Imperial College London

ProfessorDamianoBrigo

Faculty of Natural SciencesDepartment of Mathematics

Chair in Mathematical Finance
 
 
 
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Contact

 

damiano.brigo

 
 
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Location

 

805Weeks BuildingSouth Kensington Campus

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Summary

 

Publications

Publication Type
Year
to

139 results found

Brigo D, Liinev J, 2005, On the distributional distance between the lognormal LIBOR and swap market models, QUANTITATIVE FINANCE, Vol: 5, Pages: 433-442, ISSN: 1469-7688

JOURNAL ARTICLE

Brigo D, Mercurio F, Morini M, 2005, The LIBOR model dynamics: Approximations, calibration and diagnostics, EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, Vol: 163, Pages: 30-51, ISSN: 0377-2217

JOURNAL ARTICLE

Alfonsi A, Brigo D, 2005, New families of copulas based on periodic functions, COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, Vol: 34, Pages: 1437-1447, ISSN: 0361-0926

JOURNAL ARTICLE

Brigo D, Alfonsi A, 2005, Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model, FINANCE AND STOCHASTICS, Vol: 9, Pages: 29-42, ISSN: 0949-2984

JOURNAL ARTICLE

, 2005,

JOURNAL ARTICLE

Brigo D, 2005, Market Models for CDS Options and Callable Floaters, Risk Magazine

JOURNAL ARTICLE

Brigo D, 2005, Market Models for CDS Options and Callable Floaters, Derivatives Trading and Option Pricing, Editors: Dunbar, Publisher: Risk Books

BOOK CHAPTER

Brigo D, Mercurio F, Rapisarda F, 2005, Smile at Uncertainty, Derivatives Trading and Option Pricing, Editors: Dunbar, Publisher: Risk Books

BOOK CHAPTER

Brigo D, Mercurio F, Rapisarda F, Scotti Ret al., 2004, Approximated moment-matching dynamics for basket-options pricing, QUANTITATIVE FINANCE, Vol: 4, Pages: 1-16, ISSN: 1469-7688

JOURNAL ARTICLE

Brigo D, Mercurio F, Sartorelli G, 2003, Alternative asset-price dynamics and volatility smile, QUANTITATIVE FINANCE, Vol: 3, Pages: 173-183, ISSN: 1469-7688

JOURNAL ARTICLE

Brigo D, Mercurio F, 2003, Analytical pricing of the smile in a forward LIBOR market model, Conference on Quantitative Methods in Finance (QMF 2002), Publisher: IOP PUBLISHING LTD, Pages: 15-27, ISSN: 1469-7688

CONFERENCE PAPER

Brigo D, Mercurio F, 2003, Analytical pricing of the smile in a forward LIBOR market model, Quantitative Finance, Vol: 3

JOURNAL ARTICLE

Brigo D, Mercurio F, 2003, A mixed-up smile, Exotic Options: The cutting edge collection, Editors: Lipton, Publisher: Risk Books, Pages: 45-50

BOOK CHAPTER

Brigo D, Mercurio F, 2002, Displaced and mixture diffusions for analytically-tractable smile models, 1st World Congress of the Bachelier-Finance-Society, Publisher: SPRINGER-VERLAG BERLIN, Pages: 151-174

CONFERENCE PAPER

Brigo D, Mercurio F, 2002, Calibrating LIBOR, Risk Magazine

JOURNAL ARTICLE

Brigo D, Mercurio F, 2002, Lognormal-mixture dynamics and calibration to market volatility smiles, International Journal of Theoretical and Applied Finance, Vol: 5, Pages: 427-446

JOURNAL ARTICLE

Brigo D, Mercurio F, 2001, A deterministic-shift extension of analytically tractable and time-homogeneous short rate models, Finance and stochastics, Vol: 5, Pages: 369-388

JOURNAL ARTICLE

Brigo D, Mercurio F, 2000, Implied Volatility: A mixed up smile, Risk Magazine

JOURNAL ARTICLE

Brigo D, 2000, On SDEs with marginal laws evolving in finite-dimensional exponential families, STATISTICS & PROBABILITY LETTERS, Vol: 49, Pages: 127-134, ISSN: 0167-7152

JOURNAL ARTICLE

Brigo D, Mercurio F, 2000, Option pricing impact of alternative continuous time dynamics for discretely observed stock prices, Finance and Stochastics, Vol: 4, Pages: 147-160

JOURNAL ARTICLE

Brigo D, Hanzon B, Le Gland F, 1999, Approximate nonlinear filtering by projection on exponential manifolds of densities, BERNOULLI, Vol: 5, Pages: 495-534, ISSN: 1350-7265

JOURNAL ARTICLE

Brigo D, Mercurio F, 1999, Correction to: "Is Ito calculus oversold?", Risk Magazine, Vol: 12, Pages: 67-67

JOURNAL ARTICLE

Brigo D, 1999, Diffusion Processes, Manifolds of Exponential Densities, and Nonlinear Filtering, Geometry in Present Day Science, Editors: Barndorff-Nielsen, Jensen, Publisher: World Scientific

BOOK CHAPTER

Brigo D, Hanzon B, 1998, On some filtering problems arising in mathematical finance, International Workshop on the Interplay between Insurance, Finance and Control, Publisher: ELSEVIER SCIENCE BV, Pages: 53-64, ISSN: 0167-6687

CONFERENCE PAPER

Brigo D, Hanzon B, LeGland F, 1998, A differential geometric approach to nonlinear filtering: The projection filter, IEEE TRANSACTIONS ON AUTOMATIC CONTROL, Vol: 43, Pages: 247-252, ISSN: 0018-9286

JOURNAL ARTICLE

Brigo D, Hanzon B, 1998, On some filtering problems arising in mathematical finance, Insurance: Mathematics and Economics, Vol: 22, Pages: 53-64

JOURNAL ARTICLE

Brigo D, LeGland F, 1997, A finite dimensional filter with exponential conditional density, 36th IEEE Conference on Decision and Control, Publisher: IEEE, Pages: 1643-1644, ISSN: 0191-2216

CONFERENCE PAPER

Brigo D, 1997, On nonlinear SDE's whose densities evolve in a finite dimensional family, Stochastic Differential and Difference Equations, Editors: Csiszar, Michaletzky, Publisher: Birkhauser

BOOK CHAPTER

Brigo D, 1996, New results on the Gaussian protection filter with small observation noise, SYSTEMS & CONTROL LETTERS, Vol: 28, Pages: 273-279, ISSN: 0167-6911

JOURNAL ARTICLE

Brigo D, 1995, On the nice behaviour of the Gaussian projection filter with small observation noise, SYSTEMS & CONTROL LETTERS, Vol: 26, Pages: 363-370, ISSN: 0167-6911

JOURNAL ARTICLE

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