1 citations · 1 across the 3 of their papers we have counts for
3 papers
q-fin.CP2024
Deep learning interpretability for rough volatility
Bo Yuan, Damiano Brigo, Antoine Jacquier +1
Deep learning methods have become a widespread toolbox for pricing and calibration of financial models. While they often provide new directions and research results, their `black b…
q-fin.PR2015★ 1 cited
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…
q-fin.PR2013
CoCo Bonds Valuation with Equity- and Credit-Calibrated First Passage Structural Models
Damiano Brigo, João Garcia, Nicola Pede
After the beginning of the credit and liquidity crisis, financial institutions have been considering creating a convertible-bond type contract focusing on Capital. Under the terms…