He is known for research in filtering theory and mathematical finance. Brigo started his work with the development, with Bernard Hanzon and Francois Le Gland , of the projection filters, a family of approximate nonlinear filters based on the differential geometry approach to statistics, also related to information geometry.
Interest Rate Modeling
Since , Brigo contributed to credit derivatives modeling and counterparty risk valuation, showing with Pallavicini and Torresetti 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 — This work has been further updated in leading to a volume for Wiley, while a volume on the updated nonlinear theory of valuation, including credit effects,  collateral modeling and funding costs, has appeared in 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 , and He is also Director of the Capco Institute.
From Wikipedia, the free encyclopedia. The Banker, Financial Times weekly supplement, June 21, Namespaces Article Talk.