//--> //--> //--> //-->
Toggle navigation
Logout
Change account settings
EN
DE
ES
FR
A-Z
Beta
About EconBiz
News
Thesaurus (STW)
Research Skills
Help
EN
DE
ES
FR
My account
Logout
Change account settings
Login
Publications
Events
Your search terms
Search
Retain my current filters
~person:"Brigo, Damiano"
~subject:"Derivat"
~subject:"Option pricing theory"
~subject:"Portfolio selection"
~type_genre:"Aufsatz in Zeitschrift"
~type_genre:"Glossar enthalten"
Search options
All Fields
Title
Exact title
Subject
Author
Institution
ISBN/ISSN
Published in...
Publisher
Open Access only
Advanced
Search history
My EconBiz
Favorites
Loans
Reservations
Fines
You are here:
Home
Das Reportgeschäft
Similar by subject
Narrow search
Delete all filters
| 6 applied filters
Year of publication
From:
To:
Subject
All
Derivat
Option pricing theory
Portfolio selection
Derivative
15
Theorie
11
Theory
11
Credit risk
10
Kreditrisiko
10
Collateral
6
Kreditsicherung
6
Optionspreistheorie
5
Counterparty risk
4
Swap
4
Yield curve
4
Zinsstruktur
4
credit valuation adjustment
4
Financial services
3
Finanzdienstleistung
3
Multivariate Verteilung
3
Multivariate distribution
3
Volatility
3
Volatilität
3
default correlation
3
CVA
2
Credit derivative
2
Funding costs
2
Hedging
2
Interest rate derivative
2
Kreditderivat
2
Risiko
2
Risikomanagement
2
Risk
2
Risk management
2
Zinsderivat
2
arbitrage-free credit valuation adjustment
2
bilateral CVA
2
collateral
2
credit spread volatility
2
gap risk
2
interest rate derivatives
2
stochastic intensity
2
more ...
less ...
Online availability
All
Undetermined
2
Type of publication
All
Article
15
Type of publication (narrower categories)
All
Aufsatz in Zeitschrift
Glossar enthalten
Article in journal
15
Aufsatz im Buch
1
Book section
1
Collection of articles of several authors
1
Handbook
1
Handbuch
1
Lehrbuch
1
Sammelwerk
1
Textbook
1
more ...
less ...
Language
All
English
15
Author
All
Brigo, Damiano
Lien, Da-hsiang Donald
46
Hull, John
32
Benth, Fred Espen
27
Jarrow, Robert A.
26
Kit, Pong Wong
20
Fabozzi, Frank J.
19
Irwin, Scott H.
18
García, Philip
16
Ryu, Doojin
16
Brooks, Robert
15
Carr, Peter
15
Chance, Don M.
15
Subrahmanyam, Marti G.
15
Wang, Xingchun
15
Webb, Robert I.
15
Whaley, Robert E.
15
White, Alan
15
Broll, Udo
14
Frino, Alex
13
Gouriéroux, Christian
13
Zimmermann, Heinz
13
Fung, Hung-gay
12
Escobar, Marcos
11
Faff, Robert W.
11
Moser, James T.
11
Odening, Martin
11
Barone-Adesi, Giovanni
10
Boyle, Phelim P.
10
Gay, Gerald D.
10
Kavussanos, Manolis G.
10
Longstaff, Francis A.
10
Pirrong, Craig
10
Platen, Eckhard
10
Tse, Yiuman
10
Bartram, Söhnke M.
9
Batten, Jonathan A.
9
Brenner, Menachem
9
Brorsen, B. Wade
9
Crépey, Stéphane
9
more ...
less ...
Published in...
All
International journal of theoretical and applied finance
6
Finance and stochastics
2
Journal of risk management in financial institutions
2
Mathematical finance : an international journal of mathematics, statistics and financial theory
2
Journal of financial engineering
1
Operations research letters
1
Quantitative finance
1
more ...
less ...
Source
All
ECONIS (ZBW)
15
Showing
1
-
10
of
15
Sort
relevance
articles prioritized
date (newest first)
date (oldest first)
1
Funding, repo and credit inclusive valuation as modified option pricing
Brigo, Damiano
;
Buescu, C.
;
Rutkowski, Marek
- In:
Operations research letters
45
(
2017
)
6
,
pp. 665-670
Persistent link: https://www.econbiz.de/10011783094
Saved in:
2
Impact of multiple curve dynamics in credit valuation adjustments under collateralization
Bormetti, Giacomo
;
Brigo, Damiano
;
Francischello, Marco
; …
- In:
Quantitative finance
18
(
2018
)
1
,
pp. 31-44
Persistent link: https://www.econbiz.de/10011905822
Saved in:
3
A note on the self-financing condition for funding, collateral and discounting
Brigo, Damiano
;
Buescu, Cristin
;
Pallavicini, Andrea
; …
- In:
International journal of theoretical and applied finance
18
(
2015
)
2
,
pp. 1-10
Persistent link: https://www.econbiz.de/10011403214
Saved in:
4
Lognormal-mixture dynamics and calibration to market volatility smiles
Brigo, Damiano
;
Mercurio, Fabio
- In:
International journal of theoretical and applied finance
5
(
2002
)
4
,
pp. 427-446
Persistent link: https://www.econbiz.de/10001682228
Saved in:
5
A deterministic-shift extension of analytically-tractable and time-homogeneous short-rate models
Brigo, Damiano
;
Mercurio, Fabio
- In:
Finance and stochastics
5
(
2001
)
3
,
pp. 369-387
Persistent link: https://www.econbiz.de/10001599290
Saved in:
6
Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model
Brigo, Damiano
;
Alfonsi, Aurélien
- In:
Finance and stochastics
9
(
2005
)
1
,
pp. 29-42
Persistent link: https://www.econbiz.de/10002497060
Saved in:
7
An exact formula for default swaptions' pricing in the SSRJD stochastic intensity model
Brigo, Damiano
;
El-Bachir, Naoufel
- In:
Mathematical finance : an international journal of …
20
(
2010
)
3
,
pp. 365-382
Persistent link: https://www.econbiz.de/10008665084
Saved in:
8
Risk-neutral versus objective loss distribution and CDO tranche valuation
Torresetti, Roberto
;
Brigo, Damiano
;
Pallavicini, Andrea
- In:
Journal of risk management in financial institutions
2
(
2008/09
)
2
,
pp. 175-192
Persistent link: https://www.econbiz.de/10003831749
Saved in:
9
Counterparty risk pricing : impact of closeout and first-to-default times
Brigo, Damiano
;
Buescu, Cristin
;
Morini, Massimo
- In:
International journal of theoretical and applied finance
15
(
2012
)
6
,
pp. 1-23
Persistent link: https://www.econbiz.de/10009672601
Saved in:
10
Arbitrage-free valuation of bilateral counterparty risk for interest-rate products : impact of volatilities and correlations
Brigo, Damiano
;
Pallavicini, Andrea
;
Papatheodorou, …
- In:
International journal of theoretical and applied finance
14
(
2011
)
6
,
pp. 773-802
Persistent link: https://www.econbiz.de/10009381011
Saved in:
1
2
Next
Last
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
//-->