| Counterparty risk pricing: Impact of closeout and first-to-default times D Brigo, C Buescu, M Morini International Journal of Theoretical and Applied Finance 15 (06), 1250039, 2012 | 37 | 2012 |
| Impact of the first to default time on Bilateral CVA D Brigo, C Buescu, M Morini arXiv preprint arXiv:1106.3496, 2011 | 28 | 2011 |
| Illustrating a problem in the self-financing condition in two 2010-2011 papers on funding, collateral and discounting D Brigo, C Buescu, A Pallavicini, Q Liu arXiv preprint arXiv:1207.2316, 2012 | 19 | 2012 |
| Risk-neutral valuation under differential funding costs, defaults and collateralization D Brigo, C Buescu, M Francischello, A Pallavicini, M Rutkowski arXiv preprint arXiv:1802.10228, 2018 | 18 | 2018 |
| Funding, repo and credit inclusive valuation as modified option pricing D Brigo, C Buescu, M Rutkowski Operations Research Letters 45 (6), 665-670, 2017 | 12 | 2017 |
| Nonlinear valuation with XVAs: Two converging approaches D Brigo, C Buescu, M Francischello, A Pallavicini, M Rutkowski Mathematics 10 (5), 791, 2022 | 11 | 2022 |
| An Application Of The Method Of Moments To Range-Based Volatility Estimation Using Daily High, Low, Opening, And Closing (Hloc) Prices C Buescu, M Taksar, FJ Koné International Journal of Theoretical and Applied Finance 16 (05), 1350026, 2013 | 8 | 2013 |
| Illustrating a Problem in the Self-financing Condition in Two 2010–2011 Papers on Funding D Brigo, C Buescu, A Pallavicini, Q Liu Collateral and DiscountingV, WP, 2012 | 7 | 2012 |
| A note on the effects of taxes on optimal investment C Buescu, A Cadenillas, SR Pliska Mathematical Finance 17 (4), 477-485, 2007 | 6 | 2007 |
| A note on the self-financing condition for funding, collateral and discounting D Brigo, C Buescu, A Pallavicini, Q Liu International Journal of Theoretical and Applied Finance 18 (02), 1550011, 2015 | 5 | 2015 |
| Optimal post-retirement investment and consumption under longevity risk in collective funds J Armstrong, C Buescu, JL Dalby Scandinavian Actuarial Journal, 1-19, 2025 | 4 | 2025 |
| Portfolio optimization for cointelated pairs: SDEs vs Machine learning B Mahdavi-Damghani, K Mustafayeva, C Buescu, S Roberts Algorithmic Finance 8 (3-4), 101-125, 2021 | 4 | 2021 |
| Portfolio optimization in the context of cointelated pairs: Stochastic differential equation vs. machine learning approach B Mahdavi-Damghani, K Mustafayeva, S Roberts, C Buescu Social Science Electronic Publishing, 2017 | 4 | 2017 |
| Collectivised Pension Investment with Homogeneous Epstein-Zin Preferences J Armstrong, C Buescu arXiv preprint arXiv:1911.10047, 2019 | 3 | 2019 |
| Collectivised Pension Investment with Exponential Kihlstrom--Mirman Preferences J Armstrong, C Buescu arXiv preprint arXiv:1911.02296, 2019 | 3 | 2019 |
| Convergence of Heston to SVI Proposed Extensions: Rational & Conjecture for the Convergence of Extended Heston to the Implied Volatility surface Parametrization B Mahdavi-Damghani, K Mustafayeva, S Roberts Available at SSRN 3039185, 2017 | 3 | 2017 |
| Optimal portfolio management when there are taxes and transaction costs C Buescu | 3 | 2004 |
| Illustrating a problem in the self-financing condition in two 2010-2011 papers on funding, collateral and discounting. SSRN, 2012 D Brigo, C Buescu, A Pallavicini, QD Liu | 3 | |
| Collectivised post-retirement investment J Armstrong, C Buescu arXiv preprint arXiv:1909.12730, 2019 | 2 | 2019 |
| Collectivised pension investment J Armstrong, C Buescu arXiv preprint arXiv:1909.12730, 2019 | 2 | 2019 |
Damiano BrigoProfessor of Mathematics, Imperial College LondonVerified email at imperial.ac.uk
