Damiano Brigo is Chair of Mathematical Finance (MF) and Stochastic Analysis and co-Head of the MF group at Imperial College London. Damiano's previous roles include Gilbart Professor and Head of Group at King's College London, Director of the Capco Institute, Managing Director and Global Head of Quantitative Innovation in Fitch Ratings, Head of Credit Models in Banca IMI, Fixed Income Professor at Bocconi University in Milan, and Quantitative Analyst at Banca Intesa.
Damiano worked on quantitative analysis of counterparty risk, interest rates-, FX-, credit- and equity- derivatives, risk management and structured products, and funding costs and collateral modelling.
Damiano published 80+ works in top journals for Mathematical Finance, Systems Theory, Probability and Statistics, and books for Springer and Wiley that became field references in stochastic interest rate and credit modeling. Damiano is Managing Editor of the International Journal of Theoretical and Applied Finance, he is in the board of Mathematics of Control, Signals and Systems, Credit Review, Applied Mathematical Finance, and has been the most cited author in Risk Magazine in 2006, 2010 and 2012. His current interests include valuation, risk measurement, funding liquidity, counterparty risk, stochastic models for commodities and inflation, dependence dynamics,
liquidity risk, optimal execution, stochastic differential geometry, information geometry, exponential families, mixture families, nonlinear stochastic filtering.
Damiano obtained a Ph.D. in stochastic filtering with differential geometry in 1996 from the Free University of Amsterdam, following a BSc in Mathematics with honours from the University of Padua.