ProfessorDamiano Brigo

Professor Damiano Brigo holds the Chair in Mathematical Finance at Imperial College, London, where he co-headed the Mathematical Finance research group in 2012-2019. He is part of the Stochastic Analysis research group.

Previous roles of Professor Brigo include:

Academic Advisory board for IHS Markit (2017-2022)

Academic advisory board of Macquarie Bank (2018-2020)

Academic Advisory board for Credit Benchmark (2015-2018)

Board of CFM-Imperial Institute in Quantitative Finance (2014 on)

Director of the Ernst and Young GFSI Institute and Editor in chief of EY Journal of Financial Perspectives (2016-2017)

2012-2014, Prof. Brigo held the role of Director of the Capco Institute and Editor in Chief of the related Journal of Financial Transformation via Imperial Consultants;

2010-2012, Prof. Brigo held the Gilbart Chair of Financial Mathematics at Kings College, London, where he headed the Financial Mathematics group;

Managing Director and Global Head of Quantitative Innovation in Fitch Solutions in 2007-2010, and visiting professor at Imperial College London.

Head of Credit Models in Banca IMI's front office, in the largest Italian investment bank, and Fixed Income Professor at Bocconi University in Milan, in 1997-2007.

Damiano has published more than 130 works in Mathematical Finance, Systems Theory, Probability and Statistics, and books for Springer Verlag and Wiley that have become field references in stochastic interest rate and credit risk modeling.

Damiano has been Managing Editor of the International Journal of Theoretical and Applied Finance, and he is in the editorial boards of Mathematics of Control, Signals and Systems, of Applied Mathematical Finance and of Information Geometry. Damiano has been a member of the Fitch Academic Advisory Board and is part of Scientific committees for academic conferences occurring across academic and industry institutions.

Damiano has been listed as the most cited author in Risk Magazine in the 20 years 1998-2017. His H-index in Google Scholar is 43 as of 2025.
He has won the top twenty world quants award from Rebellion Research. 

Damiano obtained a Ph.D. in stochastic filtering with differential geometry in 1996 from the Free University of Amsterdam, under the supervision of Bernard Hanzon, Francois LeGland and Jan van Schuppen, following a Laurea (BSc MSc) in Mathematics cum laude from the University of Padua, with a dissertation on nonlinear filtering under the supervision of Giovanni Battista Di Masi.

His current interests include valuation and pricing, risk measurement, liquidity risk, credit and default modeling, counterparty risk, nonlinear valuation under funding costs via semi-linear PDEs and FBSDEs, optimal execution and algorithmic trading, stochastic dynamical models for commodities and inflation, and path-wise finance. He is also working on the differential geometric approach to statistics, exponential statistical manifolds and stochastic processes, stochastic differential equations on manifolds, geometry of SDEs and rough paths, nonlinear stochastic filtering, and stochastic processes consistent with mixtures of distributions.

Damiano is often invited to speak as a plenary or invited speaker both at academic events and at events organized by the industry, with seminars, talks, lectures, panels and training courses for international conferences, universities, mathematical institutes, financial institutions, central banks and regulators.

Most of Damiano's research is also available in public research repositories such as SSRN or arXiv, by searching "Damiano Brigo":

SSRN (Social Science Research Network)
arXiv
and on his personal web page at Imperial College London
See also the books
Counterparty Credit Risk, Collateral and Funding
Interest Rate Models: Theory and Practice
Credit Models and the Crisis: A journey into CDOs, Copulas, Correlation and Dynamic Models
Credit Risk Frontiers (as Editor)
Counterparty Risk and Funding: A tale of two puzzles (initial Galileian dialogue)