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Damiano Brigo - Curriculum Vitae

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Personal Data and Contact Details

Education

Work experiences

Professorship, Academic Experiences and Teaching of Training Courses

Most cited author worldwide in Risk Magazine in 2006 and 2005

Publications and "Interest Rate Models" book.

Computer Languages and LanguagesA

Personal Data and Contact Details

Birth: Venice, Italy, 1966.

E-mail: click here.

Work address: c/o Fitch Solutions, 101 Finsbury Pavement, EC2A 1RS London

Internet page: http://www.damianobrigo.it

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Education

Post Doctoral: November 1996 - February 1997. French Institute for Research in Computer Science and Stochastic Systems (IRISA) in Rennes, France.

Ph.D.: September 1993 - October 1996. Department of Econometrics of the Free University of Amsterdam, Institute for Mathematics and Computer Science (CWI) of Amsterdam, and Dutch Institute of Systems and Control (DISC). The doctoral studies concerned stochastic systems and nonlinear filtering theory. 

More details on the Ph.D.: The Ph.D. program led to the PhD thesis "Filtering By Projection on the Manifold of Exponential Densities" that was successfully defended  against an international committee featuring among others Prof. O.E. Barndorff-Nielsen (Theoretical Statistics, University of Aarhus, Denmark),  Prof. G.B. Di Masi (Mathematics, Padua), Prof. J. Schumacher (CWI, Amsterdam), Dr. F. LeGland (IRISA, Rennes), Dr. P.J.C. Spreij (VU, Amsterdam).  The research carried out during the PhD program led to several scientific results that were later published on journals of the Systems and Control Theoretical community and of the Mathematical Finance community. The project was financed and supported by several institutions, including:

·         European Union:

·         SCIENCE Project System Identification (contract number SC1*-CT92-0779);

·     HCM Network Statistical Inference for Stochastic Processes (contract number SC1*-CT92-0779);

·         Individual fellowship of the program Training and Mobility of Researchers (contract number FMBICT960791);

·         U.S. Army (contract number DAAH04-95-1-0164);

·         The Italian Institute for Advanced Mathematics, with a Senior fellowship;

·         The University of Padua, with an individual fellowship of the foreign-studies program.

Undergraduate studies ("Laurea" degree): November 1985-November 1990. Laurea degree in  Mathematics  at the University of Padua. Final grade: 110/110 with honors.

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Work experiences 

DerivativeFitch, Fitch Solutions. From July 2007 on. Managing Director and Global Head of the Quantitative Innovation team, comprising 15 quantitative analysts in London, New York and Hong Kong. 

·          Pricing of Contingent CDS and counterparty risk for interest rate, credit and commodity products under correlation between default and the underlying assets.

·          Pricing of Credit Index Options and analysis during the subprime crisis

·          Inflation, FX and hybrids modeling for both valuation and risk management.

·         Quantitative analysis of deals involving Collateralized Obligations on Credit (CDO), commodities (CCO),  funds (CFO), exchange rates (CFXO), equity (CDO of EDS), Constant Proportion Debt Obligations CPDO, CPDO's on tranche spreads, CMS CPDO.

·         Analysis of quantitative strategies for pension funds, FX carry trades, Credit Fund Notes

·         Investigation of alternative dependence structures for the Vector framework changes project, analysis of stochastic recovery rates, alternative copula functions, stochastic intensity models, dynamic loss models

      
Banca IMI, Milano. From October 1998 to June 2007. Head of Credit Models. Active participation also in derivatives modeling, in particular for interest rate modelling, smile modelling, exotic option pricing etc.

·         Generalized Poisson Loss (GPL) dynamical model for Calibration and pricing of correlation products in the credit derivatives world. Consistent Calibration of CDO tranches and index across maturities.

·         Stochastic intensity/interest-rate models and calibration to Credit Default Swaps (CDS). Closed form formulas for CDS options. Market models for CDS options and defaultable floaters. First to default, CDO, CDO squared and Basket credit derivatives valuation with copulas and deterministic intensities.

·         Tractable structural model calibrated to the CDS term structure and pricing of hybrid products such as equity swaps with counterparty risk. Counterparty risk valuation in general.

·         Counterparty risk for portfolios of swaps in presence of netting and for non-standard swaps: derivation of an analytical approximation.

·         Development and implementations of proprietary and standard short-rate models.

·         Study of several parameterizations of the industry Libor market model, test of analytical approximations through Monte Carlo simulation, and feasibility of different possible implementations.

·         Monte Carlo pricing of Quanto Constant maturity swaps with optional features and of other derivatives.

·         Development of proprietary asset price diffusion models for smile modelling.

·         Basket options and exotic options on equities, also with smile

·         Academic research on advanced mathematical finance with publications in journals.

·         "Professore a contratto" at Bocconi University in Milan, Fixed Income course teaching, from 2005 on.

·         Book "Interest-Rate Models: Theory and Practice " for Springer-Verlag. This book has become an international standard reference for Interest rate derivatives pricing, and is used for PhD courses and in trading floors all over the world. The second edition includes credit derivatives, inflation and extensive smile modeling.

·         Presentation of research results to international conferences and seminars.

·         Scientific committees of Conferences at MIT and other academic institutions

·         Teaching of Training courses for professionals in London and Italy (Risk, Marcus Evans, WBS, Bank of Italy, ABI, Concentric, etc.)

Banca Intesa, Milano. February 1997-October 1998. Quantitative analyst for both risk management and derivatives pricing.

·         Computations of Value at Risk measures corresponding to preassigned trading limits.

·         Volatility estimation.

·         Development and implementations of interest rate models for derivatives, mostly Bermudan swaptions, ratchet-like payoffs, and average rate swaps with optional features.

·         Basket options and exotic options on equities.

·         Academic research on advanced mathematical finance with publications in journals.  

High school teaching: (Several periods in-between 1987 and 1993) Teacher of mathematics, physics and computer science at several high schools in the Venetian area during and immediately after the undergraduate studies.

Obligatory military service: June 1991  - June 1992. Missile artillery division of the Italian Army. Computer programming and armed services.

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Professorship, Academic Experiences and Teaching of Training Courses

Visiting Professor at the Department of Mathematics, Imperial College, London, from December 2007 on

 "Managing Editor" of the International Journal of Theoretical and Applied Finance, May 2007 on.

Member of the Fitch Academic Advisory Board from july 2007 on.

"Professore a contratto" at Bocconi University in Milan, Fixed Income course teaching, 2005-2007.

Scientific Committee of the FEA 2004 and 2006 conferences at MIT, Massachusetts.

Scientific Committee of the Italian congress on mathematical finance, 2003 (Turin), 2004 (Siena), 2005 (Milan), 2006 (Perugia).

Scientific Committee of the "Numerical Methods in Finance" Conference, INCA, Dublin, 2006, 2008.

Lectures on Calibration at the “quantitative finance” Master of the Bocconi University of Milan, 2004;

Lectures on interest-rate models at the “FINARM” Master on Finance and Risk Management of the University of Milan, 2002, 2003, 2004, 2005, 2006;

Teaching of Professional Training Courses on interest rate models for Risk Magazine and Marcus Evans in London

Several reviews for scientific journals on mathematical finance and stochastic models

Tutor of several PhD students from NY University, Stanford etc. at the bank

More than 60 Invited talks, Seminars and Lectures at Conferences/Workshops/Universities/Research Institutes/Training Companies all over the world

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Most cited author Worldwide in Risk Magazine in 2006 (and in 2005 after Robert Jarrow).

The following table appeared in Risk Magazine, one of the most diffused magazines in the financial industry, in December 2006.

2006:

Risk Authors and number of citations in 2006
 

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Publications:

Book: D. Brigo and F. Mercurio. Interest-Rate Models: Theory and Practice, 2001, Springer Finance. This book has quickly become one of the main international references for interest rate derivatives pricing and is being used in PhD coures and teaching, as well as in trading floors,  all over the world. The second edition (2006) with 400 more pages includes credit derivatives, counterparty risk, inflation and extensive smile modeling.

D. Brigo, A. Pallavicini (2007). Counterparty Risk under Correlation between Default and Interest Rates. In: Miller, J., Edelman, D., and Appleby, J. (Editors), Numercial Methods for Finance, Chapman Hall. 

D. Brigo, Constant Maturity CDS valuation with market models (2006). Risk Magazine, June issue.

D. Brigo, L. Cousot. A Comparison between the SSRD Model and the Market Model for CDS Options Pricing, International Journal of Theoretical and Applied Finance, Vol. 9, n. 3, 2006.

Brigo, D., and Masetti, M., Risk Neutral Pricing of Counterparty Risk. In: Pykhtin, M. (Editor), Counterparty Credit Risk Modeling: Risk Management, Pricing and Regulation. Risk Books, 2006, London.

Brigo D., and Liinev J., On the distributional difference between the Libor and the Swap market models. Quantitative Finance (2005), Vol 5, n. 5, 433-442.

Alfonsi, A., and Brigo, D. New Families of Copulas Based on Periodic Functions. Communications in Statistics: Theory and Methods (2005), Vol 34, N. 7

Brigo, D., Market Models for CDS Options and Callable Floaters, Risk, (2005), January issue

Brigo, D., Modelli di Mercato per opzioni CDS e obbligazioni a tasso variabile defaultabili "callable". Risk Italia, (2005), October  issue. Italian version of the preceeding paper.

Brigo, D., Alfonsi, A., Credit Default Swap Calibration and Derivatives Pricing with the SSRD Stochastic Intensity Model, Finance and Stochastic (2005), Vol 9, N. 1.

D. Brigo, F. Mercurio, and M. Morini, The Libor Model Dynamics: Approximations, Calibration and Diagnostics, European Journal of Operation Research 163, pp 30-51

Brigo, D., Mercurio, F., Rapisarda, F., Smile at Uncertainty, Risk, (2004), May issue.

Brigo, D., Mercurio, F., Rapisarda, F., and Scotti, R., Approximated moment-matching dynamics for basket-options pricing, Quantitative Finance, vol 4 N. 1 (2003) pp. 1-16.

Brigo, D., Mercurio, F., and Sartorelli, G., Alternative Asset Price Dynamics and Volatility Smile, Quantitative Finance, Vol 3, N. 3. (2003) pp. 173-183

D. Brigo and F. Mercurio, Analytical pricing of the smile in a forward LIBOR market model, Quantitative Finance, Vol. 3, No. 1 (2003).

D. Brigo, F. Mercurio, A mixed-up smile, in: Lipton, A. (Editor), Exotic Options: The cutting edge collection, Risk Books London (2003), 45-50.

D. Brigo and F. Mercurio, Lognormal-mixture dynamics and calibration to market volatility smiles, International Journal of Theoretical and Applied Finance, Vol. 5, No. 4 (2002), 427-446.

D. Brigo and F. Mercurio, Calibrating LIBOR. Risk Magazine, January 2002.

D. Brigo, F. Mercurio, Displaced and Mixture Diffusions for Analytically-Tractable Smile Models, to appear in: Geman, H., Madan, D.B., Pliska, S.R., Vorst, A.C.F. (Editors), Mathematical Finance - Bachelier Congress 2000, Springer, Berlin, 2001

D. Brigo and F. Mercurio, A deterministic-shift extension of analytically tractable and time-homogeneous short rate models, Finance and Stochastics, Vol. 5, N. 3 (2001), pp. 369--388.

D. Brigo and F. Mercurio, Implied Volatility: A mixed up smile. Risk Magazine, September 2000.

D. Brigo and F. Mercurio, Option pricing impact of alternative continuous time dynamics for discretely observed stock prices,  Finance and Stochastics, Vol. 4, N. 2 (2000), pp. 147--160.

D. Brigo and F. Mercurio, Correction: Is Ito calculus oversold? Risk Magazine, Vol. 12, N. 4 (1999), p. 67.

D. Brigo, B. Hanzon, On some filtering problems arising in mathematical finance, Insurance: Mathematics and Economics, 22(1) (1998) pp. 53-64.  

Publications: Stochastic nonlinear filtering, stochastic differential equations and exponential families

D. Brigo, On SDEs with marginal laws evolving in finite--dimensional exponential families, Statistics and Probability letters 49 (2000), pp. 127--134.

D. Brigo, Diffusion Processes, Manifolds of Exponential Densities, and Nonlinear Filtering, in:  Ole E Barndorff-Nielsen and Eva B Vedel Jensen (Editors), Geometry in Present Day Science, World Scientific (1999).

D. Brigo, B. Hanzon, F. Le Gland, Approximate Nonlinear Filtering by Projection on Exponential Manifolds of Densities, Bernoulli, Vol. 5, N. 3 (1999), pp. 495--534  

D. Brigo, B. Hanzon, F. LeGland, A Differential Geometric approach to nonlinear filtering: the Projection Filter, in Proceedings of the Conference of Decision and Control, New Orleans, 1995, pp. 4006--4011, and later published on IEEE Transactions on Automatic Control Vol. 43, 2 (1998), pp 247--252.

D. Brigo, On nonlinear SDE's whose densities evolve in a finite dimensional family, in: I. Csiszar and Gy. Michaletzky (Editors), Stochastic Differential and Difference Equations, Birkhauser, Boston (1997).

D. Brigo, New results on the Gaussian projection filter with small observation noise, Systems and Control Letters, Vol. 28 (1996), pp. 273--279

D. Brigo, On the nice behaviour of the Gaussian Projection Filter with small observation noise, in Proceedings of the third European Control Conference (Roma, 1995), and in  Systems and Control Letters, Vol. 26, N. 5 (1995), pp. 363--370

Some more publications are available in conference proceedings.

Ph.D. Thesis: D. Brigo, Filtering by Projection on the Manifold of Exponential Densities,  Free University of Amsterdam, 1996.

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Computer languages. Matlab, Maple, Gauss. Past experiences with Fortran, Pascal, C.  

Languages. excellent English, Italian (mother tongue), basic French.

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