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On the consistency of jump-diffusion dynamics for FX rates under inversion

Graceffa, Federico; Brigo, Damiano; Pallavicini, Andrea - In: International journal of financial engineering 7 (2020) 4, pp. 1-17

Persistent link: https://www.econbiz.de/10012603771

Nonlinear valuation under credit, funding, and margins : existence, uniqueness, invariance, and disentanglement

Brigo, Damiano; Francischello, Marco; Pallavicini, Andrea - In: European journal of operational research : EJOR 274 (2019) 2, pp. 788-805

Persistent link: https://www.econbiz.de/10011990226

CDS options through candidate market models and the CDS-calibrated CIR++ stochastic intensity model

Brigo, Damiano - In: Credit risk : models, derivatives, and management, (pp. 393-425). 2008

Persistent link: https://www.econbiz.de/10003718585

Smile modeling in commodity markets

Nastasi, Emanuele; Pallavicini, Andrea; Sartorelli, Giulio - In: International journal of theoretical and applied finance 23 (2020) 3, pp. 1-28

Persistent link: https://www.econbiz.de/10012271006

Pricing commodity index options

Manzano-Herrero, Alberto Pedro; Nastasi, Emanuele; … - In: Quantitative finance 23 (2023) 2, pp. 297-308

Persistent link: https://www.econbiz.de/10014232638

A stochastic processes toolkit for risk management : Geometric Brownian motion, jumps, GARCH and variance gamma models

Brigo, Damiano; Dalessandro, Antonio; Neugebauer, Matthias - In: Journal of risk management in financial institutions 2 (2008/09) 4, pp. 365-393

Persistent link: https://www.econbiz.de/10003907277

A stochastic processes toolkit for risk management : mean reverting processes and jumps

Brigo, Damiano; Dalessandro, Antonio; Neugebauer, Matthias - In: Journal of risk management in financial institutions 3 (2009/10) 1, pp. 65-83

Persistent link: https://www.econbiz.de/10003939684

Credit models and the crisis : default cluster dynamics and the generalized Poisson loss model

Brigo, Damiano; Pallavicini, Andrew; Torresetti, Roberto - In: The journal of credit risk : published quarterly by … 6 (2010/11) 4, pp. 39-81

Persistent link: https://www.econbiz.de/10008807737

Option pricing impact of alternative continuous-time dynamics for discretely-observed stock prices

Brigo, Damiano; Mercurio, Fabio - In: Finance and stochastics 4 (2000) 2, pp. 147-159

Persistent link: https://www.econbiz.de/10001486694

Liquidity-Adjusted Market Risk Measures with Stochastic Holding Period

Brigo, Damiano - 2010

Within the context of risk integration, we introduce in risk measurement stochastic holding period (SHP) models. This is done in order to obtain a 'liquidity-adjusted risk measure' characterized by the absence of a fixed time horizon. The underlying assumption is that - due to changes on market...

Persistent link: https://www.econbiz.de/10013138014