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Publications

Recent Publications

Books
T. Bielecki, D. Brigo, and F. Patras (Editors). Credit Risk Frontiers: Sub- prime crisis, Pricing and Hedging, CVA, MBS, Ratings and Liquidity, Wiley, 2011.

amazon.co.uk amazon.com

D. Brigo, A. Pallavicini and R. Torresetti, Credit Models and the Crisis: A journey into CDOs, Copulas, Correlations and Dynamic Models. Wiley, 2010. amazon.co.uk   amazon.com
D. Brigo and F. Mercurio, Interest-Rate Models: Theory and Practice, Springer Verlag, 2001. amazon.co.uk  amazon.com

2013 Publications

 

F. Pozzi, T. Di Matteo and T. Aste, "Better to invest in the periphery: risk spreading in financial filtered graphs", Scientific Reports (2013) accepted for publication.

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2012 Publications

   
Publications
Pennanen, T. and Aro, H. Stochastic modeling of mortality and financial markets, Scandinavian Actuarial Journal, to appear n/a

Pennanen, T. Introduction to convex optimization in financial markets, Mathematical Programming, 134(2012), pp.157-186

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Brigo, D, Buescu, C and Morini, M. (2012) 'Counterparty risk pricing: impact of closeout and first-to-default times'. International Journal of Theoretical and Applied Finance, Volume 15, Issue 6.
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Brigo, D., Capponi, A., and Pallavicini, A. (2012). Arbitrage-free bilateral counterparty risk valuation under collateralization and application to Credit Default Swaps. Accepted for publication in Mathematical Finance.

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T. Aste, Ruggero Gramatica, T. Di Matteo, "Random and frozen states in complex triangulations", Philosophical Magazine, Volume 92, Issue 1-3, (2012) 244-254.

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Raffaello Morales, T. Di Matteo, Ruggero Gramatica, Tomaso Aste, "Dynamical generalized Hurst exponent as a tool to monitor unstable periods in financial time series ", Physica A 391 (2012) 3180-3189

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Won-Min Song, T. Di Matteo, T. Aste, "Hierarchical information clustering by means of topologically embedded graphs", PLoS One 7(3)(2012) e31929

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Jozef Barunik, Tomaso Aste, T. Di Matteo, Ruipeng Liu, "Understanding the source of multifractality in financial markets", Physica A 391 (2012) 4234–4251.

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T. Aste, Ruggero Gramatica, T. Di Matteo, "Exploring complex networks via topological embedding on surfaces", Physical Review E 86 (2012) 036109.

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F. Pozzi, T. Di Matteo and T. Aste, "Exponential Smoothing Weighted Correlations", The European Physical Journal B 85 (2012) 175. [+Erratum EPJB 85, n.8 (2012) 295]

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Won-Min Song, T. Di Matteo, T. Aste, "Building complex networks with Platonic solids", Physical Review E 85, No. 4 (2012) 046115

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L.P. Hughston and A. Macrina (2012) Pricing Fixed-Income Securities in an Information-Based Framework. To appear in: Applied Mathematical Finance. arXiv.org: 0911.1610 arXiv
J. Akahori and A. Macrina (2012) Heat Kernel Interest Rate Models with Time-Inhomogeneous Markov Processes. To appear in: International Journal of Theoretical and Applied Finance. arXiv.org: 1012.1878 arXiv
U. Horst, M. Kupper, A. Macrina, and C. Mainberger (2012) Continuous Equilibrium in Affine and Information-Based Capital Asset Pricing Models. arXiv.org: 1201.1840 arXiv

Pennanen, T. Dual representation of superhedging costs in illiquid markets, Mathematics and Financial Economics, 5(2012), pp.233-248.

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Pennanen, T and Perkkiö, A.-P. Stochastic programs without duality gaps, Mathematical Programming, to appear.

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Pennanen, T. and Malo, P. Reduced form modeling of limit order markets, Quantitative Finance, 12(2012), pp. 1025-1036

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2011 Publications
D. Brigo, A. Capponi, A. Pallavicini, V. Papatheodorou, 2011, Collateral Margining in Arbitrage-Free Counterparty Valuation Adjustment including Re-Hypotecation and Netting. arXiv 
D. Brigo, C. Buescu, M. Morini, 2011, Impact of the first to default time on Bilateral CVA.  arXiv

Brigo, D. and Morini, M. (2011). No-Armageddon Arbitrage-free Equivalent Measure for Index options in a credit crisis. Mathematical Finance,Vol. 21, Issue 4, pp. 573-593

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Brigo, D., Pallavicini, A., and Papatheodorou, V. (2011). Arbitrage-free valuation of bilateral counterparty risk for interest-rate produvts: Impact of volatilities and correlations. International Journal of Theoretical and Applied Finance, Vol. 14, No. 6 (2011) 773–80

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Brigo D., and D'Ecclesia, R. (Eds) (2011). Special issue on the 2010 Risk Management Summer School, Rome, Journal of Risk Management in Financial Institutions, Volume 4, Number 3

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Brigo D., Pallavicini, A., and Torresetti, R. (2011). Credit models and the crisis: An Overview, Journal of Risk Management in Financial Institutions, Volume 4, Number 3, pp 243 -- 253

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Brigo, D., and Morini, M. (2011). Closeout Conventions Tension. Risk Magazine, December issue

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Brigo, D., Pallavicini, A. and Torresetti, R. (2011). Credit Models and the Crisis: default cluster dynamics and the Generalized Poisson Loss model. Journal of Credit Risk, Vol 6 N. 4, pp 39-81.

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Brigo, D., and Morini, M. (2011). Rethinking Counterparty Default. Credit flux, N. 114, pp 18-19.

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Won-Min Song, T. Di Matteo, T. Aste, "Nested Hierarchy in planar graphs", Discrete Applied Mathematics 159 (2011) 2135-2146

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E. Hoyle, L.P. Hughston, and A. Macrina (2011) Levy Random Bridges and the Modelling of Financial Information. Stochastic Processes and Their Applications 121, 856-884. arXiv.org: 0912.3652 arXiv
D. Filipovic, L.P. Hughston, and A. Macrina (2011) Conditional density models for asset pricing. To appear in: International Journal of Theoretical and Applied Finance. arXiv.org: 0911.1610 arXiv
D.C. Brody, L.P. Hughston, and A. Macrina (2011) Credit Risk, Market Sentiment and Randomly-Timed Default. Stochastic Analysis 2010, D. Crisan, editor, Springer Verlag. arXiv.org: 1006.2909 arXiv
D.C. Brody, L.P. Hughston, and A. Macrina (2011) Modelling Information Flows in Financial Markets. Advanced Mathematical Methods for Finance, G. Di Nunno and B. Oksendal, editors, Springer Verlag. arXiv.org: 1004.4822 arXiv
A. Macrina and P.A. Parbhoo (2011) Randomised Mixture Models for Pricing Kernels. arXiv.org: 1112.2059 arXiv

Pennanen, T. Convex duality in stochastic programming and mathematical finance, Mathematics of Operations Research, 36 (2011), pp. 340-362.

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Pennanen, T, Hilli, P., Koivu, M. Cash-flow based valuation of pension liabilities, European Actuarial Journal, 1(2011), pp. 329-343.

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T. Pennanen and H. Aro, A user-friendly approach to stochastic mortality modelling, European Actuarial Journal, 1(2011), pp. 151-167.

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M. Riedle, Infinitely divisible cylindrical measures on Banach spaces, Studia Mathematica 207, (2011), 235-256. arXiv

M. Riedle, Cylindrical Wiener processes, Seminaire de Probabilites XLIII, Lecture Notes in Mathematics, Vol. 2006, (2011), 191 -- 214

arXiv

2010 Publications
D. Brigo, M. Morini, 2010, Dangers of Bilateral Counterparty Risk: the fundamental impact of closeout conventions arXiv or SSRN 

Brigo, D., Pallavicini, A. and Torresetti, R. (2010). Limits of Implied Credit Correlation Metrics Before and During the Crisis. In: Berd, A. (Editor), Lessons from the Financial Crisis: Insights from the greatest economic event of our lifetime, Risk Books, pp 283--318.   

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Brigo, D., Pallavicini, A. and Torresetti, R. (2010). Credit Models and the Crisis: default cluster dynamics and the Generalized Poisson Loss model. To appear in the Journal of Credit Risk.  n/a
W. Shaw, 2010, Monte Carlo Portfolio Optimization for General Investor Risk-Return Objectives and Arbitrary Return Distributions: a Solution for Long-only Portfolios  SSRN
D. Brigo, C. Nordio , 2010, Liquidity-Adjusted Market Risk Measures with Stochastic Holding Period SSRN or arXiv

T. Aste, W. Shaw, T. Di Matteo, "Correlation structure and dynamics in volatile markets", New J. Phys. 12 (2010) 085009

journal link
P. Emms, 2010. "Relative choice models for income drawdown in a defined contribution pension scheme". North American Actuarial Journal (to appear).  n/a

T. Aste and T. Di Matteo, "Introduction to Complex and Econophysics Systems: a navigation map", in "COMPLEX PHYSICAL, BIOPHYSICAL AND ECONOPHYSICAL SYSTEMS" in World Scientific Lecture Notes In Complex Systems - Vol. 9, edited by Robert L Dewar & Frank Detering (World Scientific, Singapore 2010). Chapter 1, 1-35

book details.

T. Di Matteo, F. Pozzi, T. Aste, "The use of dynamical networks to detect the hierarchical organization of financial market sectors", The European Physical Journal B 73 (2010) 3-11

Journal link.

Gary W. Delaney, T. Di Matteo and Tomaso Aste, "Combining tomographic imaging and DEM simulations to investigate the structure of experimental sphere packings", Soft Matter, Volume 6, Issue 13 (2010) 2992 – 3006

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T. Aste, G. W. Delaney, T. Di Matteo, "kGamma distributions in granular packs", in AIP Conference Proceedings Volume 1227, IUTAM-ISIMM SYMPOSIUM ON MATHEMATICAL MODELING AND PHYSICAL INSTANCES OF GRANULAR FLOWS, Reggio Calabria (Italy), 14–18 September 2009 ISBN: 978-0-7354-0772-5, Editor(s): Joe Goddard, University of California, Pasquale Giovine, Universitá Mediterranea di Reggio Calabria, James T. Jenkins, Cornell University, 2010, 157-166

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L.P. Hughston and A. Macrina, "Pricing Fixed-Income Securities in an Information-Based Framework" Kyoto Institute of Economic Research Discussion Paper No. 692, January 2010 arXiv:0911.1610
L.P. Hughston and A. Macrina (2010) Discrete-Time Interest-Rate Modelling. Proceedings of the 7th International ISAAC Congress (Ruzhansky, Wirth ed.), World Scientific Press. arXiv.org: 0911.0750 arXiv:0911.0750
E. Hoyle, L.P. Hughston, and A. Macrina (2010) Stable-1/2 Bridges and Insurance: a Bayesian approach to non-life reserving. arXiv.org: 1005.0496 arXiv
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 Earlier preprint version.
D. Brigo, A. Pallavicini and R. Torresetti, "Credit Models and the Crisis: A journey into CDOs, Copulas, Correlations and Dynamic Models". Wiley, 2010 Extract
T. Bielecki, D. Brigo, and F. Patras (Editors). "Credit Risk Frontiers: Sub- prime crisis, Pricing and Hedging, CVA, MBS, Ratings and Liquidity", Wiley.  n/a
Brigo, D. and Capponi, A. "Bilateral counterparty risk with application to CDSs". Risk Magazine, March 2010 Earlier extended version from arXiv

Brigo, D., Morini, M., and Tarenghi, M. (2010). Credit Calibration with Structural Models and Equity Return Swap valuation under Counterparty Risk. In: Bielecki, Brigo and Patras (Editors), Credit Risk Frontiers: Sub- prime crisis, Pricing and Hedging, CVA, MBS, Ratings and Liquidity, Wiley/Bloomberg Press, pp 457-484.   

Related earlier report.

D. Brigo, M. Predescu and A. Capponi (2010). Liquidity modeling for Credit Default Swaps: an overview. In: Bielecki, Brigo and Patras (Editors), , Credit Risk Frontiers: Sub- prime crisis, Pricing and Hedging, CVA, MBS, Ratings and Liquidity, Wiley/Bloomberg Press, pp. 587-617.   

Related earlier report.
J. Beumee, D. Brigo, G. Stoyle. "Charting a Course through the CDS big bang". In: Wigan, D. (Editor), Credit Derivatives: The March to Maturity, Thomson Reuters, 2010 Related earlier report.
Brigo, D., Pallavicini, A., and Papatheodorou, V. "Bilateral counterparty risk valuation for interest-rate products: impact of volatilities and correlations". arXiv preprint.
A. Macrina and P.A. Parbhoo (2010) Security Pricing with Information-Sensitive Discounting. Recent Advances in Financial Engineering 2009, Proceedings of the KIER-TMU International Workshop on Financial Engineering 2009. World Scientific Publishing. arXiv.org: 1001.3570 arXiv

2009 Publications
P. Emms, "Optimising income drawdown in the dual space". SSRN link.
P. Emms, "Lifetime investment and consumption using a defined-contribution pension scheme". SSRN link.
P. Emms and S. Haberman, "Optimal Management of an insurer's exposure in a competitive general insurance market". North American Actuarial Journal Vol 13, No, 1, pp. 77-105 link
K. Park, S. Kim, and W.T. Shaw, "Estimation of the Pricing of Bond Options on the Arbitrage-free Model with Jump using Stochastic Simulation Procedure," IEEE, Proceedings of the International Conference on Information Science and Engineering (ICISE 009), to appear.  n/a

T. Aste, T. Di Matteo, G. W. Delaney, "The pursuit of loosest packing", in AIP conference proceedings, Powders and Grains 2009, 6th International conference on Micromechanics of Granular Media, pp. 203 -206, 2009

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F. Pozzi, T. Aste, W. Shaw and T. Di Matteo, "The use of topological quantities to detect hierarchical properties in financial markets: the Financial sector in NYSE", in Proceedings of the 10th WSEAS Int. Conference on MATHEMATICS and COMPUTERS in BUSINESS and ECONOMICS (2009) ISSN: 1790 5109,   ISBN: 978-960-474-063-5, pp. 301-304.

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K. Park, S. Kim, and W.T. Shaw, "New Approach for the Pricing of Bond Option Using the Relation between the HJM Model and the BGM Model," Springer-Verlag, LNCS 5593, pp. 594-604, June 2009 (ICCSA 2009) journal link.
W.T. Shaw and A. Munir, 2009. Dependency without Copulas or Ellipticity, European Journal of Finance,Vol 15, Nos 7-8, October-December 2009, pp 661-674. Special Issue on Copulae and Multivariate Probability Distributions in Finance. DOI 10.1080/13518470802697402 Journal link.
W.T. Shaw and N. Brickman, 2009. Differential equations for Monte Carlo recycling and a GPU-optimized Normal quantile. Working paper. arXiv:0901.0638v3 [q-fin.CP]
E. Yu & W.T. Shaw, 2009, On the valuation of derivatives with snapshot reset features. International Journal of Theoretical and Applied Finance, Vol 11, Issue 8, 905-941. DOI 10.1142/S0219024908005081 Journal Link.
W.T. Shaw, 2009. A simple resolution of Stokes' paradox? Working paper arXiv:0901.3621v1 [physics.flu-dyn]

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