26 citations · 157 across the 57 of their papers we have counts for
4 papers · 2 filters
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…
The Multivariate Mixture Dynamics Model: Shifted dynamics and correlation skew
Damiano Brigo, Camilla Pisani, Francesco Rapisarda
The Multi Variate Mixture Dynamics model is a tractable, dynamical, arbitrage-free multivariate model characterized by transparency on the dependence structure, since closed form f…
Impact of Multiple Curve Dynamics in Credit Valuation Adjustments under Collateralization
Giacomo Bormetti, Damiano Brigo, Marco Francischello +1
We present a detailed analysis of interest rate derivatives valuation under credit risk and collateral modeling. We show how the credit and collateral extended valuation framework…
Invariance, existence and uniqueness of solutions of nonlinear valuation PDEs and FBSDEs inclusive of credit risk, collateral and funding costs
Damiano Brigo, Marco Francischello, Andrea Pallavicini
We study conditions for existence, uniqueness and invariance of the comprehensive nonlinear valuation equations first introduced in Pallavicini et al (2011). These equations take t…