Damiano Brigo

Topics:

Expertise:

Finance, Quants, Risk Management

Damiano Brigo

Damiano Brigo is one of the few top academics with a real knowledge of the financial industry. With more than twenty years of industry experience, Damiano has worked on risk management, valuation and hedging and quantitative methods in finance in many financial institutions, from commercial banks to investment banks, rating agencies and financial services firms.

He has provided executive education and cutting edge training and advice to hedge funds, banks, regulators, central banks, and institutional bodies such as ESM and EBA.

At the same time, Damiano is head of group and full professor (chair) in Mathematical Finance at Imperial College London, consistently ranked among the top ten world universities. Previous roles include Managing Director and Quantitative Innovation Global Head in Fitch Ratings, Head of Credit Models in Banca IMI and Fixed Income Professor at Bocconi University.

Damiano serves in the advisory board of financial services firms and published 100+ journal works in Quantitative Finance, Systems Theory, Probability and Statistics, and field reference books in Interest Rates and Credit Modelling (H-index 39, 7000+ citations).

The most cited Risk Magazine author in 1998-2017, Damiano holds a PhD in stochastic filtering with differential geometry and a BSc in Mathematics.

Damiano has co-authored a number of books:

This book has become a field reference for interest rate modelling in derivatives markets. It sits virtually in any trading floor and is used also in graduate programs across the world. The 2nd edition of this successful book has several new features.

The calibration discussion of the basic LIBOR market model has been enriched considerably, with an analysis of the impact of the swaptions interpolation technique and of the exogenous instantaneous correlation on the calibration outputs. A discussion of historical estimation of the instantaneous correlation matrix and of rank reduction has been added, and a LIBOR-model consistent swaption-volatility interpolation technique has been introduced.

The old sections devoted to the smile issue in the LIBOR market model have been enlarged into a new chapter. New sections on local-volatility dynamics, and on stochastic volatility models have been added, with a thorough treatment of the recently developed uncertain-volatility approach.

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Damiano Brigo