Lettres d'un petit fils à sa grand'mère

von Pallavicini, Andrea
Veröffentlicht 1843

Parsimonious multi-curve HJM modelling with stochastic volatility

von Moreni, Nicola
Veröffentlicht in Interest rate modelling after the financial crisis (2013)

Derivative pricing with collateralization and FX market dislocations

von Moreni, Nicola
Veröffentlicht in International journal of theoretical and applied finance (2017)

Nonlinear consistent valuation of CCP cleared or CSA bilateral trades with initial margins under credit, funding and wrong-way risks

von Brigo, Damiano
Veröffentlicht in Journal of financial engineering (2014)

On the consistency of jump-diffusion dynamics for FX rates under inversion

von Graceffa, Federico
Veröffentlicht in International journal of financial engineering (2020)

Risk-neutral versus objective loss distribution and CDO tranche valuation

von Torresetti, Roberto
Veröffentlicht in Journal of risk management in financial institutions (2009)

Smile modeling in commodity markets

von Nastasi, Emanuele
Veröffentlicht in International journal of theoretical and applied finance (2020)

Cluster-based extension of the generalized poisson loss dynamics and consistency with single names

von Brigo, Damiano
Veröffentlicht in International journal of theoretical and applied finance (2007)

Counterparty credit risk, collateral and funding : with pricing cases for all asset classes

von Brigo, Damiano
Veröffentlicht 2013

Arbitrage-free valuation of bilateral counterparty risk for interest-rate products : impact of volatilities and correlations

von Brigo, Damiano
Veröffentlicht in International journal of theoretical and applied finance (2011)

Arbitrage-free bilateral counterparty risk valuation under collateralization and application to credit default swaps

von Brigo, Damiano
Veröffentlicht in Mathematical finance (2014)

Counterparty credit risk, collateral and funding : with pricing cases for all asset classes

von Brigo, Damiano
Veröffentlicht 2013

Credit models and the crisis : a journey into CDOs, Copulas, correlations and dynamic models

von Brigo, Damiano
Veröffentlicht 2010

Credit models and the crisis : an overview

von Brigo, Damiano
Veröffentlicht in Journal of risk management in financial institutions (2011)

Nonlinear valuation under credit, funding, and margins : existence, uniqueness, invariance, and disentanglement

von Brigo, Damiano
Veröffentlicht in European journal of operational research (2019)

A note on the self-financing condition for funding, collateral and discounting

Veröffentlicht in International journal of theoretical and applied finance (2015)

Impact of multiple curve dynamics in credit valuation adjustments under collateralization

von Bormetti, Giacomo
Veröffentlicht in Quantitative finance (2018)

Pricingcounterparty risk including collateralization, netting rules, re-hypothecation and wrong-way risk

Veröffentlicht in International journal of theoretical and applied finance (2013)