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Damiano Brigo
Damiano Brigo (Venice Italy 1966) is an applied mathematician, and currently Chair in Mathematical Finance at Imperial 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.〔Swedish Defense Research Agency Scientific Report, http://www.foi.se/ReportFiles/foir_1074.pdf.〕 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.〔Fengler, M. R. (2005), Semiparametric modeling of implied volatility, Springer Verlag, Berlin.〕〔Musiela, M., and Rutkowski, M. (2004), Martingale Methods in Financial Modelling, 2nd Edition, Springer Verlag, Berlin.〕 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 valuation, 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, while a volume on the updated nonlinear theory of valuation, including credit effects,〔Has Basel got its numbers wrong? The Banker, Financial Times weekly supplement, June 21, 2011.〕 collateral modeling and funding costs, has appeared in 2013. Overall Brigo authored more than seventy 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. Brigo has been the most cited author in the technical section of the industry influential Risk Magazine in 2006, 2010 and 2012.〔Degrees of Influence, Risk Magazine, December 2012, page 71.〕
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