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Brigo, Damiano


 SSRN Author Rank: 251 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
35,090
Total
Citations
314
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
4,315
(892)
5

2.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Masetti, Massimo
Royal Bank of Scotland (RBS)
Posted:
09 May 05
3,144
(1,527)
3

3.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Posted:
05 Nov 11
Last Revised:
18 Jun 12
2,472
(2,391)
4

4.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Morini, Massimo
Banca IMI
Posted:
02 Jun 04
2,179
(2,966)
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
1,467
(5,929)
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
1,290
(7,314)
7

7.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Tarenghi, Marco
Mediobanca
Posted:
25 Aug 04
1,181
(8,477)
13

8.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Posted:
03 Jan 05
1,097
(9,552)
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
1,094
(9,601)
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
1,089
(9,683)
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
(11,036)
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
944
(12,095)
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
819
(15,008)
4

14.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Posted:
28 Feb 04
758
(16,840)
8

15.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Morini, Massimo
Banca IMI
Posted:
03 Jan 08
Last Revised:
03 Feb 08
731
(17,722)
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
713
(18,369)
6

17.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Mauri, Gianvittorio
Banca IMI
Mercurio, Fabio
Bloomberg L.P.
Posted:
11 Jul 01
711
(18,448)
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
(20,649)
1

19.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Chourdakis, Kyriakos
FitchSolutions
Bakkar, Imane
Fitch Ratings Inc. - FitchSolutions
Posted:
24 Jun 08
587
(24,122)
 

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
(24,241)
31

21.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Mercurio, Fabio
Bloomberg L.P.
Posted:
30 Nov 01
501
(29,975)
5

22.  
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
499
(30,134)
4

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
469
(32,695)
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
(34,093)
9

25.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Mercurio, Fabio
Bloomberg L.P.
Posted:
30 Nov 01
410
(38,729)
 

26.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Posted:
03 Nov 03
405
(39,337)
4

27.  
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
402
(39,688)
5

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
401
(39,818)
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
388
(41,450)
11

30.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Morini, Massimo
Banca IMI
Posted:
18 Nov 10
Last Revised:
22 Feb 11
369
(44,067)
9

31.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Tarenghi, Marco
Mediobanca
Posted:
06 Apr 05
362
(45,080)
6

32.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Cousot, Laurent
BNP Paribas
Posted:
16 Sep 04
359
(45,514)
9

33.  
Brigo, Damiano
Imperial College London - Department of Mathematics
El-Bachir, Naoufel
University of Reading - ICMA Centre
Posted:
08 Dec 06
338
(48,883)
3

34.  
Pallavicini, Andrea
Imperial College London - Department of Mathematics
Brigo, Damiano
Imperial College London - Department of Mathematics
Posted:
04 Apr 13
337
(49,033)
1

35.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Morini, Massimo
Banca IMI
Tarenghi, Marco
Mediobanca
Posted:
04 Jan 10
258
(66,707)
1

36.  
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
257
(66,952)
 

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
(72,928)
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
226
(76,688)
2

39.  
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
(89,567)
16

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
192
(90,456)
3

41.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Nordio, Claudio
Banco Popolare
Posted:
21 Sep 10
Last Revised:
22 Oct 10
185
(93,681)
1

42.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Pallavicini, Andrea
Imperial College London - Department of Mathematics
Posted:
17 Jan 14
181
(95,620)
 

43.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Garcia, Joao
Fitch Solutions
Pede, Nicola
Imperial College London
Posted:
27 Feb 13
181
(95,620)
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
163
(105,283)
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
148
(114,680)
 

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
125
(132,841)
 

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
103
(152,418)
 

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
51
(227,994)
 

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
(285,114)
 

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
(288,484)
 

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
(390,313)
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
(390,313)
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
(408,747)
2


Records 1 - 53 of 53 matches
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