Feedback to SSRN

 
  • Selected
  • Entire List
 

Brigo, Damiano


 SSRN Author Rank: 249 by Downloads
 Professor and co-Head of Group
 

Imperial College London - Department of Mathematics


 South Kensington Campus
 London SW7 2AZ, SW7 2AZ
 United Kingdom
 HOME PAGE: http://www.damianobrigo.it
 email address
 Head of Capco Institute
 

Capco


 120 Broadway, 15th Floor
 New York, NY 10271
 United States
 HOME PAGE: http://www.capco.com/capco-insights
 email address

  SSRN's personal information usage policy
Authors: If anything on this page requires updating or correction, please go to your SSRN User HeadQuarters and make the change.
The RSS feed for this author will notify you of all new papers and revisions as soon as they are added to the SSRN eLibrary.
Popular RSS readers
. Brigo, Damiano's Scholarly Papers Click on the title of any column to sort the table by that column.
Aggregate Statistics
Total
Downloads
35,375
Total
Citations
320
Authors Date Downloads
 (Rank)
Citations
ACTIONS:    Email Selected Abstracts    Export Selected Bibliographic Info    VIEW: Selected      Original List     All Versions       All Abstracts       Legend
1.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Dalessandro, Antonio
Independent
Neugebauer, Matthias
Fitch Ratings Inc.
Triki, Fares
Paris School of Economics, Pantheon Sorbonne University
Posted:
19 Mar 08
Last Revised:
05 Oct 08
4,353
(887)
5

2.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Masetti, Massimo
Royal Bank of Scotland (RBS)
Posted:
09 May 05
3,159
(1,531)
3

3.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Posted:
05 Nov 11
Last Revised:
18 Jun 12
2,522
(2,323)
4

4.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Morini, Massimo
Banca IMI
Posted:
02 Jun 04
2,185
(2,979)
5

5.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Pallavicini, Andrea
Imperial College London - Department of Mathematics
Posted:
23 Aug 06
Last Revised:
31 Mar 08
1,475
(5,914)
3

6.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Mercurio, Fabio
Bloomberg L.P.
Rapisarda, Francesco
Method Investments and Advisory LTD
Scotti, Rita
affiliation not provided to SSRN
Posted:
29 Apr 01
1,291
(7,358)
7

7.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Tarenghi, Marco
Mediobanca
Posted:
25 Aug 04
1,185
(8,502)
13

8.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Posted:
03 Jan 05
1,102
(9,567)
11

9.   Incl. Electronic Paper
Brigo, Damiano
Imperial College London - Department of Mathematics
Chourdakis, Kyriakos
FitchSolutions
Posted:
19 May 08
Last Revised:
01 Dec 09
1,095
(9,674)
24

10.  
Torresetti, Roberto
Banco Popolare
Brigo, Damiano
Imperial College London - Department of Mathematics
Pallavicini, Andrea
Imperial College London - Department of Mathematics
Posted:
25 Nov 06
1,092
(9,731)
3

11.  
Torresetti, Roberto
Banco Popolare
Brigo, Damiano
Imperial College London - Department of Mathematics
Pallavicini, Andrea
Imperial College London - Department of Mathematics
Posted:
14 May 06
1,002
(11,134)
10

12.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Capponi, Agostino
Johns Hopkins University - Department of Applied Mathematics and Statistics
Posted:
19 Dec 08
Last Revised:
19 Nov 09
951
(12,047)
17

13.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Pallavicini, Andrea
Imperial College London - Department of Mathematics
Torresetti, Roberto
Banco Popolare
Posted:
31 Dec 09
Last Revised:
18 Feb 10
823
(15,039)
4

14.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Posted:
28 Feb 04
761
(16,876)
8

15.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Morini, Massimo
Banca IMI
Posted:
03 Jan 08
Last Revised:
03 Feb 08
736
(17,706)
2

16.  
Pallavicini, Andrea
Imperial College London - Department of Mathematics
Perini, Daniele
Mediobanca
Brigo, Damiano
Imperial College London - Department of Mathematics
Posted:
07 Dec 11
721
(18,286)
6

17.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Mauri, Gianvittorio
Banca IMI
Mercurio, Fabio
Bloomberg L.P.
Posted:
11 Jul 01
712
(18,571)
21

18.  
Errais, Eymen
Stanford University
Ben Ameur, Hatem
HEC Montreal - Department of Management Sciences
Brigo, Damiano
Imperial College London - Department of Mathematics
Posted:
06 May 05
658
(20,821)
1

19.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Chourdakis, Kyriakos
FitchSolutions
Bakkar, Imane
Fitch Ratings Inc. - FitchSolutions
Posted:
24 Jun 08
587
(24,339)
 

20.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Pallavicini, Andrea
Imperial College London - Department of Mathematics
Torresetti, Roberto
Banco Popolare
Posted:
11 May 06
Last Revised:
30 Apr 10
585
(24,462)
31

21.  
Beumee, Johan G. B.
MP Capital
Brigo, Damiano
Imperial College London - Department of Mathematics
Schiemert, Daniel
affiliation not provided to SSRN
Stoyle, Gareth
affiliation not provided to SSRN
Posted:
09 Apr 09
Last Revised:
02 Oct 09
504
(29,985)
4

22.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Mercurio, Fabio
Bloomberg L.P.
Posted:
30 Nov 01
503
(30,066)
5

23.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Pallavicini, Andrea
Imperial College London - Department of Mathematics
Papatheodorou, Vasileios
Barclays Capital
Posted:
17 Nov 09
Last Revised:
04 Feb 10
473
(32,588)
11

24.  
Torresetti, Roberto
Banco Popolare
Brigo, Damiano
Imperial College London - Department of Mathematics
Pallavicini, Andrea
Imperial College London - Department of Mathematics
Posted:
28 Sep 06
454
(34,400)
9

25.  
Pallavicini, Andrea
Imperial College London - Department of Mathematics
Perini, Daniele
Mediobanca
Brigo, Damiano
Imperial College London - Department of Mathematics
Posted:
14 Oct 12
Last Revised:
12 Dec 12
411
(39,070)
7

26.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Mercurio, Fabio
Bloomberg L.P.
Posted:
30 Nov 01
411
(38,949)
 

27.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Posted:
03 Nov 03
405
(39,669)
4

28.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Predescu, Mirela
BNP Paribas, London
Capponi, Agostino
Johns Hopkins University - Department of Applied Mathematics and Statistics
Posted:
05 Mar 10
Last Revised:
12 Sep 11
404
(39,916)
3

29.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Capponi, Agostino
Johns Hopkins University - Department of Applied Mathematics and Statistics
Pallavicini, Andrea
Imperial College London - Department of Mathematics
Papatheodorou, Vasileios
Barclays Capital
Posted:
20 Jan 11
389
(41,667)
11

30.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Morini, Massimo
Banca IMI
Posted:
18 Nov 10
Last Revised:
22 Feb 11
373
(43,848)
9

31.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Tarenghi, Marco
Mediobanca
Posted:
06 Apr 05
362
(45,431)
6

32.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Cousot, Laurent
BNP Paribas
Posted:
16 Sep 04
361
(45,576)
9

33.  
Pallavicini, Andrea
Imperial College London - Department of Mathematics
Brigo, Damiano
Imperial College London - Department of Mathematics
Posted:
04 Apr 13
350
(47,233)
2

34.  
Brigo, Damiano
Imperial College London - Department of Mathematics
El-Bachir, Naoufel
University of Reading - ICMA Centre
Posted:
08 Dec 06
339
(49,129)
3

35.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Pallavicini, Andrea
Imperial College London - Department of Mathematics
Posted:
01 Dec 13
Last Revised:
10 Dec 13
271
(63,743)
 

36.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Morini, Massimo
Banca IMI
Tarenghi, Marco
Mediobanca
Posted:
04 Jan 10
260
(66,718)
1

37.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Pallavicini, Andrea
Imperial College London - Department of Mathematics
Torresetti, Roberto
Banco Popolare
Posted:
14 Jan 07
237
(73,574)
7

38.  
Albanese, Claudio
King's College London - Department of Mathematics
Brigo, Damiano
Imperial College London - Department of Mathematics
Oertel, Frank
University of Southampton - School of Mathematics
Posted:
07 Dec 11
Last Revised:
24 Jun 12
229
(76,287)
2

39.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Pallavicini, Andrea
Imperial College London - Department of Mathematics
Posted:
17 Jan 14
197
(88,969)
 

40.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Buescu, Cristin
King's College London, Department of Mathematics
Pallavicini, Andrea
Imperial College London - Department of Mathematics
Liu, Qing Daphne
Imperial College London-Department of Mathematics
Posted:
10 Jul 12
Last Revised:
17 Jul 12
197
(88,969)
4

41.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Garcia, Joao
Fitch Solutions
Pede, Nicola
Imperial College London
Posted:
27 Feb 13
195
(89,854)
1

42.  
An Exact Formula for Default Swaptions' Pricing in the SSRJD Stochastic Intensity Model | Show Abstract | Download |
ICMA Centre Discussion Papers in Finance No. 2007-14
Working Paper Series
Brigo, Damiano
Imperial College London - Department of Mathematics
El-Bachir, Naoufel
University of Reading - ICMA Centre
Posted:
14 Nov 07
194
(90,258)
16

43.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Nordio, Claudio
Banco Popolare
Posted:
21 Sep 10
Last Revised:
22 Oct 10
186
(93,969)
1

44.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Buescu, Cristin
King's College London, Department of Mathematics
Morini, Massimo
Banca IMI
Posted:
21 Jun 11
166
(104,349)
2

45.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Di Graziano, Giuseppe
Deutsche Bank AG
Posted:
11 Apr 13
Last Revised:
10 May 14
151
(113,582)
 

46.  
Nonlinear Valuation Under Collateral, Credit Risk and Funding Costs: A Numerical Case Study Extending Black-Scholes | Show Abstract | Download |
Veronesi, P. (Editor), Handbook in Fixed-Income Securities, Wiley, 2014
Accepted Paper Series
Brigo, Damiano
Imperial College London - Department of Mathematics
Liu, Qing Daphne
Imperial College London-Department of Mathematics
Pallavicini, Andrea
Imperial College London - Department of Mathematics
Sloth, David
Danske Bank - Danske Markets
Posted:
29 Apr 14
138
(122,722)
 

47.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Rapisarda, Francesco
Method Investments and Advisory LTD
Sridi, Abir
University of Paris 1 Pantheon-Sorbonne
Posted:
01 Mar 13
104
(152,541)
 

48.  
Sarais, Gabriele
Imperial College London - Department of Mathematics
Brigo, Damiano
Imperial College London - Department of Mathematics
Posted:
31 Mar 14
Last Revised:
27 Jul 14
57
(217,994)
 

49.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Mai, Jan-Frederik
Technische Universität München (TUM) - HVB Institute for Mathematical Finance
Scherer, Matthias A.
Technische Universität München (TUM)
Posted:
05 Jun 13
Last Revised:
02 May 14
28
(287,492)
 

50.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Chourdakis, Kyriakos
University of Essex - Centre for Computational Finance and Economic Agents
Posted:
29 Apr 12
27
(290,911)
 

51.  
No‐Armageddon Measure for Arbitrage‐Free Pricing of Index Options in a Credit Crisis | Show Abstract | Download |
Mathematical Finance, Vol. 21, Issue 4, pp. 573-593, 2011
Accepted Paper Series
Morini, Massimo
Banca IMI
Brigo, Damiano
Imperial College London - Department of Mathematics
Posted:
23 Aug 11
2
(394,359)
5

52.  
An Exact Formula for Default Swaptions’ Pricing in the SSRJD Stochastic Intensity Model | Show Abstract | Download |
Mathematical Finance, Vol. 20, Issue 3, pp. 365-382, July 2010
Accepted Paper Series
Brigo, Damiano
Imperial College London - Department of Mathematics
El-Bachir, Naoufel
University of Reading - ICMA Centre
Posted:
08 Jun 10
2
(394,359)
16

53.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Capponi, Agostino
Johns Hopkins University - Department of Applied Mathematics and Statistics
Pallavicini, Andrea
Imperial College London - Department of Mathematics
Posted:
13 Dec 13
0
(413,399)
4


Records 1 - 53 of 53 matches
[ 1 ]

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo7 in 0.578 seconds