Damiano Brigo (Prof)

Mathematician, Professor at Imperial College, London: Probability, Statistics, Mathematical Finance, Signal Processing, Stochastic Differential Geometry

[Damiano Brigo (Prof) @ProfBrigo]

#Interpretability in deep learning for the volatility smile-to-parameters map in the #rHeston model.
SSRN: https://t.co/o6aGvsFeP4
ArXiv: https://t.co/E7Myp468I7

Previous paper on normal Heston:

SSRN: https://t.co/EqDV8tAXZC
ArXiv: https://t.co/1PYdNibenx

[Damiano Brigo (Prof) @ProfBrigo]

Paper on #interpretability (the elephant in the room of #deep_learning) in #quantitative_finance: a case study on the #Heston_model #volatility_smile. https://t.co/RUzC7p43aN

[Damiano Brigo (Prof) @ProfBrigo]

I would like to signal a paper where we try to build a theory of #price_impact for the #term_structure, #term_structure_price_impact. This is in collaboration with @eyal_neuman & Federico Graceffa. The paper is here

https://t.co/RQVJUizB15

[Damiano Brigo (Prof) @ProfBrigo]

#Good_trade_execution. Introduced by my PhD student @claudiobellani, this is an interesting new approach to #optimal_trade_execution with important implications on #robustness, #agnostic_dynamics, static vs adaptive solutions and fuel constraints. https://t.co/6UshVsC3nI

[Damiano Brigo (Prof) @ProfBrigo]

New paper "Forecasting Recovery Rates on Non-Performing Loans with Machine Learning" (with Tony Bellotti, Paolo Gambetti and Frederic Vrins) https://t.co/8nIErvhQDG

[Damiano Brigo (Prof) @ProfBrigo]

Interview @QuantMinds on "What are the latest trends in quantitative finance?", I mostly discuss the impact of #machine_learning and #fintech on #quantitative_finance, and #interpretability in particular. https://t.co/89RJmJ9qJd

[Damiano Brigo (Prof) @ProfBrigo]

Is it possible to formulate option pricing models without probability theory, but in a pure pathwise sense (robustness, model risk)? This paper is an introduction to the theme, the full technical paper will follow shortly. https://t.co/d2jYIc3LgC

[Damiano Brigo (Prof) @ProfBrigo]

Recent paper with John Armstrong at King's College on statistical arbitrage of coherent risk measures. See John's blog post https://t.co/GbPWDGd822

[Damiano Brigo (Prof) @ProfBrigo]

Projections of SDEs onto Submanifolds. The last research paper of the year, but this is in pure mathematics, there is no finance here. Joint work with John Armstrong and Emilio Rossi Ferrucci. https://t.co/ithsZ6Vf48

[Damiano Brigo (Prof) @ProfBrigo]

New paper on #optimal_trade_execution. We compare #optimal_trading_strategies: static vs adaptive. Joint work with @eyal_neuman , Claudio Bellani and Alex Done. https://t.co/wxFmI34hif

[Damiano Brigo (Prof) @ProfBrigo]

Next week Dec 4-5, Conference in Jerusalem on 45 years of Black Scholes and Merton. Scholes and Merton will be there, with many others. https://t.co/MyIyTOOSaW

[Damiano Brigo (Prof) @ProfBrigo]

New paper: Gamma-controlled pathwise hedging in generalised Black-Scholes models. https://t.co/5IuVcrp2HW

[Damiano Brigo (Prof) @ProfBrigo]

#QuantMinds Lisbon, talk this afternoon at 4.25 "#Risk_Measures for #rogue_traders" and tomorrow on "#cost_of_capital: an indifference target-performance approach"

[Damiano Brigo (Prof) @ProfBrigo]

The Banker (Financial Times), Bracken Column on rogue traders vs VaR and Expected Shortfall https://t.co/q1BgdOinSD

[Damiano Brigo (Prof) @ProfBrigo]

Risk Magazine technical article: Rogue traders vs VaR and Expected Shortfall. This is summarised in the column https://t.co/pxE1phYdM3

[Damiano Brigo (Prof) @ProfBrigo]

Risk Magazine podcast on Machine and Statistical Learning, AI and the direction of mathematics in the financial industry: https://t.co/FTfqkt1qve

[Damiano Brigo (Prof) @ProfBrigo]

Next week three seminars in NYC (Columbia Univ, Tandon NYU) on three different topics. Details here https://t.co/NKz074Cnn0

[Damiano Brigo (Prof) @ProfBrigo]

OA paper in ORL: Funding, repo & credit inclusive valuation as modified option pricing, with C Buescu & M Rutkowski. https://t.co/QUfSx5umIq

[Damiano Brigo (Prof) @ProfBrigo]

Excessive tail risk seeking players (S-shaped utility) beat VaR & ExpectedShorfall constraints. Solution? Full paper https://t.co/g3Wv7LDJfi

[Damiano Brigo (Prof) @ProfBrigo]

Talk on the cost of capital via indifference pricing/RAROC at London-Paris Bachelier this Thursday. Registration:
https://t.co/0D4iaME6IH