Brigo (singer)
Brigo is a surname. Notable people with the surname include: * Damiano Brigo (born 1966), Italian applied mathematician * (born 1973), Italian basketball player * Juan Brigo Juan Brigo (c. 1928 – 27 June 1991) was a field hockey player who competed for Argentina at the 1948 Summer Olympics The 1948 Summer Olympics (officially the Games of the XIV Olympiad and also known as London 1948) were an internationa ...

Damiano Brigo
Damiano Brigo (born Venice, Italy 1966) is an applied mathematician and Chair in Mathematical Finance at Imperial College London. He is known for research in filtering theory and mathematical finance. Main results Brigo started his work with the development, with Bernard Hanzon and Francois Le Gland (1998), of the projection filters, a family of approximate nonlinear filters based on the differential geometry approach to statistics, also related to information geometry. With Fabio Mercurio (2002–2003), he has shown how to construct stochastic differential equations consistent with mixture models, applying this to volatility smile modeling in the context of local volatility models. With Aurelien Alfonsi (2005), Brigo introduced new families of multivariate distributions in statistics through the periodic copula function concept. Since 2002, Brigo contributed to credit derivatives modeling and counterparty risk valuation, showing with Pallavicini and Torresetti (2007) ...
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