Professor Damiano Brigo
Telephone: +44 020 7848 2855
Email: damiano.brigo@kcl.ac.uk
Office: S5.35, Strand Building, Strand Campus
Title: Gilbart Professor in Financial Mathematics
Personal Website
Biography
Damiano Brigo is Gilbart Professor of Financial Mathematics at King's College, London. Prior to this Damiano worked as Managing Director and Global Head of the Quantitative team in Fitch Solutions, with a joint appointment as Visiting Professor at the Dept. of Mathematics of Imperial College, London. Earlier on Damiano worked as Head of Credit Models in Banca IMI and as Fixed Income Professor at Bocconi University in Milan.
Damiano has published more than 50 works in journals for Mathematical Finance, Systems Theory, Probability and Statistics, and a book for Springer Verlag that has become a field reference in stochastic interest rate modeling. Damiano has recently published a book for Wiley on Credit Models and the Crisis. Damiano is Managing Editor of the International Journal of Theoretical and Applied Finance, he has been a member of the Fitch Academic Advisory Board and is part of Scientific committees for academic conferences occurring at MIT and other academic and industry institutions.
Damiano has been listed as the most read author in defaultrisk.com, and as the most cited author in Risk Magazine in 2006. Damiano has also been a charter member of Risk Who's Who since 2007. Damiano obtained a Ph.D. in stochastic filtering with differential geometry in 1996 from the Free University of Amsterdam, following a BSc in Mathematics with honors from the University of Padua.
Research Interests
Professor Brigo's current interests in mathematical finance include valuation and pricing, risk measurement, credit and default modeling, counterparty risk, stochastic dynamical models for commodities and inflation, liquidity modeling and systemic risk. In probability and statistics the research centers on the interaction between the exponential statistical manifold and the dynamic features of stochastic processes laws, self-exciting non-Levy processes, nonlinear stochastic filtering, and stochastic processes consistent with mixtures of distributions.
Selection of Publications
Professor Brigo is Managing Editor of the International Journal of Theoretical and Applied Finance for World Scientific.
Books
D. Brigo, A. Pallavicini and R. Torresetti, Credit Models and the Crisis: A journey into CDOs, Copulas, Correlations and Dynamic Models. Wiley, 2010.
T. Bielecki, D. Brigo, and F. Patras (Editors). Credit Risk Frontiers: Sub- prime crisis, Pricing and Hedging, CVA, MBS, Ratings and Liquidity, Wiley, Forthcoming.
D. Brigo and F. Mercurio, Interest-Rate Models: Theory and Practice, Springer Verlag, 2001.
Journal Publications
D. Brigo, and El-Bachir, N. (2010). An exact formula for default swaptions' pricing in the SSRJD stochastic intensity model.Mathematical Finance,Volume 20, Issue 3, July 2010, Pages: 365-382.
Brigo, D. and Capponi, A. (2010). Bilateral counterparty risk with application to CDSs. Risk Magazine, March 2010
Brigo, D. and Morini, M. (2009). Last option before the armageddon. Risk Magazine, Sept 2009
Morini, M., and Brigo, D. (2009). No-Armageddon Arbitrage-free Equivalent Measure for Index options in a credit crisis. Accepted for publication in Mathematical Finance.
Brigo, D., Dalessandro, A., Neugebauer, M., and Triki, F. (2009). A Stochastic Processes Toolkit for Risk Management. Geometric Brownian Motion, jumps, GARCH and Variance Gamma models. Journal of Risk Management in Financial Institutions Vol. 2, 4 365–393
Brigo, D. and Chourdakis, K. (2009). Counterparty Risk for Credit Default Swaps: Impact of spread volatility and default correlation. International Journal of Theoretical and Applied Finance,vol. 12 (07), pages 1007-1026.
Brigo, D., and Bakkar, I. (2009). Accurate counterparty risk valuation for energy-commodities swaps. Energy Risk. March 2009 issue.
Torresetti, R., Brigo, D., and Pallavicini, A (2009). Risk-neutral versus objective loss distribution and CDO tranche valuation. Journal of Risk Management in Financial Institutions.Vol. 2, 2 175–192.
D. Brigo, E. Errais, and H. Ben Ameur (2009). Pricing Credit Default Swaps Bermudan Options: An Approximate Dynamic Programming Approach. Quantitative Finance, 9: 6, pp 717 — 726