| Interest rate models: theory and practice D Brigo, F Mercurio Springer, 2001 | 3234 | 2001 |
| Counterparty credit risk, collateral and funding: with pricing cases for all asset classes D Brigo, M Morini, A Pallavicini John Wiley & Sons, 2013 | 313 | 2013 |
| Counterparty risk for credit default swaps: Impact of spread volatility and default correlation D Brigo, K Chourdakis International Journal of Theoretical and Applied Finance 12 (07), 1007-1026, 2009 | 220 | 2009 |
| Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model D Brigo, A Alfonsi Finance and stochastics 9 (1), 29-42, 2005 | 205 | 2005 |
| Bilateral counterparty risk valuation with stochastic dynamical models and application to Credit Default Swaps D Brigo, A Capponi arXiv preprint arXiv:0812.3705, 2008 | 185* | 2008 |
| Lognormal-mixture dynamics and calibration to market volatility smiles D Brigo, F Mercurio International Journal of Theoretical and Applied Finance 5 (04), 427-446, 2002 | 184 | 2002 |
| Arbitrage‐free bilateral counterparty risk valuation under collateralization and application to credit default swaps D Brigo, A Capponi, A Pallavicini Mathematical Finance: An International Journal of Mathematics, Statistics …, 2014 | 165 | 2014 |
| A stochastic processes toolkit for risk management D Brigo, A Dalessandro, M Neugebauer, F Triki arXiv preprint arXiv:0812.4210, 2008 | 151* | 2008 |
| A differential geometric approach to nonlinear filtering: the projection filter D Brigo, B Hanzon, F LeGland IEEE Transactions on Automatic Control 43 (2), 247-252, 1998 | 147 | 1998 |
| Risk neutral pricing of counterparty risk D Brigo, M Masetti | 144 | 2005 |
| A deterministic–shift extension of analytically–tractable and time–homogeneous short–rate models D Brigo, F Mercurio Finance and Stochastics 5 (3), 369-387, 2001 | 139 | 2001 |
| Calibration of CDO tranches with the dynamical generalized-Poisson loss model D Brigo, A Pallavicini, R Torresetti Available at SSRN 900549, 2007 | 130 | 2007 |
| Credit models and the crisis: a journey into CDOs, copulas, correlations and dynamic models D Brigo, A Pallavicini, R Torresetti John Wiley & Sons, 2010 | 129 | 2010 |
| Counterparty risk and funding: A tale of two puzzles S Crépey, TR Bielecki, D Brigo Chapman and Hall/CRC, 2014 | 119 | 2014 |
| Parameterizing correlations: a geometric interpretation F Rapisarda, D Brigo, F Mercurio IMA Journal of Management Mathematics 18 (1), 55-73, 2007 | 114 | 2007 |
| Counterparty risk pricing under correlation between default and interest rates D Brigo, A Pallavicini Numerical methods for finance, 79-98, 2007 | 100 | 2007 |
| Impact of Robotics, RPA and AI on the insurance industry: challenges and opportunities C Lamberton, D Brigo, D Hoy Journal of Financial Perspectives 4 (1), 2017 | 97 | 2017 |
| Funding valuation adjustment: a consistent framework including cva, dva, collateral, netting rules and re-hypothecation A Pallavicini, D Perini, D Brigo arXiv preprint arXiv:1112.1521, 2011 | 91 | 2011 |
| AN EXACT FORMULA FOR DEFAULT SWAPTIONS’PRICING IN THE SSRJD STOCHASTIC INTENSITY MODEL D Brigo, N El‐Bachir Mathematical Finance: An International Journal of Mathematics, Statistics …, 2010 | 90 | 2010 |
| Collateral margining in arbitrage-free counterparty valuation adjustment including re-hypotecation and netting D Brigo, A Capponi, A Pallavicini, V Papatheodorou arXiv preprint arXiv:1101.3926, 2011 | 86 | 2011 |
