Armstrong, John; Bellani, Claudio; Brigo, Damiano; Cass, Thomas Option pricing models without probability: a rough paths approach. (English) Zbl 1522.91258 Math. Finance 31, No. 4, 1494-1521 (2021). MSC: 91G20 PDFBibTeX XMLCite \textit{J. Armstrong} et al., Math. Finance 31, No. 4, 1494--1521 (2021; Zbl 1522.91258) Full Text: DOI arXiv OA License
Brigo, Damiano; Pisani, Camilla; Rapisarda, Francesco The multivariate mixture dynamics model: shifted dynamics and correlation skew. (English) Zbl 1475.91350 Ann. Oper. Res. 299, No. 1-2, 1411-1435 (2021). MSC: 91G20 60H10 62P05 PDFBibTeX XMLCite \textit{D. Brigo} et al., Ann. Oper. Res. 299, No. 1--2, 1411--1435 (2021; Zbl 1475.91350) Full Text: DOI arXiv
Brigo, Damiano; Capponi, Agostino; Pallavicini, Andrea Arbitrage-free bilateral counterparty risk valuation under collateralization and application to credit default swaps. (English) Zbl 1285.91137 Math. Finance 24, No. 1, 125-146 (2014). MSC: 91G40 91G20 91G60 PDFBibTeX XMLCite \textit{D. Brigo} et al., Math. Finance 24, No. 1, 125--146 (2014; Zbl 1285.91137) Full Text: DOI Link
Brigo, Damiano; Capponi, Agostino; Pallavicini, Andrea; Papatheodorou, Vasileios Pricing counterparty risk including collateralization, netting rules, re-hypothecation and wrong-way risk. (English) Zbl 1266.91114 Int. J. Theor. Appl. Finance 16, No. 2, Article ID 1350007, 16 p. (2013). MSC: 91G40 PDFBibTeX XMLCite \textit{D. Brigo} et al., Int. J. Theor. Appl. Finance 16, No. 2, Article ID 1350007, 16 p. (2013; Zbl 1266.91114) Full Text: DOI
Brigo, Damiano; Pallavicini, Andrea; Papatheodorou, Vasileios Arbitrage-free valuation of bilateral counterparty risk for interest-rate products: impact of volatilities and correlations. (English) Zbl 1282.91353 Int. J. Theor. Appl. Finance 14, No. 6, 773-802 (2011). MSC: 91G30 91G40 60H30 91G20 PDFBibTeX XMLCite \textit{D. Brigo} et al., Int. J. Theor. Appl. Finance 14, No. 6, 773--802 (2011; Zbl 1282.91353) Full Text: DOI arXiv
Brigo, Damiano; Chourdakis, Kyriakos Counterparty risk for credit default swaps: impact of spread volatility and default correlation. (English) Zbl 1187.91206 Int. J. Theor. Appl. Finance 12, No. 7, 1007-1026 (2009). MSC: 91G20 91G40 91G60 PDFBibTeX XMLCite \textit{D. Brigo} and \textit{K. Chourdakis}, Int. J. Theor. Appl. Finance 12, No. 7, 1007--1026 (2009; Zbl 1187.91206) Full Text: DOI arXiv
Brigo, Damiano; Mercurio, Fabio Interest rate models – theory and practice. With smile, inflation and credit. 2nd ed. (English) Zbl 1109.91023 Springer Finance. Berlin: Springer (ISBN 3-540-22149-2/hbk). liv, 981 p. (2006). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 91-02 91G30 91B24 PDFBibTeX XMLCite \textit{D. Brigo} and \textit{F. Mercurio}, Interest rate models -- theory and practice. With smile, inflation and credit. 2nd ed. Berlin: Springer (2006; Zbl 1109.91023)
Brigo, Damiano; Cousot, Laurent The stochastic intensity SSRD model implied volatility patterns for credit default swap options and the impact of correlation. (English) Zbl 1154.91429 Int. J. Theor. Appl. Finance 9, No. 3, 315-339 (2006). MSC: 91B28 91B70 PDFBibTeX XMLCite \textit{D. Brigo} and \textit{L. Cousot}, Int. J. Theor. Appl. Finance 9, No. 3, 315--339 (2006; Zbl 1154.91429) Full Text: DOI
Brigo, D.; Mercurio, F. Analytical pricing of the smile in a forward LIBOR market model. (English) Zbl 1405.91659 Quant. Finance 3, No. 1, 15-27 (2003). MSC: 91G30 PDFBibTeX XMLCite \textit{D. Brigo} and \textit{F. Mercurio}, Quant. Finance 3, No. 1, 15--27 (2003; Zbl 1405.91659) Full Text: DOI
Brigo, Damiano; Mercurio, Fabio Lognormal-mixture dynamics and calibration to market volatility smiles. (English) Zbl 1107.91324 Int. J. Theor. Appl. Finance 5, No. 4, 427-446 (2002). MSC: 91B28 PDFBibTeX XMLCite \textit{D. Brigo} and \textit{F. Mercurio}, Int. J. Theor. Appl. Finance 5, No. 4, 427--446 (2002; Zbl 1107.91324) Full Text: DOI
Brigo, Damiano; Mercurio, Fabio Displaced and mixture diffusions for analytically-tractable smile models. (English) Zbl 1011.91052 Geman, Helyette (ed.) et al., Mathematical finance - Bachelier congress 2000. Selected papers from the 1st world congress of the Bachelier Finance Society, Paris, France, June 29 - July 1, 2000. Berlin: Springer. Springer Finance. 151-174 (2002). Reviewer: Miguel Ángel Mirás Calvo (Vigo) MSC: 91B28 PDFBibTeX XMLCite \textit{D. Brigo} and \textit{F. Mercurio}, in: Mathematical finance - Bachelier congress 2000. Selected papers from the 1st world congress of the Bachelier Finance Society, Paris, France, June 29 -- July 1, 2000. Berlin: Springer. 151--174 (2002; Zbl 1011.91052)
Brigo, Damiano; Mercurio, Fabio Option pricing impact of alternative continuous-time dynamics. (English) Zbl 0956.60034 Finance Stoch. 4, No. 2, 147-159 (2000). Reviewer: A.V.Swishchuk (Kyïv) MSC: 60G35 60H10 62P05 91B24 PDFBibTeX XMLCite \textit{D. Brigo} and \textit{F. Mercurio}, Finance Stoch. 4, No. 2, 147--159 (2000; Zbl 0956.60034) Full Text: DOI
Brigo, Damiano; Hanzon, Bernard On some filtering problems arising in mathematical finance. (English) Zbl 1093.91514 Insur. Math. Econ. 22, No. 1, 53-64 (1998). MSC: 91B28 93E11 PDFBibTeX XMLCite \textit{D. Brigo} and \textit{B. Hanzon}, Insur. Math. Econ. 22, No. 1, 53--64 (1998; Zbl 1093.91514) Full Text: DOI arXiv