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Option pricing theory
Theorie
128
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128
Credit risk
80
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79
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41
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41
Portfolio selection
39
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Brigo, Damiano
22
Pallavicini, Andrea
15
Nastasi, Emanuele
5
Capponi, Agostino
4
Mercurio, Fabio
4
Rutkowski, Marek
3
Sartorelli, Giulio
3
Bichuch, Maxim
2
Buescu, Cristin
2
Daluiso, Roberto
2
Francischello, Marco
2
Graceffa, Federico
2
Livieri, Giulia
2
Pede, Nicola
2
Sturm, Stephan
2
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1
Bormetti, Giacomo
1
Buescu, C.
1
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International journal of theoretical and applied finance
6
Finance and stochastics
3
Mathematical finance : an international journal of mathematics, statistics and financial theory
3
Quantitative finance
2
Credit risk : models, derivatives, and management
1
European journal of operational research : EJOR
1
International journal of financial engineering
1
International journal of theoretical and applied finance : IJTAF
1
Mathematical finance : an international journal of mathematics, statistics and financial economics
1
Operations research letters
1
Options - 45 years since the publication of the Black-Scholes-Merton model : the Gershon Fintech Center Conference
1
Springer Finance
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ECONIS (ZBW)
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1
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:
2
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
Saved in:
3
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
Saved in:
4
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
Saved in:
5
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. 147-159
Persistent link: https://www.econbiz.de/10001486694
Saved in:
6
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. 369-387
Persistent link: https://www.econbiz.de/10001599290
Saved in:
7
Interest rate models - theory and practice : with smile, inflation and credit ; with 131 tables
Brigo, Damiano
;
Mercurio, Fabio
-
2006
-
2. ed.
Persistent link: https://www.econbiz.de/10002116360
Saved in:
8
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:
9
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. 365-382
Persistent link: https://www.econbiz.de/10008665084
Saved in:
10
No-armageddon measure for arbitrage-free pricing of index options in a credit crisis
Morini, Massimo
;
Brigo, Damiano
- In:
Mathematical finance : an international journal of …
21
(
2011
)
4
,
pp. 573-593
Persistent link: https://www.econbiz.de/10009311691
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