26 citations · 157 across the 57 of their papers we have counts for
31 papers · 1 filter
Interpretability in deep learning for finance: a case study for the Heston model
Damiano Brigo, Xiaoshan Huang, Andrea Pallavicini +1
Deep learning is a powerful tool whose applications in quantitative finance are growing every day. Yet, artificial neural networks behave as black boxes and this hinders validation…
Probability-free models in option pricing: statistically indistinguishable dynamics and historical vs implied volatility
Damiano Brigo
We investigate whether it is possible to formulate option pricing and hedging models without using probability. We present a model that is consistent with two notions of volatility…
Risk-neutral valuation under differential funding costs, defaults and collateralization
Damiano Brigo, Cristin Buescu, Marco Francischello +2
We develop a unified valuation theory that incorporates credit risk (defaults), collateralization and funding costs, by expanding the replication approach to a generality that has…
Static vs adapted optimal execution strategies in two benchmark trading models
Damiano Brigo, Clement Piat
We consider the optimal solutions to the trade execution problem in the two different classes of i) fully adapted or adaptive and ii) deterministic or static strategies, comparing…
Funding, repo and credit inclusive valuation as modified option pricing
Damiano Brigo, Cristin Buescu, Marek Rutkowski
We take the holistic approach of computing an OTC claim value that incorporates credit and funding liquidity risks and their interplays, instead of forcing individual price adjustm…
Multi Currency Credit Default Swaps Quanto effects and FX devaluation jumps
Damiano Brigo, Nicola Pede, Andrea Petrelli
Credit Default Swaps (CDS) on a reference entity may be traded in multiple currencies, in that protection upon default may be offered either in the domestic currency where the enti…