2026 Damiano Brigo: Economics and Finance Researcher – H-Index, Publications & Awards

Discipline name	D-Index	World Ranking	Current World Ranking	National Ranking	Current National Ranking	Publications	Citations
Economics and Finance	41	2147	1941	254	231	304	11068

Overview

Damiano Brigo is affiliated with Imperial College London in the United Kingdom. Their research focuses primarily on the fields of economics, econometrics, and finance, with a substantial output of 38 publications.

Their work is categorized into several subfields, including:

Finance
Economics and Econometrics
Management Science and Operations Research
Applied Mathematics
Computational Mechanics

Main topics covered in their research encompass aspects of financial theory and applications such as:

Stochastic processes and financial applications
Financial Markets and Investment Strategies
Market Dynamics and Volatility
Complex Systems and Time Series Analysis
Stock Market Forecasting Methods
Risk and Portfolio Optimization
Financial Risk and Volatility Modeling

Damiano Brigo has contributed to various publication venues. Frequent venues include:

arXiv (Cornell University)
SSRN Electronic Journal
International Journal of Financial Engineering
Information Geometry
Mathematical Finance

Notable recent papers authored or co-authored by Damiano Brigo include:

Optimal trading: The importance of being adaptive (2021), International Journal of Financial Engineering
Optimal projection filters with information geometry (2023), Information Geometry
Option pricing models without probability: a rough paths approach (2021), Mathematical Finance
On the design of sovereign bond-backed securities (2021), International Journal of Financial Engineering
Coherent risk measures alone are ineffective in constraining portfolio losses (2021), Journal of Banking & Finance

Throughout their career, Damiano Brigo has collaborated frequently with several researchers, including:

John Armstrong
Federico Graceffa
Claudio Bellani
Alexander Kalinin
Andrea Pallavicini

Best Publications

Interest rate models : theory and practice : with smile, inflation and credit

Damiano Brigo;Fabio Mercurio

3259
Citations
Interest Rate Models - Theory and Practice

Damiano Brigo;Fabio Mercurio

1736
Citations
Counterparty Credit Risk, Collateral and Funding: With Pricing Cases For All Asset Classes

Damiano Brigo;Massimo Morini;Andrea Pallavicini

309
Citations
Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model

Damiano Brigo;Aurélien Alfonsi

225
Citations
COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION

Damiano Brigo;Kyriakos Chourdakis

222
Citations
Lognormal-mixture dynamics and calibration to market volatility smiles

Damiano Brigo;Fabio Mercurio

201
Citations
ARBITRAGE-FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS

Damiano Brigo;Agostino Capponi;Andrea Pallavicini

184
Citations
Counterparty Credit Risk, Collateral and Funding

Unknown

170
Citations
A differential geometric approach to nonlinear filtering: the projection filter

D. Brigo;B. Hanzon;F. LeGland

169
Citations
A deterministic-shift extension of analytically-tractable and time-homogeneous short-rate models

Damiano Brigo;Fabio Mercurio

155
Citations
Parameterizing correlations: a geometric interpretation

Francesco Rapisarda;Damiano Brigo;Fabio Mercurio

130
Citations
Credit Models and the Crisis: A journey into CDOs, Copulas, Correlations and Dynamic Models

Damiano Brigo;Andrea Pallavicini;Roberto Torresetti

127
Citations
Calibration of CDO Tranches with the Dynamical Generalized-Poisson Loss Model

Damiano Brigo;Andrea Pallavicini;Roberto Torresetti

126
Citations
Counterparty Risk and Funding: A Tale of Two Puzzles

Stéphane Crépey;Tomasz R. Bielecki;Damiano Brigo

119
Citations
A Stochastic Processes Toolkit for Risk Management

Damiano Brigo;Antonio Dalessandro;Matthias Neugebauer;Fares Triki

119
Citations
Approximate nonlinear filtering by projection on exponential manifolds of densities

Damiano Brigo;Bernard Hanzon;François Le Gland

118
Citations
A Stochastic Processes Toolkit for Risk Management

Damiano Brigo;Antonio Dalessandro;Antonio Dalessandro;Matthias Neugebauer;Fares Triki

103
Citations
Counterparty Risk Pricing under Correlation between Default and Interest Rates

Damiano Brigo;Andrea Pallavicini

102
Citations
Bilateral counterparty risk with application to CDSs

Damiano Brigo;A Capponi

98
Citations
Candidate Market Models and the Calibrated CIR++ Stochastic Intensity Model for Credit Default Swap Options and Callable Floaters

Damiano Brigo

96
Citations
Approximated moment-matching dynamics for basket-options pricing

Damiano Brigo;Fabio Mercurio;Francesco Rapisarda;Rita Scotti

95
Citations
Funding Valuation Adjustment: a consistent framework including CVA, DVA, collateral,netting rules and re-hypothecation

Andrea Pallavicini;Daniele Perini;Damiano Brigo

89
Citations

Frequent Co-Authors

Tomasz R. Bielecki Illinois Institute of Technology

Monique Jeanblanc University of Évry Val d'Essonne

John C. Hull University of Toronto

External Links

Wikipedia of Damiano Brigo Personal website of Damiano Brigo Google Scholar page

If you think any of the details on this page are incorrect, let us know.

Related Online Degrees & Career Pathways

Exploring a career in Economics or Finance opens many pathways—especially with today’s flexible online degree options. For those looking to jumpstart their finance careers, online finance degrees provide practical skills and foundational knowledge, allowing students to learn at their own pace.

Ambitious professionals can pursue an mba in 6 months, accelerating their management training and business acumen. Meanwhile, those interested in specialized, entry-level finance roles will benefit from the best online bookkeeping courses, which offer targeted training for a fast start in the accounting field.

Career versatility can also be achieved with a degree in office administration. This path prepares students for vital administrative and organizational roles across various sectors—including finance and economics.

Each of these flexible online programs addresses the needs of modern learners, making them ideal for anyone aiming to advance in Economics, Finance, or related areas without putting their life or work on hold.