Professor Damiano Brigo holds the Chair in Mathematical Finance at Imperial College, London, where he co-headed the Mathematical Finance research group in 2012-2019. He is part of the Stochastic Analysis research group.
Previous roles of Professor Brigo include:
Academic Advisory board for IHS Markit (2017-2022)
Academic advisory board of Macquarie Bank (2018-2020)
Academic Advisory board for Credit Benchmark (2015-2018)
Board of CFM-Imperial Institute in Quantitative Finance (2014 on)
Director of the Ernst and Young GFSI Institute and Editor in chief of EY Journal of Financial Perspectives (2016-2017)
2012-2014, Prof. Brigo held the role of Director of the Capco Institute and Editor in Chief of the related Journal of Financial Transformation via Imperial Consultants;
2010-2012, Prof. Brigo held the Gilbart Chair of Financial Mathematics at Kings College, London, where he headed the Financial Mathematics group;
Managing Director and Global Head of Quantitative Innovation in Fitch Solutions in 2007-2010, and visiting professor at Imperial College London.
Head of Credit Models in Banca IMI's front office, in the largest Italian investment bank, and Fixed Income Professor at Bocconi University in Milan, in 1997-2007.
Damiano has published more than 130 works in Mathematical Finance, Systems Theory, Probability and Statistics, and books for Springer Verlag and Wiley that have become field references in stochastic interest rate and credit risk modeling.
Damiano has been Managing Editor of the International Journal of Theoretical and Applied Finance, and he is in the editorial boards of Mathematics of Control, Signals and Systems, of Applied Mathematical Finance and of Information Geometry. Damiano has been a member of the Fitch Academic Advisory Board and is part of Scientific committees for academic conferences occurring across academic and industry institutions.
Damiano has been listed as the most cited author in Risk Magazine in the 20 years 1998-2017. His H-index in Google Scholar is 42 as of 2023.
Damiano obtained a Ph.D. in stochastic filtering with differential geometry in 1996 from the Free University of Amsterdam, under the supervision of Bernard Hanzon, Francois LeGland and Jan van Schuppen, following a Laurea (BSc MSc) in Mathematics cum laude from the University of Padua, with a dissertation on nonlinear filtering under the supervision of Giovanni Battista Di Masi.
His current interests include valuation and pricing, risk measurement, liquidity risk, credit and default modeling, counterparty risk, nonlinear valuation under funding costs via semi-linear PDEs and FBSDEs, optimal execution and algorithmic trading, stochastic dynamical models for commodities and inflation, and path-wise finance. He is also working on the differential geometric approach to statistics, exponential statistical manifolds and stochastic processes, stochastic differential equations on manifolds, geometry of SDEs and rough paths, nonlinear stochastic filtering, and stochastic processes consistent with mixtures of distributions.
Damiano is often invited to speak as a plenary or invited speaker both at academic events and at events organized by the industry, with seminars, talks, lectures, panels and training courses for international conferences, universities, mathematical institutes, financial institutions, central banks and regulators.
Most of Damiano's research is available in public research repositories such as SSRN or arXiv, by searching "Damiano Brigo":
and on his web page
See also the books
Credit Risk Frontiers (as Editor)
et al., 2022, Non-geometric rough paths on manifolds, Journal of the London Mathematical Society - Second Series, Vol:106, ISSN:0024-6107, Pages:756-817
Brigo D, Graceffa F, Neumann E, 2021, Price impact on term structure, Quantitative Finance, Vol:22, ISSN:1469-7688, Pages:171-195
et al., 2021, Option pricing models without probability: a rough paths approach, Mathematical Finance, ISSN:0960-1627
et al., 2021, Forecasting recovery rates on non-performing loans with machine learning, International Journal of Forecasting, Vol:37, ISSN:0169-2070, Pages:428-444
Bellani C, Brigo D, 2020, Mechanics of good trade execution in the framework of linear temporary market impact, Quantitative Finance, Vol:21, ISSN:1469-7688, Pages:143-163
Brigo D, Jeanblanc M, Vrins F, 2020, SDEs with uniform distributions: Peacocks, conic martingales and mean reverting uniform diffusions, Stochastic Processes and Their Applications, Vol:130, ISSN:0304-4149, Pages:3895-3919
Armstrong J, Brigo D, Rossi Ferrucci E, 2019, Optimal approximation of SDEs on submanifolds: the Ito-vector and Ito-jet projections, Proceedings of the London Mathematical Society, Vol:119, ISSN:1460-244X, Pages:176-213
Brigo D, Francischello M, Pallavicini A, 2019, Nonlinear valuation under credit, funding, and margins: existence, uniqueness, invariance, and disentanglement, European Journal of Operational Research, Vol:274, ISSN:0377-2217, Pages:788-805
Armstrong J, Brigo D, 2018, Intrinsic stochastic differential equations as jets, Proceedings of the Royal Society A: Mathematical, Physical & Engineering Sciences, Vol:474, ISSN:1364-5021
Brigo D, Mai JF, Scherer M, 2016, Markov multi-variate survival indicators for default simulation as a new characterization of the Marshall-Olkin law, Statistics & Probability Letters, Vol:114, ISSN:0167-7152, Pages:60-66
Armstrong J, Brigo D, 2015, Nonlinear filtering via stochastic PDE projection on mixture manifolds in L^2 direct metric, Mathematics of Control Signals and Systems, Vol:28, ISSN:0932-4194
Brigo D, Capponi A, Pallavicini A, 2013, ARBITRAGE-FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS, Mathematical Finance, Vol:24, ISSN:0960-1627, Pages:1252146-1252146
Brigo D, El-Bachir N, 2010, An exact formula for default swaptions pricing in the SSRJD stochastic intensity model, Mathematical Finance, Vol:20, Pages:365-382
Brigo D, Mercurio F, Sartorelli G, 2003, Alternative asset-price dynamics and volatility smile, Quantitative Finance, Vol:3, ISSN:1469-7688, Pages:173-183
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
Brigo D, Hanzon B, Le Gland F, 1999, Approximate nonlinear filtering by projection on exponential manifolds of densities, Bernoulli, Vol:5, ISSN:1350-7265, Pages:495-534
Brigo D, Hanzon B, LeGland F, 1998, A differential geometric approach to nonlinear filtering: The projection filter, IEEE Transactions on Automatic Control, Vol:43, ISSN:0018-9286, Pages:247-252
Brigo D, Morini M, Pallavicini A, 2013, Counterparty Credit Risk, Collateral and Funding: with Pricing Cases for all Asset Classes, Wiley, ISBN:978-0-470-74846-6
Brigo D, Pallavicini A, Torresetti R, 2010, Credit models and the crisis : a journey into CDOs, copulas, correlations and dynamic models., Wiley, ISBN:978-0-470-66566-4
Brigo D, Mercurio F, 2006, Interest Rate Models: Theory and Practice - with Smile, Inflation and Credit, Heidelberg, Springer Verlag
Brigo D, 1999, Diffusion Processes, Manifolds of Exponential Densities, and Nonlinear Filtering, Geometry in Present Day Science, Editor(s): Barndorff-Nielsen, Jensen, World Scientific