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.