5 citations · 11 across the 8 of their papers we have counts for
8 papers
Projecting the Fokker-Planck Equation onto a finite dimensional exponential family
Damiano Brigo, Giovanni Pistone
In the present paper we discuss problems concerning evolutions of densities related to Ito diffusions in the framework of the statistical exponential manifold. We develop a rigorou…
Counterparty risk valuation for Energy-Commodities swaps: Impact of volatilities and correlation
Damiano Brigo, Kyriakos Chourdakis, Imane Bakkar
It is commonly accepted that Commodities futures and forward prices, in principle, agree under some simplifying assumptions. One of the most relevant assumptions is the absence of…
A Stochastic Processes Toolkit for Risk Management
Damiano Brigo, Antonio Dalessandro, Matthias Neugebauer +1
In risk management it is desirable to grasp the essential statistical features of a time series representing a risk factor. This tutorial aims to introduce a number of different st…
An exact formula for default swaptions' pricing in the SSRJD stochastic intensity model
Damiano Brigo, Naoufel El-Bachir
We develop and test a fast and accurate semi-analytical formula for single-name default swaptions in the context of a shifted square root jump diffusion (SSRJD) default intensity m…
Constant Maturity Credit Default Swap Pricing with Market Models
Damiano Brigo
In this work we derive an approximated no-arbitrage market valuation formula for Constant Maturity Credit Default Swaps (CMCDS). We move from the CDS options market model in Brigo…
Arbitrage-free Pricing of Credit Index Options: The no-armageddon pricing measure and the role of correlation after the subprime crisis
Massimo Morini, Damiano Brigo
In this work we consider three problems of the standard market approach to pricing of credit index options: the definition of the index spread is not valid in general, the usually…