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
Expertise related to UN Sustainable Development Goals
In 2015, UN member states agreed to 17 global Sustainable Development Goals (SDGs) to end poverty, protect the planet and ensure prosperity for all. This person’s work contributes towards the following SDG(s):
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
Fingerprint
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)2033 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
2 Citations (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 AccessFile17 Citations (Scopus)175 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