Damiano Brigo (born Venice, Italy 1966) is a mathematician known for research in mathematical finance, filtering theory, stochastic analysis with differential geometry, probability theory and statistics, authoring more than 130 research publications and three monographs.[1] From 2012 he serves as full professor with a chair in mathematical finance at the Department of Mathematics of Imperial College London, where he headed the Mathematical Finance group in 2012–2019.[2][3] He is also a well known quantitative finance researcher, manager and advisor in the industry.[4][2] His research has been cited and published also in mainstream industry publications, including Risk Magazine, where he has been the most cited author in the twenty years 1998–2017.[5][6][7] He is often requested as a plenary or invited speaker both at academic and industry international events.[8] Brigo's research has also been used in court as support for legal proceedings.[9]
Brigo holds a Ph.D. in stochastic nonlinear filtering with differential geometric methods from the Free University of Amsterdam, following a laurea degree in mathematics from the University of Padua.
- ^ Publications and citations page in Google Scholar
- ^ a b Finextra news
- ^ Institutional page at Imperial College London
- ^ Campbell, Alexander (2011). The Risk-Free Myth. Risk Magazine 24(3), March 2011, London, page 80.
- ^ Degrees of Influence, Risk Magazine, December 2018, pp. 129, Table B.
- ^ Has Basel got its numbers wrong? The Banker, Financial Times Group weekly magazine, June 21, 2011.
- ^ Basel risk limits will not curb rogue traders, The Banker, Financial Times Group weekly magazine, Bracken Column, May 1, 2018.
- ^ Damiano Brigo's CV at imperial.ac.uk, accessed on 20 July 2023, Imperial College London
- ^ Research Excellence Framework 2014: King's College London impact case for mathematical finance
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