Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity
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Damiano Brigo was recently appointed as Gilbart Professor of Financial Mathematics at King's College, London, heading the research of the mathematicalfinance group. He has published more than fifty worksin top journals on mathematical finance, systemstheory, probability, and statistics; a book for Springer-Verlag that has become a field reference in stochasticinterest rate modeling; and a book for Wiley on creditmodels and the crisis. Brigo obtained a PhD in stochastic filtering with differential geometry in 1996 from the Free University of Amsterdam.
Frédéric Patras is Director of Research at the Centre National de la Recherche Scientifique (Université de Nice, France) and head of quantitative analysis at Zeliade Systems, a software and service provider for financial institutions. He studied at the école Normale Supérieure (Paris) and obtained a PhD in mathematics at the Université Paris 7–Denis Diderot. He has authored more than thirty research papers in combinatorics, mathematical physics, probability, statistics, and mathematical finance.