5 citations · 11 across the 9 of their papers we have counts for
11 papers
A finite dimensional filter with exponential conditional density
Damiano Brigo
In this paper we consider the continuous--time nonlinear filtering problem, which has an infinite--dimensional solution in general, as proved by Chaleyat--Maurel and Michel. There…
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…
Default correlation, cluster dynamics and single names: The GPCL dynamical loss model
Damiano Brigo, Andrea Pallavicini, Roberto Torresetti
We extend the common Poisson shock framework reviewed for example in Lindskog and McNeil (2003) to a formulation avoiding repeated defaults, thus obtaining a model that can account…