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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:
2
Efficient analytical cascade calibration of the LIBOR market model with endogenous interpolation
Brigo, Damiano
;
Morini, Massimo
- In:
The journal of derivatives : the official publication …
14
(
2006
)
1
,
pp. 40-60
Persistent link: https://www.econbiz.de/10003379121
Saved in:
3
An EZI method to reduce the rank of a correlation matrix in financial modelling
Morini, Massimo
;
Webber, Nick
- In:
Applied mathematical finance
13
(
2006
)
4
,
pp. 309-331
Persistent link: https://www.econbiz.de/10003396206
Saved in:
4
Decentralized financial market infrastructures : evolution from intermediated structures to decentralized structures for financial agreements
Feenan, Sara
;
Heller, Daniel
;
Lipton, Alexander
; …
- In:
The journal of FinTech
1
(
2021
)
2
,
pp. 2150002-1-2150002-42
Persistent link: https://www.econbiz.de/10013174979
Saved in:
5
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
Saved in:
6
Regulation and cyberfinance : a new economic revolution liberating financial markets?
Brigo, Damiano
;
Leukert, Peter
- In:
Journal / The Capco Institute : journal of financial …
41
(
2015
),
pp. 8-9
Persistent link: https://www.econbiz.de/10011554478
Saved in:
7
Risk managing tail-risk seekers : VaR and expected shortfall vs S-shaped utility
Armstrong, John
;
Brigo, Damiano
- In:
Journal of banking & finance
101
(
2019
),
pp. 122-135
Persistent link: https://www.econbiz.de/10012162636
Saved in:
8
Impact of robotics, RPA and AI on the insurance industry : challenges and opportunities
Lamberton, Chris
;
Brigo, Damiano
;
Hoy, Dave
- In:
The Journal of Financial Perspectives
4
(
2017
)
1
,
pp. 8-20
Persistent link: https://www.econbiz.de/10012005805
Saved in:
9
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
Saved in:
10
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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