E-LIB Suche - Ergebnisse für: Brigo, Damiano

1

Mild to Classical Solutions for XVA Equations under Stochas..:

Brigo, Damiano ; Graceffa, Federico ; Kalinin, Alexander
SIAM Journal on Financial Mathematics. 15 (2024) 1 - p. 215-254 , 2024

Link: https://doi.org/10.1137/..

2

Projections of SDEs onto submanifolds:

Armstrong, John ; Brigo, Damiano ; Ferrucci, Emilio
Information Geometry. 7 (2023) S1 - p. 397-427 , 2023

Link: https://doi.org/10.1007/..

3

The importance of dynamic risk constraints for limited liab..:

Armstrong, John ; Brigo, Damiano ; Tse, Alex S. L.
Annals of Operations Research. 336 (2023) 1-2 - p. 861-898 , 2023

Link: https://doi.org/10.1007/..

4

Price Impact Without Averaging:

Bellani, Claudio ; Brigo, Damiano ; Pakkanen, Mikko S..
Applied Mathematical Finance. 30 (2023) 4 - p. 175-206 , 2023

Link: https://doi.org/10.1080/..

5

Optimal projection filters with information geometry:

Armstrong, John ; Brigo, Damiano ; Hanzon, Bernard
Information Geometry. 7 (2023) S1 - p. 525-540 , 2023

Link: https://doi.org/10.1007/..

6

Non‐geometric rough paths on manifolds:

Armstrong, John ; Brigo, Damiano ; Cass, Thomas.
Journal of the London Mathematical Society. 106 (2022) 2 - p. 756-817 , 2022

Link: https://doi.org/10.1112/..

7

Coherent risk measures alone are ineffective in constrainin..:

Armstrong, John ; Brigo, Damiano
Journal of Banking & Finance. 140 (2022) - p. 106315 , 2022

Link: https://doi.org/10.1016/..

8

Nonlinear Valuation with XVAs: Two Converging Approaches:

Brigo, Damiano ; Buescu, Cristin ; Francischello, Marco..
Mathematics. 10 (2022) 5 - p. 791 , 2022

Link: https://doi.org/10.3390/..

9

Option pricing models without probability: a rough paths ap..:

Armstrong, John ; Bellani, Claudio ; Brigo, Damiano.
Mathematical Finance. 31 (2021) 4 - p. 1494-1521 , 2021

Link: https://doi.org/10.1111/..

10

Price impact on term structure:

Brigo, Damiano ; Graceffa, Federico ; Neuman, Eyal
Quantitative Finance. 22 (2021) 1 - p. 171-195 , 2021

Link: https://doi.org/10.1080/..

11

Forecasting recovery rates on non-performing loans with mac..:

Bellotti, Anthony ; Brigo, Damiano ; Gambetti, Paolo.
International Journal of Forecasting. 37 (2021) 1 - p. 428-444 , 2021

Link: https://doi.org/10.1016/..

12

Mechanics of good trade execution in the framework of linea..:

Bellani, Claudio ; Brigo, Damiano
Quantitative Finance. 21 (2020) 1 - p. 143-163 , 2020

Link: https://doi.org/10.1080/..

13

SDEs with uniform distributions: Peacocks, conic martingale..:

Brigo, Damiano ; Jeanblanc, Monique ; Vrins, Frédéric
Stochastic Processes and their Applications. 130 (2020) 7 - p. 3895-3919 , 2020

Link: https://doi.org/10.1016/..

14

Nonlinear valuation under credit, funding, and margins: Exi..:

Brigo, Damiano ; Francischello, Marco ; Pallavicini, Andrea
European Journal of Operational Research. 274 (2019) 2 - p. 788-805 , 2019

Link: https://doi.org/10.1016/..

15

Risk managing tail-risk seekers: VaR and expected shortfall..:

Armstrong, John ; Brigo, Damiano
Journal of Banking & Finance. 101 (2019) - p. 122-135 , 2019

Link: https://doi.org/10.1016/..