26 citations · 157 across the 57 of their papers we have counts for
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q-fin.PR2016
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…
q-fin.PR2016
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…