معرفی
Professor Damiano Brigo holds the Chair in Mathematical Finance at Imperial College London, part of the Faculty of Natural Sciences and the Stochastic Analysis research group. He has held academic roles including co-head of the Mathematical Finance group at Imperial (2012-2019) and previously led the Financial Mathematics group at King's College London. His research spans counterparty credit risk, funding costs, interest rate models, liquidity risk, and algorithmic trading. He has authored over 130 works and four influential books, including Interest Rate Models: Theory and Practice and Counterparty Credit Risk, Collateral and Funding.
Education:
- PhD in Stochastic Filtering (Free University of Amsterdam, 1996)
- Laurea (BSc/MSc) in Mathematics cum laude (University of Padua)
Research Interests: Focuses on valuation and pricing under funding constraints, credit risk, nonlinear valuation via PDEs/FBSDEs, and applications of stochastic processes and information geometry. Current work includes liquidity risk, default modeling, and differential geometric approaches to statistical manifolds.
Awards:
- Most cited author in Risk Magazine (1998-2017)
- H-index 42 (2023)
Key Contributions: Pioneered frameworks for Counterparty Credit Risk (CCR) with funding and collateral considerations. Developed the Counterparty Risk and Funding: A Tale of Two Puzzles model. Editorial roles include International Journal of Theoretical and Applied Finance and Mathematics of Control, Signals, and Systems.
Labs/Teams: Co-director of the CFM-Imperial Institute of Quantitative Finance and collaborator with the Centre for Cryptocurrency Research and Engineering.
