Chair of Mathematical Finance and Stochastic Analysis, Imperial College London

Professor Damiano Brigo is Chair of Mathematical Finance (MF) and Stochastic Analysis and co-Head of the MF group at Imperial College, London, consistently ranked among the top 10 Universities in the world. Damiano is part of the academic advisory board of a number of financial institutions. 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, and Quantitative Analyst at Banca Intesa.
Damiano published 100+ scientific articles in Mathematical Finance, Systems Theory, Probability and Statistics, with H-index 36 on Scholar, 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, Journal of Financial Engineering, Information Geometry, and has been the top cited author in the industry leading Risk Magazine in 2006, 2010, 2012 and in the period 1988-2017. His current interests include valuation, risk measurement, funding, counterparty risk, stochastic models for commodities and inflation, dependence dynamics, liquidity risk, optimal execution, geometry of stochastic differential equations, information geometry, exponential families, mixture families, nonlinear stochastic filtering and signal processing.
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.