5 citations · 11 across the 9 of their papers we have counts for
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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…
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…
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…
Discrete Time vs Continuous Time Stock-price Dynamics and implications for Option Pricing
Damiano Brigo, Fabio Mercurio
In the present paper we construct stock price processes with the same marginal log-normal law as that of a geometric Brownian motion and also with the same transition density (and…