nonlinear valuation with XVAs: two converging approaches | Mathematics | Damiano Brigo Cristin Buescu Marco Francischello Andrea Pallavicini Marek Rutkowski | 2022/3/2 |
Price impact on term structure | Quantitative Finance | Damiano Brigo Federico Graceffa Eyal Neuman | 2022/1/2 |
Non‐geometric rough paths on manifolds | Journal of the London Mathematical Society | John Armstrong Damiano Brigo Thomas Cass Emilio Rossi Ferrucci | 2022/9 |
Coherent risk measures alone are ineffective in constraining portfolio losses | Journal of Banking & Finance | John Armstrong Damiano Brigo | 2022/7/1 |
Forecasting recovery rates on non-performing loans with machine learning | International Journal of Forecasting | Anthony Bellotti Damiano Brigo Paolo Gambetti Frédéric Vrins | 2021/1/1 |
Non-average price impact in order-driven markets | arXiv preprint arXiv:2110.00771 | Claudio Bellani Damiano Brigo Mikko Pakkanen Leandro Sanchez-Betancourt | 2021/10/2 |
Option pricing models without probability: a rough paths approach | Mathematical Finance | John Armstrong Claudio Bellani Damiano Brigo Thomas Cass | 2021/10 |
Interpretability in deep learning for finance: a case study for the Heston model | arXiv preprint arXiv:2104.09476 | Damiano Brigo Xiaoshan Huang Andrea Pallavicini Haitz Saez de Ocariz Borde | 2021/4/19 |
The multivariate mixture dynamics model: shifted dynamics and correlation skew | Annals of Operations Research | Damiano Brigo Camilla Pisani Francesco Rapisarda | 2021/4 |
Mechanics of good trade execution in the framework of linear temporary market impact | Quantitative Finance | Claudio Bellani Damiano Brigo | 2021/1/2 |
Optimal trading: The importance of being adaptive | International Journal of Financial Engineering | Claudio Bellani Damiano Brigo Alex Done Eyal Neuman | 2021/12/3 |
On the consistency of jump-diffusion dynamics for FX rates under inversion | International Journal of Financial Engineering | Federico Graceffa Damiano Brigo Andrea Pallavicini | 2020/12/10 |
