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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
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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
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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
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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
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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
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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
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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
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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
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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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Mechanics of good trade execution in the framework of linear temporary market impact
Bellani, Claudio; Brigo, Damiano - In: Quantitative finance 21 (2021) 1, pp. 143-163
Persistent link: https://www.econbiz.de/10012424640