Professor at Imperial College London
Prof. Damiano Brigo is Chair and co-Head of Mathematical Finance at Imperial College London. Formerly Gilbart Professor at King’s College and Managing Director at Fitch Ratings, Damiano published 90+ works in Mathematical Finance, Probability and Statistics, and field reference books in interest rate and credit modeling. Damiano has been the most cited author in Risk Magazine in 2006, 2010 and 2012. Damiano’s interests include valuation, risk management, credit risk, funding costs, stochastic models for commodities and inflation, algo trading and optimal execution, information geometry and stochastic differential geometry. Damiano holds a PhD in differential geometric stochastic filtering.
Impact of Robotics, RPA and AI on the insurance industry: challenges and opportunities, 2017, Journal of Financial Perspectives
Impact of multiple curve dynamics in credit valuation adjustments under collateralization, 2015, arXiv preprint arXiv:1507.08779.
Counterparty risk FAQ: credit VaR, PFE, CVA, DVA, closeout, netting, collateral, re-hypothecation, WWR, basel, funding, CCDS and margin lending, 2012, PFE, CVA, DVA, Closeout, Netting, Collateral, Re-Hypothecation, WWR, Basel, Funding, CCDS and Margin Lending (June 17, 2012).
Extrinsic projection of Ito SDEs on submanifolds with applications to nonlinear ltering, 2012
Constant maturity credit default swap pricing with market models, 2004, Available at SSRN 639022.
Restructuring Counterparty Credit Risk.