Damiano Brigo

Damiano Brigo

Imperial College London - London / United Kingdom
Natural Sciences / Mathematical Sciences
AD Scientific Index ID: 1132531
person_outline Damiano Brigo's MOST POPULAR ARTICLES
1-) Interest rate models: theory and practiceD Brigo, F MercurioSpringer, 200135892001
2-) Counterparty credit risk, collateral and funding: with pricing cases for all asset classesD Brigo, M Morini, A PallaviciniJohn Wiley & Sons, 20133202013
3-) Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity modelD Brigo, A AlfonsiFinance and stochastics 9 (1), 29-42, 20052302005
4-) Counterparty risk for credit default swaps: Impact of spread volatility and default correlationD Brigo, K ChourdakisInternational Journal of Theoretical and Applied Finance 12 (07), 1007-1026, 20092352009
5-) Lognormal-mixture dynamics and calibration to market volatility smilesD Brigo, F MercurioInternational Journal of Theoretical and Applied Finance 5 (04), 427-446, 20022132002