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Brigo, Damiano


 SSRN Author Rank: 252 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

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. Brigo, Damiano's Scholarly Papers Click on the title of any column to sort the table by that column.
Aggregate Statistics
Total
Downloads
37,504
Total
Citations
327
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
4,613
(865)
5

2.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Masetti, Massimo
Royal Bank of Scotland (RBS)
Posted:
09 May 05
3,278
(1,568)
3

3.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Posted:
05 Nov 11
Last Revised:
18 Jun 12
2,785
(2,139)
4

4.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Morini, Massimo
Banca IMI
Posted:
02 Jun 04
2,219
(3,176)
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
1,514
(6,154)
3

6.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Mercurio, Fabio
Bloomberg L.P.
Rapisarda, Francesco
Bloomberg L.P.
Scotti, Rita
affiliation not provided to SSRN
Posted:
29 Apr 01
1,306
(7,885)
7

7.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Tarenghi, Marco
Mediobanca
Posted:
25 Aug 04
1,198
(9,146)
13

8.   Incl. Electronic Paper
Brigo, Damiano
Imperial College London - Department of Mathematics
Chourdakis, Kyriakos
University of Essex - Centre for Computational Finance and Economic Agents
Posted:
19 May 08
Last Revised:
01 Dec 09
1,124
(10,111)
24

9.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Posted:
03 Jan 05
1,120
(10,183)
11

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
1,113
(10,288)
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
1,014
(11,945)
10

12.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Capponi, Agostino
Columbia University
Posted:
19 Dec 08
Last Revised:
19 Nov 09
1,000
(12,194)
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
851
(15,590)
4

14.  
Pallavicini, Andrea
Imperial College London - Department of Mathematics
Perini, Daniele
Mediobanca
Brigo, Damiano
Imperial College London - Department of Mathematics
Posted:
07 Dec 11
796
(17,250)
7

15.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Posted:
28 Feb 04
786
(17,547)
8

16.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Morini, Massimo
Banca IMI
Posted:
03 Jan 08
Last Revised:
03 Feb 08
748
(18,846)
2

17.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Mauri, Gianvittorio
Banca IMI
Mercurio, Fabio
Bloomberg L.P.
Posted:
11 Jul 01
736
(19,300)
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
666
(22,272)
1

19.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Chourdakis, Kyriakos
FitchSolutions
Bakkar, Imane
Fitch Ratings Inc. - FitchSolutions
Posted:
24 Jun 08
597
(25,964)
 

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
595
(26,072)
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
544
(29,511)
4

22.  
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
519
(31,372)
9

23.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Mercurio, Fabio
Bloomberg L.P.
Posted:
30 Nov 01
517
(31,535)
5

24.  
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
484
(34,333)
12

25.  
Pallavicini, Andrea
Imperial College London - Department of Mathematics
Brigo, Damiano
Imperial College London - Department of Mathematics
Posted:
04 Apr 13
458
(36,864)
2

26.  
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
(37,305)
9

27.  
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
446
(38,241)
 

28.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Predescu, Mirela
BNP Paribas, London
Capponi, Agostino
Columbia University
Posted:
05 Mar 10
Last Revised:
12 Sep 11
420
(41,112)
3

29.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Mercurio, Fabio
Bloomberg L.P.
Posted:
30 Nov 01
411
(42,263)
 

30.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Posted:
03 Nov 03
410
(42,400)
4

31.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Capponi, Agostino
Columbia University
Pallavicini, Andrea
Imperial College London - Department of Mathematics
Papatheodorou, Vasileios
Barclays Capital
Posted:
20 Jan 11
403
(43,300)
12

32.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Morini, Massimo
Banca IMI
Posted:
18 Nov 10
Last Revised:
22 Feb 11
399
(43,849)
9

33.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Cousot, Laurent
BNP Paribas
Posted:
16 Sep 04
371
(47,797)
9

34.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Tarenghi, Marco
Mediobanca
Posted:
06 Apr 05
364
(48,930)
6

35.  
Brigo, Damiano
Imperial College London - Department of Mathematics
El-Bachir, Naoufel
University of Reading - ICMA Centre
Posted:
08 Dec 06
341
(53,019)
3

36.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Pallavicini, Andrea
Imperial College London - Department of Mathematics
Posted:
17 Jan 14
320
(57,196)
 

37.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Garcia, Joao
Fitch Solutions
Pede, Nicola
Imperial College London
Posted:
27 Feb 13
301
(61,366)
1

38.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Morini, Massimo
Banca IMI
Tarenghi, Marco
Mediobanca
Posted:
04 Jan 10
266
(70,325)
1

39.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Pallavicini, Andrea
Imperial College London - Department of Mathematics
Torresetti, Roberto
Banco Popolare
Posted:
14 Jan 07
248
(75,776)
7

40.  
Albanese, Claudio
King's College London - Department of Mathematics
Brigo, Damiano
Imperial College London - Department of Mathematics
Oertel, Frank
Deloitte, FSI Assurance - Quantitative Services & Valuation
Posted:
07 Dec 11
Last Revised:
24 Jun 12
242
(77,812)
2

41.  
Nonlinear Valuation Under Collateral, Credit Risk and Funding Costs: A Numerical Case Study Extending Black-Scholes | Show Abstract | Download This Paper |
Veronesi, P. (Editor), Handbook in Fixed-Income Securities, Wiley, 2014
Number of Pages in PDF File: 28
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
224
(84,381)
 

42.  
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
223
(84,756)
6

43.  
An Exact Formula for Default Swaptions' Pricing in the SSRJD Stochastic Intensity Model | Show Abstract | Download This Paper |
ICMA Centre Discussion Papers in Finance No. 2007-14
Number of Pages in PDF File: 18
Brigo, Damiano
Imperial College London - Department of Mathematics
El-Bachir, Naoufel
University of Reading - ICMA Centre
Posted:
14 Nov 07
196
(96,487)
16

44.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Di Graziano, Giuseppe
Deutsche Bank AG
Posted:
11 Apr 13
Last Revised:
10 May 14
193
(97,887)
 

45.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Nordio, Claudio
Banco Popolare
Posted:
21 Sep 10
Last Revised:
22 Oct 10
193
(97,887)
1

46.  
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
176
(106,705)
2

47.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Rapisarda, Francesco
Bloomberg L.P.
Sridi, Abir
Université Paris I Panthéon-Sorbonne
Posted:
01 Mar 13
Last Revised:
24 Sep 14
155
(119,546)
 

48.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Sarais, Gabriele
Imperial College London - Department of Mathematics
Posted:
31 Mar 14
Last Revised:
17 Feb 15
77
(198,946)
 

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
37
(280,816)
 

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
32
(295,443)
 

51.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Durand, Cyril
Imperial College London - Department of Mathematics
Posted:
10 Oct 14
Last Revised:
15 Dec 14
17
(354,475)
 

52.  
No‐Armageddon Measure for Arbitrage‐Free Pricing of Index Options in a Credit Crisis | Show Abstract | Add to Cart |
Mathematical Finance, Vol. 21, Issue 4, pp. 573-593, 2011
Number of Pages in PDF File: 21
Morini, Massimo
Banca IMI
Brigo, Damiano
Imperial College London - Department of Mathematics
Posted:
23 Aug 11
2
(421,737)
5

53.  
An Exact Formula for Default Swaptions’ Pricing in the SSRJD Stochastic Intensity Model | Show Abstract | Add to Cart |
Mathematical Finance, Vol. 20, Issue 3, pp. 365-382, July 2010
Number of Pages in PDF File: 18
Brigo, Damiano
Imperial College London - Department of Mathematics
El-Bachir, Naoufel
University of Reading - ICMA Centre
Posted:
08 Jun 10
2
(421,737)
16

54.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Capponi, Agostino
Columbia University
Pallavicini, Andrea
Imperial College London - Department of Mathematics
Posted:
13 Dec 13
0
(440,815)
4


Records 1 - 54 of 54 matches
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