Damiano Brigo
Imperial College London
H-index: 43
Europe-United Kingdom
Top articles of Damiano Brigo
Mild to classical solutions for XVA equations under stochastic volatility
SIAM Journal on Financial Mathematics
2024/3/31
Damiano Brigo
H-Index: 24
Federico Graceffa
H-Index: 0
Optimal projection filters with information geometry
2024/1
John Armstrong
H-Index: 10
Damiano Brigo
H-Index: 24
Projections of SDEs onto submanifolds
Information Geometry
2024/1
John Armstrong
H-Index: 10
Damiano Brigo
H-Index: 24
Price Impact Without Averaging
Applied Mathematical Finance
2023/7/4
Damiano Brigo
H-Index: 24
Leandro Sánchez-Betancourt
H-Index: 2
The importance of dynamic risk constraints for limited liability operators
Annals of Operations Research
2023/4/4
John Armstrong
H-Index: 10
Damiano Brigo
H-Index: 24
Probability-free models in option pricing: statistically indistinguishable dynamics and historical vs implied volatility
2023
Damiano Brigo
H-Index: 24
Non‐geometric rough paths on manifolds
Journal of the London Mathematical Society
2022/9
Coherent risk measures alone are ineffective in constraining portfolio losses
Journal of Banking & Finance
2022/7/1
John Armstrong
H-Index: 10
Damiano Brigo
H-Index: 24
Optimal projection filters
arXiv preprint arXiv:2205.01594
2022/5/3
Damiano Brigo
H-Index: 24
On the design of sovereign bond-backed securities
International Journal of Financial Engineering
2022/3/23
Nonlinear valuation with XVAs: two converging approaches
Mathematics
2022/3/2
Damiano Brigo
H-Index: 24
Marco Francischello
H-Index: 5
Price impact on term structure
Quantitative Finance
2022/1/2
Optimal trading: The importance of being adaptive
International Journal of Financial Engineering
2021/12/3
Damiano Brigo
H-Index: 24
Eyal Neuman
H-Index: 7
Non-average price impact in order-driven markets
arXiv preprint arXiv:2110.00771
2021/10/2
Damiano Brigo
H-Index: 24
Option pricing models without probability: a rough paths approach
Mathematical Finance
2021/10
Interpretability in deep learning for finance: a case study for the Heston model
arXiv preprint arXiv:2104.09476
2021/4/19
Damiano Brigo
H-Index: 24
The multivariate mixture dynamics model: shifted dynamics and correlation skew
Annals of Operations Research
2021/4
Damiano Brigo
H-Index: 24
Mechanics of good trade execution in the framework of linear temporary market impact
Quantitative Finance
2021/1/2
Damiano Brigo
H-Index: 24
Forecasting recovery rates on non-performing loans with machine learning
International Journal of Forecasting
2021/1/1
Damiano Brigo
H-Index: 24
Frédéric Vrins
H-Index: 8
On the consistency of jump-diffusion dynamics for FX rates under inversion
International Journal of Financial Engineering
2020/12/10
Federico Graceffa
H-Index: 0
Damiano Brigo
H-Index: 24
