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Arbitrage-free bilateral count...
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Volatility
Theorie
128
Theory
128
Credit risk
80
Kreditrisiko
79
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41
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41
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39
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39
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Brigo, Damiano
15
Pallavicini, Andrea
12
Nastasi, Emanuele
4
Papatheodorou, Vasileios
3
Chourdakis, Kyriakos
2
Dalessandro, Antonio
2
Graceffa, Federico
2
Mercurio, Fabio
2
Neugebauer, Matthias
2
Sartorelli, Giulio
2
Triki, Fares
2
Capponi, Agostino
1
Cousot, Laurent
1
Dall'acqua, Enrico
1
Daluiso, Roberto
1
Grasselli, Martino
1
Kalinin, Alexander
1
Livieri, Giulia
1
Longoni, Riccardo
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Manzano-Herrero, Alberto Pedro
1
Mazzoran, Andrea
1
Moreni, Nicola
1
Mouti, Saad
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Polo, Stefano
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International journal of theoretical and applied finance
7
Journal of risk management in financial institutions
2
International journal of financial engineering
1
International journal of theoretical and applied finance : IJTAF
1
Options - 45 years since the publication of the Black-Scholes-Merton model : the Gershon Fintech Center Conference
1
Quantitative finance
1
Springer Finance
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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:
2
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:
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
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:
6
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:
7
A stochastic processes toolkit for risk management : Geometric Brownian motion, jumps, GARCH and variance gamma models
Brigo, Damiano
;
Dalessandro, Antonio
;
Neugebauer, Matthias
- In:
Journal of risk management in financial institutions
2
(
2008/09
)
4
,
pp. 365-393
Persistent link: https://www.econbiz.de/10003907277
Saved in:
8
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:
9
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:
10
A stochastic processes toolkit for risk management : mean reverting processes and jumps
Brigo, Damiano
;
Dalessandro, Antonio
;
Neugebauer, Matthias
- In:
Journal of risk management in financial institutions
3
(
2009/10
)
1
,
pp. 65-83
Persistent link: https://www.econbiz.de/10003939684
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