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DAMIANO BRIGO
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Name
Affiliation
Papers
DAMIANO BRIGO
Product and Business Development Group, Banca IMI, SanPaolo IMI Group, Corso Matteotti 6, 20121 Milano, Italy (e-mail: {brigo,fmercurio}@bancaimi.it) IT
11
Collaborators
Citations
PageRank
10
17
8.42
Referers
Referees
References
40
29
19
Publications (11 rows)
Collaborators (10 rows)
Referers (40 rows)
Referees (29 rows)
Title
Citations
PageRank
Year
Nonlinear valuation under credit, funding, and margins: Existence, uniqueness, invariance, and disentanglement.
0
0.34
2019
Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures.
1
0.38
2018
Funding, repo and credit inclusive valuation as modified option pricing.
0
0.34
2017
Ito Stochastic Differential Equations As 2-Jets
0
0.34
2017
Nonlinear filtering via stochastic PDE projection on mixture manifolds in \(L^2\) direct metric
0
0.34
2016
Stochastic Pde Projection On Manifolds: Assumed-Density And Galerkin Filters
0
0.34
2015
Stochastic Filtering by Projection: The Example of the Quadratic Sensor.
1
0.63
2013
The LIBOR model dynamics: Approximations, calibration and diagnostics
1
0.38
2005
Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model
9
3.05
2005
A deterministic–shift extension of analytically–tractable and time–homogeneous short–rate models
4
1.95
2001
Option pricing impact of alternative continuous-time dynamics for discretely-observed stock prices
1
0.35
2000
1