Damiano Brigo

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Damiano Brigo (Venice Italy 1966) is an applied mathematician, and current Gilbart Chair of Financial Mathematics at King's College London, 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. This work has been further updated in 2010 leading to a volume for Wiley. 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 the Gilbart Chair of Financial Mathematics at King's College London, Visiting Professor at the Department of Mathematics of Imperial College 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, Pallavicini, A, and Torresetti, R, Credit Models and the Crisis: A Journey into CDOs, Copulas, Correlations and Dynamic Moels. Wiley, 2010.
  • 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.

External links

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