From Wikipedia, the free encyclopedia
Damiano Brigo (Venice Italy 1966) is an applied
mathematician known for a number of results in systems theory,
probability and mathematical finance.
Main
results
Brigo started his work with the development, with Bernard Hanzon
and Francois Le Gland (1998), of the projection filters, a family
of approximate nonlinear filters based on the differential geometry approach to
statistics, also related to information geometry. With Fabio Mercurio
(2002–2003), he has shown how to construct stochastic differential equations
consistent with mixture models, applying this to volatility
smile modeling in the context of local volatility models. With Aurelien
Alfonsi (2005), Brigo introduced new families of multivariate
distributions in statistics through the periodic copula function concept. Since 2002, Brigo
contributed to credit
derivatives modeling and counterparty risk, showing with
Pallavicini and Torresetti (2007) how data implied non-negligible
probability that several names defaulted together, showing some
large default clusters and a concrete risk of high losses in collateralized debt obligations prior to
the financial
crisis of 2007–2008. Overall Brigo authored more than forty
publications and co-authored the book Interest rate models:
theory and practice for Springer-Verlag, that quickly became
an international reference for stochastic dynamic interest rate
modeling in finance.
Current and past
affiliations
Brigo is currently Managing Director at Fitch Solutions in
London. Brigo has also been fixed income professor at the Bocconi
University of Milan, he is currently Visiting Professor at the
Department of Mathematics of Imperial College
in London and adjunct professor at the University of Essex. Brigo
is also Managing Editor of the International Journal of
Theoretical and Applied Finance for World Scientific. Brigo holds a PhD in
Mathematics from the Free University of Amsterdam.
Selected
publications
- Brigo, D, Mercurio, F, Interest Rate Models: Theory and
Practice - with Smile, Inflation and Credit, Heidelberg, Springer
Verlag, 2001, 2nd Edition 2006.
- Brigo, D, Hanzon, B, LeGland, F, A differential geometric
approach to nonlinear filtering: The projection filter, IEEE T
AUTOMAT CONTR, 1998, Vol: 43, Pages: 247 - 252, ISSN:
0018-9286
- Brigo, D, Hanzon, B, Le Gland, F, Approximate nonlinear
filtering by projection on exponential manifolds of densities,
BERNOULLI, 1999, Vol: 5, Pages: 495 - 534, ISSN: 1350-7265
- Brigo, D, On SDEs with marginal laws evolving in
finite-dimensional exponential families, STAT PROBABIL LETT, 2000,
Vol: 49, Pages: 127 - 134, ISSN: 0167-7152
- Brigo, D, Diffusion Processes, Manifolds of Exponential
Densities, and Nonlinear Filtering, In: Ole E. Barndorff-Nielsen
and Eva B. Vedel Jensen, editor, Geometry in Present Day Science,
World Scientific, 1999
- Brigo, D, Mercurio, F, Lognormal-mixture dynamics and
calibration to market volatility smiles, International Journal of
Theoretical and Applied Finance, 2002, Vol: 5, Pages: 427 -
446
- Brigo, D, Mercurio, F, Sartorelli, G, Alternative asset-price
dynamics and volatility smile, QUANT FINANC, 2003, Vol: 3, Pages:
173 - 183, ISSN: 1469-7688
- Alfonsi, A, Brigo, D, New families of copulas based on periodic
functions, COMMUN STAT-THEOR M, 2005, Vol: 34, Pages: 1437 - 1447,
ISSN: 0361-0926
- Brigo, D, Alfonsi, A, Credit default swap calibration and
derivatives pricing with the SSRD stochastic intensity model,
FINANC STOCH, 2005, Vol: 9, Pages: 29 - 42, ISSN: 0949-2984
- Brigo, D (2008), CDS Options through Candidate Market Models
and the CDS-Calibrated CIR++ Stochastic Intensity Model, In:
Wagner, N., editor, Credit Risk: Models, Derivatives and
Management, Taylor & Francis, 2008
- Brigo, D., Pallavicini, A. (2007). Counterparty Risk under
Correlation between Default and Interest Rates. In: Miller, J.,
Edelman, D., and Appleby, J. (Editors), Numerical Methods for
Finance, Chapman Hall.
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