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Damiano Brigo

SSRN Author Rank: 270 by Downloads and 1,836 by Citations

 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.imperial.ac.uk/people/damiano.brigo
 email address

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. Damiano Brigo's Scholarly Papers Click on the title of any column to sort the table by that column.
Aggregate Statistics
Total
Downloads
43,078
Total
Citations
304
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
University College London
Neugebauer, Matthias
Fitch Ratings Inc.
Triki, Fares
Paris School of Economics, Pantheon Sorbonne University
Posted:
19 Mar 08
Last Revised:
05 Oct 08
4,819
(924)
4

2.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Masetti, Massimo
Royal Bank of Scotland (RBS)
Posted:
09 May 05
3,361
(1,859)
3

3.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Posted:
05 Nov 11
Last Revised:
18 Jun 12
3,044
(1,897)
3

4.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Morini, Massimo
Banca IMI
Posted:
02 Jun 04
2,241
(3,974)
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
1,569
(6,725)
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
1,316
(9,756)
7

7.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Tarenghi, Marco
Mediobanca
Posted:
25 Aug 04
1,215
(10,877)
12

8.   Incl. Electronic Paper
Brigo, Damiano
Imperial College London - Department of Mathematics
Chourdakis, Kyriakos
FitchSolutions
Posted:
19 May 08
Last Revised:
01 Dec 09
1,176
(12,322)
22

9.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Posted:
03 Jan 05
1,138
(12,359)
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
1,126
(12,648)
3

11.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Capponi, Agostino
Columbia University
Posted:
19 Dec 08
Last Revised:
19 Nov 09
1,030
(13,809)
18

12.  
Torresetti, Roberto
Banco Popolare
Brigo, Damiano
Imperial College London - Department of Mathematics
Pallavicini, Andrea
Imperial College London - Department of Mathematics
Posted:
14 May 06
1,028
(14,650)
9

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
882
(17,608)
3

14.  
Pallavicini, Andrea
Imperial College London - Department of Mathematics
Perini, Daniele
Mediobanca
Brigo, Damiano
Imperial College London - Department of Mathematics
Posted:
07 Dec 11
847
(15,746)
6

15.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Posted:
28 Feb 04
824
(18,433)
8

16.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Morini, Massimo
Banca IMI
Posted:
03 Jan 08
Last Revised:
22 Jun 16
753
(21,985)
2

17.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Mauri, Gianvittorio
Banca IMI
Mercurio, Fabio
Bloomberg L.P.
Posted:
11 Jul 01
746
(23,115)
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
678
(26,586)
1

19.  
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
608
(29,494)
30

20.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Chourdakis, Kyriakos
FitchSolutions
Bakkar, Imane
Fitch Ratings Inc. - FitchSolutions
Posted:
24 Jun 08
607
(31,062)
 

21.  
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
597
(24,766)
8

22.  
Beumee, Johan G. B.
affiliation not provided to SSRN
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
596
(26,397)
4

23.  
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
554
(25,925)
 

24.  
Pallavicini, Andrea
Imperial College London - Department of Mathematics
Brigo, Damiano
Imperial College London - Department of Mathematics
Posted:
04 Apr 13
528
(32,245)
1

25.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Mercurio, Fabio
Bloomberg L.P.
Posted:
30 Nov 01
526
(35,776)
5

26.  
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
492
(40,648)
12

27.  
Torresetti, Roberto
Banco Popolare
Brigo, Damiano
Imperial College London - Department of Mathematics
Pallavicini, Andrea
Imperial College London - Department of Mathematics
Posted:
28 Sep 06
458
(45,068)
9

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
434
(45,191)
3

29.  
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
422
(45,191)
8

30.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Posted:
03 Nov 03
412
(52,397)
4

31.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Mercurio, Fabio
Bloomberg L.P.
Posted:
30 Nov 01
412
(51,351)
 

32.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Morini, Massimo
Banca IMI
Posted:
18 Nov 10
Last Revised:
22 Feb 11
410
(49,361)
11

33.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Pallavicini, Andrea
Imperial College London - Department of Mathematics
Posted:
17 Jan 14
381
(46,344)
 

34.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Cousot, Laurent
BNP Paribas
Posted:
16 Sep 04
380
(55,130)
8

35.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Tarenghi, Marco
Mediobanca
Posted:
06 Apr 05
371
(57,504)
5

36.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Garcia, Joao
Fitch Solutions
Pede, Nicola
Imperial College London - Department of Mathematics
Posted:
27 Feb 13
365
(43,742)
1

37.  
Brigo, Damiano
Imperial College London - Department of Mathematics
El-Bachir, Naoufel
University of Reading - ICMA Centre
Posted:
08 Dec 06
343
(63,259)
3

38.   Incl. Electronic Paper
Albanese, Claudio
CASS School of Business
Brigo, Damiano
Imperial College London - Department of Mathematics
Oertel, Frank
Deloitte, FSI Assurance - Quantitative Services & Valuation
Posted:
07 Dec 11
Last Revised:
27 Jun 16
287
(80,690)
1

39.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Morini, Massimo
Banca IMI
Tarenghi, Marco
Mediobanca
Posted:
04 Jan 10
276
(75,174)
1

40.  
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
256
(66,042)
 

41.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Pallavicini, Andrea
Imperial College London - Department of Mathematics
Torresetti, Roberto
Banco Popolare
Posted:
14 Jan 07
253
(91,049)
6

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
238
(84,638)
5

43.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Di Graziano, Giuseppe
Deutsche Bank AG
Posted:
11 Apr 13
Last Revised:
10 May 14
210
(95,335)
 

44.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Nordio, Claudio
Banco Popolare
Posted:
21 Sep 10
Last Revised:
22 Oct 10
203
(104,857)
1

45.  
Brigo, Damiano
Imperial College London - Department of Mathematics
El-Bachir, Naoufel
University of Reading - ICMA Centre
Posted:
14 Nov 07
199
(116,107)
13

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
194
(107,235)
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
185
(112,328)
 

48.  
Bormetti, Giacomo
University of Bologna - Department of Mathematics
Brigo, Damiano
Imperial College London - Department of Mathematics
Francischello, Marco
Imperial College London - Department of Mathematics
Pallavicini, Andrea
Imperial College London - Department of Mathematics
Posted:
31 Jul 15
Last Revised:
14 Sep 15
94
(143,534)
 

49.  
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
88
(190,618)
 

50.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Francischello, Marco
Imperial College London - Department of Mathematics
Pallavicini, Andrea
Imperial College London - Department of Mathematics
Posted:
02 Jun 15
Last Revised:
28 Nov 15
75
(178,866)
 

51.  
Borkowski, Tomasz
Capco
Brigo, Damiano
Imperial College London - Department of Mathematics
Cieciorski, Michal
Capco
Posted:
26 Jun 15
44
(228,052)
 

52.  
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
40
(291,358)
 

53.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Chourdakis, Kyriakos
University of Essex - Centre for Computational Finance and Economic Agents
Posted:
29 Apr 12
33
(312,565)
 

54.  
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
30
(279,274)
 

55.  
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
(504,041)
5

56.  
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
(504,041)
13

57.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Piat, Clément
Imperial College London - Department of Mathematics
Posted:
21 Sep 16
0
(336,441)
 

58.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Buescu, Cristin
King's College London, Department of Mathematics
Rutkowski, Marek
University of Sydney - School of Mathematics and Statistics
Posted:
20 Feb 16
0
(240,078)
 

59.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Pede, Nicola
Imperial College London - Department of Mathematics
Petrelli, Andrea
Credit Suisse Securities
Posted:
16 Dec 15
Last Revised:
22 Dec 15
0
(181,185)
 

60.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Pisani, Camilla
University of Aarhus - Department of Business and Economics
Rapisarda, Francesco
Bloomberg L.P.
Posted:
16 Dec 15
0
(353,140)
 

61.  
Efficient Pricing of Default Risk: Different Approaches for a Single Goal | Show Abstract | Download This Paper | Open PDF in Browser |
Journal of Financial Transformation, No. 13, March 2005, pp. 151-160.
Number of Pages in PDF File: 10
Brigo, Damiano
Imperial College London - Department of Mathematics
Morini, Massimo
Banca IMI
Posted:
17 Nov 15
0
(327,181)
 

62.  
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
(522,722)
4


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