output
20042026
most citedIn-Vivo Hyperspectral Human Brain Image Database for Brain Cancer Detection

176 citations

researchers with a paper here

Counting papers with at most 25 authors, so collaboration author lists do not stand in for the people here.

collaborating institutions
Showing q-fin.PRShow all

4 papers · 1 filter

q-fin.PR2015

Invariance, existence and uniqueness of solutions of nonlinear valuation PDEs and FBSDEs inclusive of credit risk, collateral and funding costs

Damiano Brigo, Marco Francischello, Andrea Pallavicini

We study conditions for existence, uniqueness and invariance of the comprehensive nonlinear valuation equations first introduced in Pallavicini et al (2011). These equations take t…

q-fin.PR2014★ 4 cited

CCP Cleared or Bilateral CSA Trades with Initial/Variation Margins under credit, funding and wrong-way risks: A Unified Valuation Approach

Damiano Brigo, Andrea Pallavicini

The introduction of CCPs in most derivative transactions will dramatically change the landscape of derivatives pricing, hedging and risk management, and, according to the TABB grou…

q-fin.PR2013

CCPs, Central Clearing, CSA, Credit Collateral and Funding Costs Valuation FAQ: Re-hypothecation, CVA, Closeout, Netting, WWR, Gap-Risk, Initial and Variation Margins, Multiple Discount Curves, FVA?

Damiano Brigo, Andrea Pallavicini

We present a dialogue on Funding Costs and Counterparty Credit Risk modeling, inclusive of collateral, wrong way risk, gap risk and possible Central Clearing implementation through…

q-fin.PR2013

The arbitrage-free Multivariate Mixture Dynamics Model: Consistent single-assets and index volatility smiles

Damiano Brigo, Francesco Rapisarda, Abir Sridi

We introduce a multivariate diffusion model that is able to price derivative securities featuring multiple underlying assets. Each asset volatility smile is modeled according to a…