A differential geometric approach to nonlinear filtering: the projection filter. - Damiano Brigo; Bernard Hanzon; François LeGland (IEEE Trans. Autom. Control., 1998)

Option pricing impact of alternative continuous-time dynamics for discretely-observed stock prices. - Damiano Brigo; Fabio Mercurio (Finance Stochastics, 2000)

A deterministic-shift extension of analytically-tractable and time-homogeneous short-rate models. - Damiano Brigo; Fabio Mercurio (Finance Stochastics, 2001)

The LIBOR model dynamics: Approximations, calibration and diagnostics. - Damiano Brigo; Fabio Mercurio; Massimo Morini (Eur. J. Oper. Res., 2005)

Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model. - Damiano Brigo; Aurélien Alfonsi (Finance Stochastics, 2005)

Stochastic Filtering by Projection: The Example of the Quadratic Sensor. - John Armstrong; Damiano Brigo (GSI, 2013)

Stochastic PDE Projection on Manifolds: Assumed-Density and Galerkin Filters. - John Armstrong; Damiano Brigo (GSI, 2015)

Nonlinear filtering via stochastic PDE projection on mixture manifolds in L2 direct metric. - John Armstrong; Damiano Brigo (Math. Control. Signals Syst., 2016)

Itô Stochastic Differential Equations as 2-Jets. - John Armstrong; Damiano Brigo (GSI, 2017)

Funding, repo and credit inclusive valuation as modified option pricing. - Damiano Brigo; Cristin Buescu; Marek Rutkowski (Oper. Res. Lett., 2017)

Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures. - Damiano Brigo; Frédéric Vrins (Eur. J. Oper. Res., 2018)

Nonlinear valuation under credit, funding, and margins: Existence, uniqueness, invariance, and disentanglement. - Damiano Brigo; Marco Francischello; Andrea Pallavicini (Eur. J. Oper. Res., 2019)

Interpretability in deep learning for finance: a case study for the Heston model. - Damiano Brigo; Xiaoshan Huang; Andrea Pallavicini; Haitz Sáez de Ocáriz Borde (CoRR, 2021)

The multivariate mixture dynamics model: shifted dynamics and correlation skew. - Damiano Brigo; Camilla Pisani; Francesco Rapisarda (Ann. Oper. Res., 2021)

Mild to Classical Solutions for XVA Equations under Stochastic Volatility. - Damiano Brigo; Federico Graceffa; Alexander Kalinin 006 (SIAM J. Financial Math., 2024)

The importance of dynamic risk constraints for limited liability operators. - John Armstrong; Damiano Brigo; Alex S. L. Tse (Ann. Oper. Res., 2024)