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Nonlinear valuation under credit, funding, and margins : existence, uniqueness, invariance, and disentanglement

Brigo, Damiano; Francischello, Marco; Pallavicini, Andrea - In: European journal of operational research : EJOR 274 (2019) 2, pp. 788-805

Persistent link: https://www.econbiz.de/10011990226

Impact of multiple curve dynamics in credit valuation adjustments under collateralization

Bormetti, Giacomo; Brigo, Damiano; Francischello, Marco; … - In: Quantitative finance 18 (2018) 1, pp. 31-44

Persistent link: https://www.econbiz.de/10011905822

On the consistency of jump-diffusion dynamics for FX rates under inversion

Graceffa, Federico; Brigo, Damiano; Pallavicini, Andrea - In: International journal of financial engineering 7 (2020) 4, pp. 1-17

Persistent link: https://www.econbiz.de/10012603771

PRICING COUNTERPARTY RISK INCLUDING COLLATERALIZATION, NETTING RULES, RE-HYPOTHECATION AND WRONG-WAY RISK

BRIGO, DAMIANO; CAPPONI, AGOSTINO; PALLAVICINI, ANDREA; … - In: International Journal of Theoretical and Applied … 16 (2013) 02, pp. 1350007-1

This article is concerned with the arbitrage-free valuation of bilateral counterparty risk through stochastic dynamical models when collateral is included, with possible rehypothecation. The payout of claims is modified to account for collateral margining in agreement with International Swap and...

Persistent link: https://www.econbiz.de/10010661008

Probability-free models in option pricing : statistically indistinguishable dynamics and historical vs implied volatility

Brigo, Damiano - In: Options - 45 years since the publication of the …, (pp. 47-61). 2023

Persistent link: https://www.econbiz.de/10014366586

Option pricing models without probability : a rough paths approach

Armstrong, John; Bellani, Claudio; Brigo, Damiano; … - In: Mathematical Finance 31 (2021) 4, pp. 1494-1521

Persistent link: https://www.econbiz.de/10012538287

Disentangling wrong-way risk : pricing credit valuation adjustment via change of measures

Brigo, Damiano; Vrins, Frédéric - In: European journal of operational research : EJOR 269 (2018) 3, pp. 1154-1164

Persistent link: https://www.econbiz.de/10011866893

Funding, repo and credit inclusive valuation as modified option pricing

Brigo, Damiano; Buescu, C.; Rutkowski, Marek - In: Operations research letters 45 (2017) 6, pp. 665-670

Persistent link: https://www.econbiz.de/10011783094

Forecasting recovery rates on non-performing loans with machine learning

Bellotti, Anthony; Brigo, Damiano; Gambetti, Paolo; … - In: International journal of forecasting 37 (2021) 1, pp. 428-444

Persistent link: https://www.econbiz.de/10012693089

Multi-currency credit default swaps

Brigo, Damiano; Pede, Nicola; Petrelli, Andrea - In: International journal of theoretical and applied finance 22 (2019) 4, pp. 1-35

Persistent link: https://www.econbiz.de/10012030890

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