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researcher

D. Brigo

11 papers hereh-index 396.5k citations279 works total

Matching runs newest-first, so older work may not be attached to this profile yet.

author position
  • sole author3
  • first author7
  • last author1

Across the 11 of 11 papers where every author was matched, so the position is known.

fields
  • q-fin.PR5
  • q-fin.CP3
  • math.PR2
  • q-fin.RM1

identity via Semantic Scholar / OpenAlex

most citedProjecting the Fokker-Planck Equation onto a finite dimensional exponential family

5 citations · 11 across the 9 of their papers we have counts for

collaborators
Showing q-fin.RMShow all

1 paper · 1 filter

q-fin.RM2008

A Stochastic Processes Toolkit for Risk Management

Damiano Brigo, Antonio Dalessandro, Matthias Neugebauer +1

In risk management it is desirable to grasp the essential statistical features of a time series representing a risk factor. This tutorial aims to introduce a number of different st…

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Not affiliated with arXiv. Researcher data from Semantic Scholar (ODC-BY) and OpenAlex.