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Brigo, Damiano
23
Mercurio, Fabio
6
Morini, Massimo
6
Pallavicini, Andrea
4
Torresetti, Roberto
4
Dalessandro, Antonio
2
Neugebauer, Matthias
2
Triki, Fares
2
Alfonsi, Aurélien
1
Capponi, Agostino
1
El-Bachir, Naoufel
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Risk : managing risk in the world's financial markets
10
Journal of risk management in financial institutions
4
Finance and stochastics
3
Mathematical finance : an international journal of mathematics, statistics and financial theory
2
European journal of operational research : EJOR
1
Insurance / Mathematics & economics
1
The journal of credit risk : published quarterly by Incisive Media
1
The journal of derivatives : the official publication of the International Association of Financial Engineers
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OLC EcoSci
ECONIS (ZBW)
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CUTTING EDGE: Credit derivatives - Calibration of CDO tranches with the dynamical GPL model - Consistent calibration of a credit index and its tranches across maturities with a single arbitrage-free model is a difficult problem. Here, the authors show that a simple loss dynamics based on the generalised Poisson process achieves good results. This model allows for general isations, achieving ...
Brigo, Damiano
;
Pallavicini, Andrea
;
Torresetti, Roberto
- In:
Risk : managing risk in the world's financial markets
20
(
2007
)
5
,
pp. 70-75
Persistent link: https://www.econbiz.de/10007738041
Saved in:
2
CUTTING EDGE - Hybrid products - Counterparty risk and CCDSs under correlation - Counterparty risk under correlation is relatively unexplored in the financial literature. Here, the authors extend previous analysis beyond simple swap portfolios. A stochastic intensity jump diffusion model is adopted for the default event, and correlation between interest rates and credit shows a relevant and ...
Brigo, Damiano
;
Pallavicini, Andrea
- In:
Risk : managing risk in the world's financial markets
21
(
2008
)
2
,
pp. 84-88
Persistent link: https://www.econbiz.de/10007917925
Saved in:
3
Risk-neutral versus objective loss distribution and CDO tranche valuation
Torresetti, Roberto
;
Brigo, Damiano
;
Pallavicini, Andrea
- In:
Journal of risk management in financial institutions
2
(
2008/09
)
2
,
pp. 175-192
Persistent link: https://www.econbiz.de/10009883627
Saved in:
4
Credit models and the crisis : an overview
Brigo, Damiano
;
Pallavicini, Andrea
;
Torresetti, Roberto
- In:
Journal of risk management in financial institutions
4
(
2010/11
)
3
,
pp. 243-253
Persistent link: https://www.econbiz.de/10009883700
Saved in:
5
The LIBOR model dynamics: Approximations, calibration and diagnostics
Brigo, Damiano
;
Mercurio, Fabio
;
Morini, Massimo
- In:
European journal of operational research : EJOR
163
(
2005
)
1
,
pp. 30-51
Persistent link: https://www.econbiz.de/10006641727
Saved in:
6
On some filtering problems arising in mathematical finance
Brigo, Damiano
;
Hanzon, Bernard
- In:
Insurance / Mathematics & economics
22
(
1998
)
1
,
pp. 53-64
Persistent link: https://www.econbiz.de/10006919613
Saved in:
7
A deterministic-shift extension of analytically-tractable and time-homogeneous short-rate models
Brigo, Damiano
;
Mercurio, Fabio
- In:
Finance and stochastics
5
(
2001
)
3
,
pp. 369-388
Persistent link: https://www.econbiz.de/10008216993
Saved in:
8
Option pricing impact of alternative continuous-time dynamics for discretely-observed stock prices
Brigo, Damiano
;
Mercurio, Fabio
- In:
Finance and stochastics
4
(
2000
)
2
,
pp. 147-160
Persistent link: https://www.econbiz.de/10008217584
Saved in:
9
Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model
Brigo, Damiano
;
Alfonsi, Aurélien
- In:
Finance and stochastics
9
(
2005
)
1
,
pp. 29-42
Persistent link: https://www.econbiz.de/10008222977
Saved in:
10
AN EXACT FORMULA FOR DEFAULT SWAPTIONS' PRICING IN THE SSRJD STOCHASTIC INTENSITY MODEL
Brigo, Damiano
;
El-Bachir, Naoufel
- In:
Mathematical finance : an international journal of …
20
(
2010
)
3
,
pp. 365-383
Persistent link: https://www.econbiz.de/10008425300
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