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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
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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
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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
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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
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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
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Interest rate models - theory and practice : with smile, inflation and credit ; with 131 tables
Brigo, Damiano; Mercurio, Fabio - 2006 - 2. ed.
Persistent link: https://www.econbiz.de/10002116360
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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
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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
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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
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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