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~isPartOf:"Risk : managing risk in the world's financial markets"
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Brigo, Damiano
10
Mercurio, Fabio
3
Morini, Massimo
3
Pallavicini, Andrea
2
Capponi, Agostino
1
Rapisarda, Francesco
1
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Risk : managing risk in the world's financial markets
Papers / arXiv.org
36
International journal of theoretical and applied finance
11
International Journal of Theoretical and Applied Finance (IJTAF)
8
Journal of risk management in financial institutions
8
Finance and stochastics
6
Mathematical finance : an international journal of mathematics, statistics and financial theory
5
ICMA Centre Discussion Papers in Finance
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Discussion paper / Tinbergen Institute
3
European journal of operational research : EJOR
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Finance and Stochastics
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International journal of financial engineering
3
Quantitative Finance
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Quantitative finance
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Wiley finance
3
Bundesbank Discussion Paper
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Discussion paper / Tinbergen Institute / Tinbergen Institute
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Financial series
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Journal of banking & finance
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Journal of financial engineering
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The journal of credit risk : published quarterly by Incisive Media
2
The journal of derivatives : the official publication of the International Association of Financial Engineers
2
Applied mathematical finance
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CORE discussion papers : DP
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Credit Scoring and Credit Control Conference XVI
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Credit risk : models, derivatives, and management
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Insurance / Mathematics & economics
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Journal / The Capco Institute : journal of financial transformation
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Journal of Financial Transformation
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1
Operations research letters
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Options - 45 years since the publication of the Black-Scholes-Merton model : the Gershon Fintech Center Conference
1
Springer Finance
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Statistics & Probability Letters
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1
Credit risk - Close-out convention tensions
Brigo, Damiano
;
Morini, Massimo
- In:
Risk : managing risk in the world's financial markets
24
(
2011
)
12
,
pp. 74-79
Persistent link: https://www.econbiz.de/10009814479
Saved in:
2
Basel II - Uncertain ratios - Like their counterparts elsewhere, South African banks are bracing themselves for a round of changes to Basel II rules. But it is the implications for...
Brigo, Damiano
;
Capponi, Agostino
- In:
Risk : managing risk in the world's financial markets
23
(
2010
)
3
,
pp. 74-77
Persistent link: https://www.econbiz.de/10008396081
Saved in:
3
Credit derivatives - Last option before the armageddon - The authors show how the pricing of credit index options depends on the probability of a financial portfolio 'armageddon'....
Brigo, Damiano
;
Morini, Massimo
- In:
Risk : managing risk in the world's financial markets
22
(
2009
)
9
,
pp. 118-123
Persistent link: https://www.econbiz.de/10008314646
Saved in:
4
CUTTING EDGE - Hybrid products - Counterparty risk and CCDSs under correlation - Counterparty risk under correlation is relatively unexplored in the financial literature. Here, the...
Brigo, Damiano
;
Pallavicini, Andrea
- In:
Risk : managing risk in the world's financial markets
21
(
2008
)
2
,
pp. 84-88
Persistent link: https://www.econbiz.de/10007917925
Saved in:
5
CUTTING EDGE: Credit derivatives - Calibration of CDO tranches with the dynamical GPL model - Consistent calibration of a credit index and its tranches across maturities with a sin...
Brigo, Damiano
;
Pallavicini, Andrea
;
Torresetti, Roberto
- In:
Risk : managing risk in the world's financial markets
20
(
2007
)
5
,
pp. 70-75
Persistent link: https://www.econbiz.de/10007738041
Saved in:
6
CUTTING EDGE: CREDIT DERIVATIVES CMCDS valuation with market models - There is little, if any, literature available on constant maturity credit default swap valuation. Here, the au...
Brigo, Damiano
- In:
Risk : managing risk in the world's financial markets
19
(
2006
)
6
,
pp. 78-83
Persistent link: https://www.econbiz.de/10007379481
Saved in:
7
CUTTING EDGE: Credit derivatives - Structural credit calibration - The authors introduce first-passage models with time-varying volatility and random default barriers, while illust...
Brigo, Damiano
;
Morini, Massimo
- In:
Risk : managing risk in the world's financial markets
19
(
2006
)
4
,
pp. 78-83
Persistent link: https://www.econbiz.de/10007271019
Saved in:
8
Option pricing: Smile at the uncertainty - The authors propose an intuitive stochastic volatility model that allows for consistent revaluation of an options book and the calculatio...
Brigo, Damiano
;
Mercurio, Fabio
;
Rapisarda, Francesco
- In:
Risk : managing risk in the world's financial markets
17
(
2004
)
5
,
pp. 97-101
Persistent link: https://www.econbiz.de/10007027732
Saved in:
9
Interest rates - Calibrating Libor
Brigo, Damiano
;
Mercurio, Fabio
- In:
Risk : managing risk in the world's financial markets
15
(
2002
)
1
,
pp. 117-122
Persistent link: https://www.econbiz.de/10007039807
Saved in:
10
IMPLIED VOLATILITY: A MIXED-UP SMILE - Using lognormal mixtures to construct a local volatility model that is analytically tractable and can be flexibly calibrated to market data.
Brigo, Damiano
;
Mercurio, Fabio
- In:
Risk : managing risk in the world's financial markets
13
(
2000
)
9
,
pp. 123-126
Persistent link: https://www.econbiz.de/10007047801
Saved in:
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