Research output per year
Research output per year
Personal profile
Research interests
Pricing, risk measurement, credit, counterparty risk, and stochastic models for commodities and inflation
Education/Academic qualification
Doctor of Philosophy, Filtering By Projection on the Manifold of Exponential Densities, VU Amsterdam
Award Date: 1 Jan 1996
Bachelor of Science, University of Padua
Award Date: 1 Jan 1990
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Dive into the research topics where Damiano Brigo is active. These topic labels come from the works of this person. Together they form a unique fingerprint.
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Collaborations and top research areas from the last five years
Recent external collaboration on country/territory level. Dive into details by clicking on the dots or
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Nonlinear Valuation with XVAs: Two Converging Approaches
Brigo, D., Buescu, C., Francischello, M., Pallavicini, A. & Rutkowski, M., 2 Mar 2022, In: Mathematics. 10, 5, 31 p., 791.Research output: Contribution to journal › Article › peer-review
Open AccessFile3 Citations (Scopus)2015 Downloads (Pure) -
Coherent risk measures alone are ineffective in constraining portfolio losses
Armstrong, J. & Brigo, D., Sept 2021, In: Journal of Banking and Finance. 106315.Research output: Contribution to journal › Article › peer-review
1 Citation (Scopus) -
Non-Geometric Rough Paths on Manifolds
Armstrong, J., Brigo, D., Cass, T. & Rossi-Ferrucci, E., 29 Nov 2021, (Accepted/In press) In: JOURNAL OF THE LONDON MATHEMATICAL SOCIETY-SECOND SERIES.Research output: Contribution to journal › Article › peer-review
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Option pricing models without probability: a rough paths approach
Armstrong, J., Brigo, D., Cass, T. & Bellani, C., 5 May 2021, In: MATHEMATICAL FINANCE.Research output: Contribution to journal › Article › peer-review
4 Citations (Scopus) -
Risk managing tail-risk seekers: VaR and expected shortfall vs S-shaped utility
Armstrong, J. & Brigo, D., 1 Apr 2019, In: Journal of Banking and Finance. 101, p. 122-135 14 p.Research output: Contribution to journal › Article › peer-review
Open AccessFile15 Citations (Scopus)154 Downloads (Pure)
Projects
- 1 Finished
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Towards next generation energy systems models
Brigo, D. (Primary Investigator) & Shah, N. (Co-Investigator)
1/07/2011 → 30/06/2015
Project: Research
Activities
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on "Randomness and the future: Stochastic Differential Equations in finance" at infinitamente, Verona
Brigo, D. (Invited speaker)
Mar 2011 → …Activity: Participating in or organising an event › Participation in conference
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the C.R.E.D.I.T. conference 2010, Venice
Brigo, D. (Keynote/plenary speaker)
Oct 2010 → …Activity: Participating in or organising an event › Participation in conference
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the 4th Risk Management Institute Conference, University of Singapore,
Brigo, D. (Keynote/plenary speaker)
Jul 2010 → …Activity: Participating in or organising an event › Participation in conference
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the INAUGURAL MEETING of the SCOTTISH FINANCIAL RISK ACADEMY, Edinburgh, Nov 4, 2010
Brigo, D. (Keynote/plenary speaker)
2010 → …Activity: Participating in or organising an event › Participation in conference
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Scientific Committee AIFIRM (Italian Association for Financial Risk Managers)
Brigo, D. (Member)
2010 → …Activity: Other › Types of Business and Community - Work on advisory panel to industry or government or non-government organisation