26 citations · 157 across the 57 of their papers we have counts for
4 papers · 1 filter
Deep learning interpretability for rough volatility
Bo Yuan, Damiano Brigo, Antoine Jacquier +1
Deep learning methods have become a widespread toolbox for pricing and calibration of financial models. While they often provide new directions and research results, their `black b…
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…
The general mixture-diffusion SDE and its relationship with an uncertain-volatility option model with volatility-asset decorrelation
Damiano Brigo
In the present paper, given an evolving mixture of probability densities, we define a candidate diffusion process whose marginal law follows the same evolution. We derive as a part…
On three filtering problems arising in mathematical finance
Damiano Brigo, Bernard Hanzon
Three situations in which filtering theory is used in mathematical finance are illustrated at different levels of detail. The three problems originate from the following different…