Damiano Brigo : Citation Profile

13

H index

19

i10 index

746

Citations

RESEARCH PRODUCTION:

51

Articles

71

Papers

1

Books

6

Chapters

EDITOR:

2

Series edited

RESEARCH ACTIVITY:

   28 years (1998 - 2026). See details.
   Cites by year: 26
   Journals where Damiano Brigo has often published
   Relations with other researchers
   Recent citing documents: 62.    Total self citations: 68 (8.35 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pbr17
   Updated: 2026-09-26    RAS profile: 2026-09-14    
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Relations with other researchers

Works with:

Vrins, Frédéric (3)

Pallavicini, Andrea (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Damiano Brigo.

Is cited by:

Gnoatto, Alessandro (51)

Vrins, Frédéric (26)

Oosterlee, Cornelis (14)

Grzelak, Lech (14)

Ramponi, Alessandro (12)

Wang, Xingchun (10)

Bianchetti, Marco (9)

Alexander, Carol (9)

Arismendi Zambrano, Juan (8)

Albanese, Claudio (8)

Kimura, Herbert (8)

Cites to:

Pallavicini, Andrea (90)

Duffie, Darrell (16)

merton, robert (11)

Acerbi, Carlo (10)

Pedersen, Lasse (9)

Scholes, Myron (8)

Brunnermeier, Markus (8)

HUANG, MING (7)

Jamshidian, Farshid (7)

Albanese, Claudio (7)

Blake, David (6)

Main data

Where Damiano Brigo has published?

Journals with more than one article published# docs
International Journal of Theoretical and Applied Finance (IJTAF)11
Quantitative Finance7
Journal of Risk Management in Financial Institutions5
European Journal of Operational Research3
Finance and Stochastics3
International Journal of Financial Engineering (IJFE)3
Annals of Operations Research2
Statistics & Probability Letters2
Mathematical Finance2
Journal of Banking & Finance2
Journal of Financial Engineering (JFE)2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org59
LIDAM Reprints LFIN / Université catholique de Louvain, Louvain Finance (LFIN)3
ICMA Centre Discussion Papers in Finance / Henley Business School, University of Reading3
LIDAM Discussion Papers LFIN / Université catholique de Louvain, Louvain Finance (LFIN)2

Recent works citing Damiano Brigo (2026 and 2025)

YearTitle of citing document
2025The Volterra Stein-Stein model with stochastic interest rates. (2025). Motte, Edouard ; Hainaut, Donatien ; Jaber, Eduardo Abi. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2025003.

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2025On the distribution of the integral of a function with respect to a Brownian Bridge. (2025). Vrins, Frdric. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2025001.

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2026A CDS Option Miscellany. (2019). Martin, Richard J. In: Papers. RePEc:arx:papers:1201.0111.

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2025Everything You Always Wanted to Know About XVA Model Risk but Were Afraid to Ask. (2025). Bianchetti, Marco ; Scaringi, Marco ; Silotto, Lorenzo. In: Papers. RePEc:arx:papers:2107.10377.

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2025Pricing and hedging of SOFR derivatives. (2025). Bickersteth, Matthew ; Rutkowski, Marek. In: Papers. RePEc:arx:papers:2112.14033.

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2025Optimal Liquidation with Signals: the General Propagator Case. (2022). Neuman, Eyal ; Jaber, Eduardo Abi. In: Papers. RePEc:arx:papers:2211.00447.

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2026Optimal Portfolio Choice with Cross-Impact Propagators. (2024). Tuschmann, Sturmius ; Neuman, Eyal ; Jaber, Eduardo Abi. In: Papers. RePEc:arx:papers:2403.10273.

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2025Pricing and delta computation in jump-diffusion models with stochastic intensity by Malliavin calculus. (2025). Tahmasebi, Mahdieh ; Ahmadi, Ayub. In: Papers. RePEc:arx:papers:2405.00473.

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2026Credit Spreads Term Structure: Stochastic Modeling with CIR++ Intensity. (2024). ben Alaya, Mohamed ; Sarr, Djibril ; Kebaier, Ahmed. In: Papers. RePEc:arx:papers:2409.09179.

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2025Cross-Currency Basis Swaps Referencing Backward-Looking Rates. (2024). Rutkowski, Marek ; Liu, Ruyi ; Ding, Yining. In: Papers. RePEc:arx:papers:2410.08477.

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2026Volatility Parametrizations with Random Coefficients: Analytic Flexibility for Implied Volatility Surfaces. (2024). Grzelak, Lech A ; Perotti, Leonardo ; Zaugg, Nicola F. In: Papers. RePEc:arx:papers:2411.04041.

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2025Integrating the implied regularity into implied volatility models: A study on free arbitrage model. (2025). di Sciorio, Fabrizio ; Angelini, Daniele. In: Papers. RePEc:arx:papers:2502.07518.

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2025When defaults cannot be hedged: an actuarial approach to xVA calculations via local risk-minimization. (2025). Oberpriller, Katharina ; Gnoatto, Alessandro ; Biagini, Francesca. In: Papers. RePEc:arx:papers:2502.12774.

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2025Multi-Layer Deep xVA: Structural Credit Models, Measure Changes and Convergence Analysis. (2025). Andersson, Kristoffer ; Gnoatto, Alessandro. In: Papers. RePEc:arx:papers:2502.14766.

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2025Numerical analysis of a particle system for the calibrated Heston-type local stochastic volatility model. (2025). Reisinger, Christoph ; Tsianni, Maria Olympia. In: Papers. RePEc:arx:papers:2504.14343.

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2025Three-level qualitative classification of financial risks under varying conditions through first passage times. (2025). Bouthelier-Madre, Carlos ; Escudero, Carlos. In: Papers. RePEc:arx:papers:2507.08101.

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2025A Framework for Waterfall Pricing Using Simulation-Based Uncertainty Modeling. (2025). Nordio, Claudio ; Giada, Lorenzo ; Jean, Nicola ; le Pera, Giacomo. In: Papers. RePEc:arx:papers:2507.13324.

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2025Sharpening Shapley Allocation: from Basel 2.5 to FRTB. (2025). Bianchetti, Marco ; Scaringi, Marco. In: Papers. RePEc:arx:papers:2511.12391.

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2026SANOS Smooth strictly Arbitrage-free Non-parametric Option Surfaces. (2026). Limmer, Yannick ; Saqur, Raeid ; Buehler, Hans ; Horvath, Blanka ; Kratsios, Anastasis. In: Papers. RePEc:arx:papers:2601.11209.

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2026Application of Quasi Monte Carlo and Global Sensitivity Analysis to Option Pricing and Greeks. (2026). Kucherenko, Sergei ; Bianchetti, Marco ; Scoleri, Stefano. In: Papers. RePEc:arx:papers:2602.14354.

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2026Bid--Ask Martingale Optimal Transport. (2026). Tissot-Daguette, Valentin ; Sheng, Shunan ; Nutz, Marcel ; Liang, Bryan. In: Papers. RePEc:arx:papers:2603.24605.

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2026Ultra-short-term volatility surfaces. (2026). Reno, Roberto ; Gazzani, Guido ; Fusari, Nicola ; Bandi, Federico M. In: Papers. RePEc:arx:papers:2603.29430.

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2026Stochastic Volatility, Jumps, and Rates: A Unified Framework for Option Pricing and Term-Structure Simulation. (2026). Lesupi, Neo Paul ; Verma, Ajay Kumar ; Putri, Nunik Srikandi. In: Papers. RePEc:arx:papers:2605.27945.

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2026Valuation of GLWB-LTC Annuities with L\evy Equity Dynamics, Stochastic Interest Rates and Health-State Transitions. (2026). Molent, Andrea. In: Papers. RePEc:arx:papers:2605.30567.

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2026Mixture-Preserving, Arbitrage-Free Interpolation for Volatility-Surface Models. (2026). van den Berg, Thijs. In: Papers. RePEc:arx:papers:2606.12717.

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2026Semi-Analytical Pricing for General Default Intensity Models. (2026). Stedman, Mark ; Parker, Ryan ; Capriotti, Luca. In: Papers. RePEc:arx:papers:2606.21800.

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2026Pricing options on illiquid assets using liquid market benchmarks: an application to energy markets. (2026). Scrima, Edoardo ; Pigato, Paolo ; Caramellino, Lucia ; Aluigi, Federico. In: Papers. RePEc:arx:papers:2607.19030.

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2026One Other Option Pricing Scheme. (2026). Lin, Jimin. In: Papers. RePEc:arx:papers:2607.24680.

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2026Robust Hedging Valuation Adjustment for Deep Hedging Policies under Market Frictions. (2026). Sakuma, Takayuki. In: Papers. RePEc:arx:papers:2607.25258.

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2026Optimal Pricing and Hedging of SOFR Derivatives. (2026). Taoum, Waleed ; Pennanen, Teemu. In: Papers. RePEc:arx:papers:2608.10711.

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2026On randomization of affine diffusion processes with application to pricing of options on VIX and S&P 500. (2026). Grzelak, Lech A. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:508:y:2026:i:c:s0096300325003248.

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2026On deep learning for computing the dynamic initial margin and margin value adjustment. (2026). Villarino, Joel P ; Leitao, Alvaro. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:510:y:2026:i:c:s0096300325004059.

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2026American option pricing with model constrained Gaussian process regressions. (2026). Hainaut, Donatien. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:512:y:2026:i:c:s0096300325004722.

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2025Evaluation of counterparty credit risk under netting agreements. (2025). Tavasoli, Ahmadreza ; Breton, Michle. In: European Journal of Operational Research. RePEc:eee:ejores:v:320:y:2025:i:2:p:402-416.

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2025Industry return prediction via interpretable deep learning. (2025). Sermpinis, Georgios ; Iannino, Maria Chiara ; Psaradellis, Ioannis ; Zografopoulos, Lazaros. In: European Journal of Operational Research. RePEc:eee:ejores:v:321:y:2025:i:1:p:257-268.

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2025Business cycle and realized losses in the consumer credit industry. (2025). Roccazzella, Francesco ; Vrins, Frdric ; Distaso, Walter. In: European Journal of Operational Research. RePEc:eee:ejores:v:323:y:2025:i:3:p:1024-1039.

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2026Joint pricing of default-free and defaultable claims in a reduced-form model featuring a martingale part. (2026). Vrins, Frédéric. In: European Journal of Operational Research. RePEc:eee:ejores:v:329:y:2026:i:1:p:180-197.

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2025Modeling and predicting failure in US credit unions. (2025). Quinn, Barry ; Peng, Qiao ; Liu, Kailong ; McKillop, Donal. In: International Journal of Forecasting. RePEc:eee:intfor:v:41:y:2025:i:3:p:1237-1259.

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2024Interpretable machine learning for creditor recovery rates. (2024). Fabozzi, Frank J ; Nazemi, Abdolreza. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:164:y:2024:i:c:s0378426624001043.

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2025Does bid-ask spread explains the smile? On DVF and DML. (2025). Yu, Xing ; Liu, Guifang ; Lin, Yan. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:90:y:2025:i:c:s0927538x24003974.

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2024Functional clustering of NPLs recovery curves. (2024). Rocci, Roberto ; Carleo, Alessandra. In: Socio-Economic Planning Sciences. RePEc:eee:soceps:v:95:y:2024:i:c:s0038012124002179.

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2026Exponential ergodicity of CBIRE-processes with competition and catastrophes. (2026). Chen, Shukai ; Fang, Rongjuan ; Ji, Lina ; Wang, Jian. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:192:y:2026:i:c:s0304414925002510.

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2025Parameter estimation for Cox–Ingersoll–Ross process with two-sided reflections. (2025). Zhang, Xuekang ; Wang, Chunyang ; Shu, Huisheng ; Shi, Yiwei. In: Statistics & Probability Letters. RePEc:eee:stapro:v:221:y:2025:i:c:s0167715224003213.

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2025The 2025 U.S. Debt Limit Through the Lens of Financial Markets. (2025). Benzoni, Luca ; Wernick, Marisa. In: Working Paper Series. RePEc:fip:fedhwp:101720.

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2025Markov-Modulated and Shifted Wishart Processes with Applications in Derivatives Pricing. (2025). Arian, Hamid ; Faraz, Behzad-Hussein Azadie ; Escobar-Anel, Marcos. In: IJFS. RePEc:gam:jijfss:v:13:y:2025:i:2:p:91-:d:1666424.

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2024Decentralized Data and Artificial Intelligence Orchestration for Transparent and Efficient Small and Medium-Sized Enterprises Trade Financing. (2024). Hoffman, William ; Zabihi, Paria ; Alirezaie, Marjan ; Rahnama, Hossein ; Pentland, Alex. In: JRFM. RePEc:gam:jjrfmx:v:17:y:2024:i:1:p:38-:d:1321383.

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2025Credit Card Default Prediction: An Empirical Analysis on Predictive Performance Using Statistical and Machine Learning Methods. (2025). Bhandary, Rakshith ; Ghosh, Bidyut Kumar. In: JRFM. RePEc:gam:jjrfmx:v:18:y:2025:i:1:p:23-:d:1562935.

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2025Optimal Liquidation with Signals: the General Propagator Case. (2025). Jaber, Eduardo Abi ; Neuman, Eyal. In: Post-Print. RePEc:hal:journl:hal-03835948.

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2025The Rise of Robotic Process Automation in Chile: Technological Adoption, Perceptions, and Potential Social Impact in a Post-COVID Economy. (2025). Agnese, Pablo ; Rios, Francisco ; Pea, Camilo. In: IZA Discussion Papers. RePEc:iza:izadps:dp18314.

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2024Chinas business cycle forecasting: a machine learning approach. (2024). Tang, Pan ; Zhang, Yuwei. In: Computational Economics. RePEc:kap:compec:v:64:y:2024:i:5:d:10.1007_s10614-024-10549-w.

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2025Valuation of vulnerable options using a bivariate Gram–Charlier approximation. (2025). Wang, Xingchun ; Ou, Xinyue ; Dong, Dingding. In: Review of Derivatives Research. RePEc:kap:revdev:v:28:y:2025:i:1:d:10.1007_s11147-024-09207-y.

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2025Bank non-performing loans research around the world. (2025). Ozili, Peterson. In: MPRA Paper. RePEc:pra:mprapa:125217.

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2026Pricing options on illiquid assets using liquid market benchmarks: an application to energy markets. (2026). Scrima, Edoardo ; Aluigi, Federico ; Pigato, Paolo ; Caramellino, Lucia. In: CEIS Research Paper. RePEc:rtv:ceisrp:626.

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2025Reliable information system for identifying spatio-temporal continuity of kinetic deformed objects with big point cloud data. (2025). Sun, Edward W ; Lin, Yi-Bing. In: Annals of Operations Research. RePEc:spr:annopr:v:349:y:2025:i:1:d:10.1007_s10479-023-05522-z.

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2025Computing XVA for American basket derivatives by machine learning techniques. (2025). Goudenge, Ludovic ; Molent, Andrea ; Zanette, Antonino. In: Computational Management Science. RePEc:spr:comgts:v:22:y:2025:i:2:d:10.1007_s10287-025-00540-7.

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2025Convertible lease risk spread modeling with correlation. (2025). Triki, Ons ; Abid, Fathi. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:48:y:2025:i:1:d:10.1007_s10203-024-00490-w.

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2025Discounted-likelihood valuation of variance and volatility swaps. (2025). Rujivan, Sanae ; Rujeerapaiboon, Napat ; Chen, Hongdan. In: Financial Innovation. RePEc:spr:fininn:v:11:y:2025:i:1:d:10.1186_s40854-024-00701-8.

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2025Non-linearity and the distribution of market-based loss rates. (2025). Nagl, Maximilian ; Rsch, Daniel. In: OR Spectrum: Quantitative Approaches in Management. RePEc:spr:orspec:v:47:y:2025:i:3:d:10.1007_s00291-024-00787-7.

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2024Machine learning due diligence evaluation to increase NPLs profitability transactions on secondary market. (2024). Damato, Valeria ; Forte, Salvatore ; Fersini, Paola ; Carannante, Maria ; Melisi, Giuseppe. In: Review of Managerial Science. RePEc:spr:rvmgts:v:18:y:2024:i:7:d:10.1007_s11846-023-00635-y.

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2026A case study on non-performing loan recovery: applying the CatBoost algorithm in banking to enhance asset quality. (2026). Sakarya, Uur ; Kaleci, Melih ; Saygili, Murathan ; Zgler, Smail Cem. In: SN Business & Economics. RePEc:spr:snbeco:v:6:y:2026:i:4:d:10.1007_s43546-026-01112-w.

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2025Measuring and Explaining the CDS-Bond Basis Term-Structure Shape and Dynamics. (2025). Seeger, Norman ; Lucas, Andrae ; Khanna, Yonas. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20250037.

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2024A Quantitative Analysis of Default Risk Using Machine Learning and SHAP Value Interpretation. (2024). Coralia, Tanasuica Zotic. In: Proceedings of the International Conference on Business Excellence. RePEc:vrs:poicbe:v:18:y:2024:i:1:p:233-245:n:1006.

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Damiano Brigo is editor of

Journal
Journal of Financial Perspectives
Journal of Financial Transformation

Works by Damiano Brigo:

YearTitleTypeCited
2020Forecasting recovery rates on non-performing loans with machine learning In: LIDAM Discussion Papers LFIN.
[Full Text][Citation analysis]		paper25
2020Forecasting recovery rates on non-performing loans with machine learning.(2020) In: LIDAM Reprints LFIN.
[Citation analysis]
This paper has nother version. Agregated cites: 25		paper
2021Forecasting recovery rates on non-performing loans with machine learning.(2021) In: International Journal of Forecasting.
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This paper has nother version. Agregated cites: 25		article
2026On the boundaries, asymptotic law and Bernoulli-Doob representation of homogeneous bounded martingales In: LIDAM Discussion Papers LFIN.
[Citation analysis]		paper0
2018Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures In: LIDAM Reprints LFIN.
[Citation analysis]		paper24
2018Disentangling wrong-way risk: Pricing credit valuation adjustment via change of measures.(2018) In: LIDAM Reprints CORE.
[Citation analysis]
This paper has nother version. Agregated cites: 24		paper
2018Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures.(2018) In: European Journal of Operational Research.
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2019SDES with uniform distributions: Peacocks, conic martingales and mean reverting uniform diffusions In: LIDAM Reprints LFIN.
[Citation analysis]		paper0
2016SDEs with Uniform Distributions : Peacocks, Conic Martingales and Mean Reverting Uniform Diffusions.(2016) In: LIDAM Discussion Papers CORE.
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2019SDEs with uniform distributions: Peacocks, conic martingales and mean reverting uniform diffusions.(2019) In: LIDAM Reprints CORE.
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2020SDEs with uniform distributions: Peacocks, conic martingales and mean reverting uniform diffusions.(2020) In: Stochastic Processes and their Applications.
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2009Bilateral counterparty risk valuation with stochastic dynamical models and application to Credit Default Swaps In: Papers.
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2008Discrete Time vs Continuous Time Stock-price Dynamics and implications for Option Pricing In: Papers.
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2008On three filtering problems arising in mathematical finance In: Papers.
[Full Text][Citation analysis]		paper0
2008The general mixture-diffusion SDE and its relationship with an uncertain-volatility option model with volatility-asset decorrelation In: Papers.
[Full Text][Citation analysis]		paper6
2008Arbitrage-free Pricing of Credit Index Options: The no-armageddon pricing measure and the role of correlation after the subprime crisis In: Papers.
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2008Constant Maturity Credit Default Swap Pricing with Market Models In: Papers.
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2008Default correlation, cluster dynamics and single names: The GPCL dynamical loss model In: Papers.
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2008An exact formula for default swaptions pricing in the SSRJD stochastic intensity model In: Papers.
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2007An exact formula for default swaptions pricing in the SSRJD stochastic intensity model.(2007) In: ICMA Centre Discussion Papers in Finance.
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2008A Stochastic Processes Toolkit for Risk Management In: Papers.
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2009Counterparty risk valuation for Energy-Commodities swaps: Impact of volatilities and correlation In: Papers.
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2010Bilateral counterparty risk valuation for interest-rate products: impact of volatilities and correlations In: Papers.
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2009Credit Default Swap Calibration and Equity Swap Valuation under Counterparty Risk with a Tractable Structural Model In: Papers.
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2009Credit Default Swap Calibration and Counterparty Risk Valuation with a Scenario based First Passage Model In: Papers.
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2009Credit Calibration with Structural Models: The Lehman case and Equity Swaps under Counterparty Risk In: Papers.
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2010Credit models and the crisis, or: how I learned to stop worrying and love the CDOs In: Papers.
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2010Credit Default Swaps Liquidity modeling: A survey In: Papers.
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2010Liquidity-adjusted Market Risk Measures with Stochastic Holding Period In: Papers.
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2010Dangers of Bilateral Counterparty Risk: the fundamental impact of closeout conventions In: Papers.
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2011Collateral Margining in Arbitrage-Free Counterparty Valuation Adjustment including Re-Hypotecation and Netting In: Papers.
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2011Impact of the first to default time on Bilateral CVA In: Papers.
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2012Counterparty Risk FAQ: Credit VaR, PFE, CVA, DVA, Closeout, Netting, Collateral, Re-hypothecation, WWR, Basel, Funding, CCDS and Margin Lending In: Papers.
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2011Funding Valuation Adjustment: a consistent framework including CVA, DVA, collateral,netting rules and re-hypothecation In: Papers.
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2012Restructuring Counterparty Credit Risk In: Papers.
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2013RESTRUCTURING COUNTERPARTY CREDIT RISK.(2013) In: International Journal of Theoretical and Applied Finance (IJTAF).
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2013Restructuring counterparty credit risk.(2013) In: Discussion Papers.
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2012Consistent single- and multi-step sampling of multivariate arrival times: A characterization of self-chaining copulas In: Papers.
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2012Illustrating a problem in the self-financing condition in two 2010-2011 papers on funding, collateral and discounting In: Papers.
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2012Funding, Collateral and Hedging: uncovering the mechanics and the subtleties of funding valuation adjustments In: Papers.
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2013CoCo Bonds Valuation with Equity- and Credit-Calibrated First Passage Structural Models In: Papers.
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2014The arbitrage-free Multivariate Mixture Dynamics Model: Consistent single-assets and index volatility smiles In: Papers.
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2013Interest-Rate Modelling in Collateralized Markets: Multiple curves, credit-liquidity effects, CCPs In: Papers.
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2014Optimal execution comparison across risks and dynamics, with solutions for displaced diffusions In: Papers.
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2014Consistent iterated simulation of multi-variate default times: a Markovian indicators characterization In: Papers.
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2013CCPs, Central Clearing, CSA, Credit Collateral and Funding Costs Valuation FAQ: Re-hypothecation, CVA, Closeout, Netting, WWR, Gap-Risk, Initial and Variation Margins, Multiple Discount Curves, FVA? In: Papers.
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2014CCP Cleared or Bilateral CSA Trades with Initial/Variation Margins under credit, funding and wrong-way risks: A Unified Valuation Approach In: Papers.
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2014Inflation securities valuation with macroeconomic-based no-arbitrage dynamics In: Papers.
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2014Nonlinear Valuation under Collateral, Credit Risk and Funding Costs: A Numerical Case Study Extending Black-Scholes In: Papers.
[Full Text][Citation analysis]		paper3
2014An initial approach to Risk Management of Funding Costs In: Papers.
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2016Disentangling wrong-way risk: pricing CVA via change of measures and drift adjustment In: Papers.
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2009A stochastic processes toolkit for risk management: Geometric Brownian motion, jumps, GARCH and variance gamma models In: Journal of Risk Management in Financial Institutions.
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2010A stochastic processes toolkit for risk management: Mean reverting processes and jumps In: Journal of Risk Management in Financial Institutions.
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2011Guest Editorial In: Journal of Risk Management in Financial Institutions.
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2006THE STOCHASTIC INTENSITY SSRD MODEL IMPLIED VOLATILITY PATTERNS FOR CREDIT DEFAULT SWAP OPTIONS AND THE IMPACT OF CORRELATION In: International Journal of Theoretical and Applied Finance (IJTAF).
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2019MULTI-CURRENCY CREDIT DEFAULT SWAPS In: International Journal of Theoretical and Applied Finance (IJTAF).
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2018Wrong-Way Risk Adjusted Exposure: Analytical Approximations for Options in Default Intensity Models In: World Scientific Book Chapters.
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2018Examples of Wrong-Way Risk in CVA Induced by Devaluations on Default In: World Scientific Book Chapters.
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