Imperial College London


Faculty of Natural SciencesDepartment of Mathematics

Chair in Mathematical Finance







805Weeks BuildingSouth Kensington Campus





Professor Damiano Brigo holds the Chair in Mathematical Finance at Imperial College, London, where he co-heads the Mathematical Finance research group and is part of the Stochastic Analysis research group. 

Previous roles of Professor Brigo include:

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;

Managing Director and Global Head of Quantitative Innovation in Fitch Solutions in 2007-2010;

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 80 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 is 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 and of Applied Mathematical Finance. 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 2006,  2010 and 2012, and in 1998-2017. His H-index in Google Scholar is 36 as of December 2017.

Damiano obtained a Ph.D. in stochastic filtering with differential geometry in 1996 from the Free University of Amsterdam, following a BSc in Mathematics with honors from the University of Padua.

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, the differential geometric approach to statistics, exponential statistical manifolds and stochastic processes, stochastic differential equations on manifolds, geometry of SDEs, nonlinear stochastic filtering, and stochastic processes consistent with mixtures of distributions.  

Most of Damiano's research is available in public research  repositories such as

  • SSRN (Social Science Research Network)
  • arXiv

and on his web page

See also the books

Counterparty Credit Risk, Collateral and Funding 


Interest Rate Models: Theory and Practice


Credit Models and the Crisis: A journey into CDOs, Copulas, Correlation and Dynamic Models


Credit Risk Frontiers (as Editor)

Counterparty Risk and Funding: A tale of two puzzles

Selected Publications

Journal Articles

Armstrong J, Bellani C, Brigo D, et al., 2021, Option pricing models without probability: a rough paths approach, Mathematical Finance, ISSN:0960-1627

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, 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

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