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The end of the risk-free rate
Damiano Brigo, Gilbart professor of financial mathematics at King’s College, London, talks to Alexander Campbell
![damiano-brigo damiano-brigo](/sites/default/files/styles/landscape_750_463/public/import/IMG/419/164419/damiano-brigo-580x358.jpg.webp?itok=aXAzylo9)
In his corner study on the fifth floor of King’s College, London, Damiano Brigo is unsettled – and only partly because he’s still getting used to the shift from the City to academia. His main concern is that the financial crisis has destroyed well-accepted concepts central to quantitative theory and derivatives pricing.
“Anything can default,” he says. “All the theory of valuation at the moment is based on the existence of a risk-free asset to be associated with the basic pricing measure. If
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