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~isPartOf:"International journal of theoretical and applied finance"
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International journal of theoretical and applied finance
Papers / arXiv.org
5,733
Risk : managing risk in the world's financial markets
10
International Journal of Theoretical and Applied Finance (IJTAF)
8
Journal of risk management in financial institutions
8
Finance and stochastics
6
Mathematical finance : an international journal of mathematics, statistics and financial theory
5
ICMA Centre Discussion Papers in Finance
4
Discussion paper / Tinbergen Institute
3
European journal of operational research : EJOR
3
Finance and Stochastics
3
International journal of financial engineering
3
Quantitative Finance
3
Quantitative finance
3
Wiley finance
3
Bundesbank Discussion Paper
2
Discussion paper / Tinbergen Institute / Tinbergen Institute
2
Financial series
2
Journal of banking & finance
2
Journal of financial engineering
2
The journal of credit risk : published quarterly by Incisive Media
2
The journal of derivatives : the official publication of the International Association of Financial Engineers
2
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1
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Credit Scoring and Credit Control Conference XVI
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European Journal of Operational Research
1
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1
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International journal of forecasting
1
Journal / The Capco Institute : journal of financial transformation
1
Journal of Financial Transformation
1
Mathematical Finance
1
Operations research letters
1
Options - 45 years since the publication of the Black-Scholes-Merton model : the Gershon Fintech Center Conference
1
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1
Lognormal-mixture dynamics and calibration to market volatility smiles
Brigo, Damiano
;
Mercurio, Fabio
- In:
International journal of theoretical and applied finance
5
(
2002
)
4
,
pp. 427-446
Persistent link: https://www.econbiz.de/10001682228
Saved in:
2
Counterparty risk for credit default swaps : impact of spread volatility and default correlation
Brigo, Damiano
;
Chourdakis, Kyriakos
- In:
International journal of theoretical and applied finance
12
(
2009
)
7
,
pp. 1007-1026
Persistent link: https://www.econbiz.de/10003928780
Saved in:
3
Arbitrage-free valuation of bilateral counterparty risk for interest-rate products : impact of volatilities and correlations
Brigo, Damiano
;
Pallavicini, Andrea
;
Papatheodorou, …
- In:
International journal of theoretical and applied finance
14
(
2011
)
6
,
pp. 773-802
Persistent link: https://www.econbiz.de/10009381011
Saved in:
4
Restructuring counterparty credit risk
Albanese, Claudio
;
Brigo, Damiano
;
Oertel, Frank
- In:
International journal of theoretical and applied finance
16
(
2013
)
2
,
pp. 1-29
Persistent link: https://www.econbiz.de/10009748714
Saved in:
5
Pricingcounterparty risk including collateralization, netting rules, re-hypothecation and wrong-way risk
Brigo, Damiano
;
Capponi, Agostino
;
Pallavicini, Andrea
; …
- In:
International journal of theoretical and applied finance
16
(
2013
)
2
,
pp. 1-16
Persistent link: https://www.econbiz.de/10009748723
Saved in:
6
Counterparty risk pricing : impact of closeout and first-to-default times
Brigo, Damiano
;
Buescu, Cristin
;
Morini, Massimo
- In:
International journal of theoretical and applied finance
15
(
2012
)
6
,
pp. 1-23
Persistent link: https://www.econbiz.de/10009672601
Saved in:
7
The stochastic intensity SSRD model implied volatility patterns for credit default swap options and the impact of correlation
Brigo, Damiano
;
Cousot, Laurent
- In:
International journal of theoretical and applied finance
9
(
2006
)
3
,
pp. 315-339
Persistent link: https://www.econbiz.de/10003344290
Saved in:
8
Cluster-based extension of the generalized poisson loss dynamics and consistency with single names
Brigo, Damiano
;
Pallavicini, Andrea
;
Torresetti, Roberto
- In:
International journal of theoretical and applied finance
10
(
2007
)
4
,
pp. 607-631
Persistent link: https://www.econbiz.de/10003503347
Saved in:
9
A note on the self-financing condition for funding, collateral and discounting
Brigo, Damiano
;
Buescu, Cristin
;
Pallavicini, Andrea
; …
- In:
International journal of theoretical and applied finance
18
(
2015
)
2
,
pp. 1-10
Persistent link: https://www.econbiz.de/10011403214
Saved in:
10
CoCo bonds pricing with credit and equity calibrated first-passage firm value models
Brigo, Damiano
;
Garcia, João
;
Pede, Nicola
- In:
International journal of theoretical and applied finance
18
(
2015
)
3
,
pp. 1-31
Persistent link: https://www.econbiz.de/10011403242
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