171:
for
Springer-Verlag, that quickly became an international reference for stochastic dynamic interest rate modeling. He is the recipient of the 2020 Risk quant-of-the-year award jointly with Andrei Lyashenko of QRM for their joint paper Lyashenko and Mercurio (2019).
227:
D. Brigo and F. Mercurio (2002), "Lognormal-Mixture
Dynamics and Calibration to Market Volatility Smiles", International Journal of Theoretical and Applied Finance 5(4), 427–446.
209:
A. Lyashenko and F. Mercurio (2019), "Libor replacement: a modelling framework for in-arrears term rates", Risk
Magazine, June 2019, recipient of the "Quant of the year" award.
239:
D. Brigo and F. Mercurio (2000), "Option
Pricing Impact of Alternative Continuous Time Dynamics for Discretely Observed Stock Prices", Finance and Stochastics 4 (2), 147–160.
230:
D. Brigo and F. Mercurio (2001), "A Deterministic-Shift
Extension of Analytically-Tractable and Time-Homogeneous Short-Rate Models", Finance and Stochastics 5(3), 369–387.
242:
F. Mercurio and J. Moraleda (2000), "An
Analytically Tractable Interest Rate Model with Humped Volatility", European Journal of Operational Research 120/1, 205–214.
236:
F. Mercurio (2001), "Claim
Pricing and Hedging under Market Incompleteness and Mean-Variance Preferences", European Journal of Operational Research 133/3, 181–198.
387:
167:
models. He is also one of the main authors in inflation modeling. Mercurio has also authored several publications in top journals and co-authored the book
248:
F. Mercurio and W.J. Runggaldier (1993), "Option
Pricing for Jump-Diffusion: Approximations and Their Interpretation", Mathematical Finance 3, 191–200.
224:
D. Brigo, F. Mercurio and G. Sartorelli (2003), "Alternative asset-price dynamics and volatility smile", Quantitative
Finance 3(3), 173–183.
218:
L. Bisesti, A. Castagna and F. Mercurio (2005), "Consistent
Pricing and Hedging of an FX Options Book", Kyoto Economic Review 74(1), 65–83.
152:
245:
F. Mercurio and A.C.F. Vorst (1996), "Option Pricing with Hedging at Fixed Trading Dates", Applied Mathematical Finance 3, 135–158.
363:
212:
F. Mercurio and A. Pallavicini (2006), "Smiling at convexity: bridging swaption skews and CMS adjustments", Risk August, 64–69.
392:
335:
397:
112:
87:
233:
F. Mercurio and J. Moraleda (2001), "A Family of Humped Volatility Models", The European Journal of Finance 7, 93–116.
266:
Brigo, D. & Mercurio, F. (2002), "Lognormal-Mixture Dynamics and Calibration to Market Volatility Smiles",
402:
275:
407:
189:
132:
91:
67:
280:
368:
359:
193:
144:
221:
F. Mercurio (2005), "Pricing Inflation-Indexed Derivatives", Quantitative Finance 5(3), 289–302.
285:
164:
160:
215:
F. Mercurio and N. Moreni (2006), "Inflation with a smile", Risk March, Vol. 19(3), 70–75.
372:
181:
77:
381:
339:
185:
156:
148:
128:
289:
323:
Interest Rate Models: Theory and Practice – with Smile, Inflation and Credit
197:
108:
180:
Currently Mercurio is the global head of Quantitative Analytics at
302:
Mercurio, F. & Moreni, N. (2006), "Inflation with a smile",
354:
147:
theory using dynamic mean-variance hedging techniques. With
268:
International Journal of Theoretical and Applied Finance
131:, internationally known for a number of results in
97:
83:
73:
63:
58:
46:
28:
21:
8:
151:(2002–2003), he has shown how to construct
18:
279:
169:Interest rate models: theory and practice
258:
127:(born 26 September 1966) is an Italian
321:Brigo, D. & Mercurio, F. (2001),
7:
336:Quant of the year award announcement
143:Mercurio worked during his Ph.D. on
388:21st-century Italian mathematicians
355:Fabio Mercurio's personal web page
14:
192:in mathematical finance from the
153:stochastic differential equations
16:Italian mathematician (born 1966)
360:Fabio Mercurio's research papers
364:Social Science Research Network
1:
325:, Heidelberg: Springer Verlag
88:Erasmus University Rotterdam
163:modeling in the context of
424:
369:Fabio Mercurio's citations
290:10.1142/S0219024902001511
118:
107:
54:
113:IDEAS / RePEc
393:Probability theorists
204:Selected publications
398:Financial economists
133:mathematical finance
92:University of Padova
68:Mathematical finance
159:, applying this to
194:Erasmus University
145:incomplete markets
122:
121:
101:W. J. Runggaldier
39:26 September 1966
415:
342:
333:
327:
326:
318:
312:
311:
299:
293:
292:
283:
263:
165:local volatility
161:volatility smile
155:consistent with
42:
38:
36:
19:
423:
422:
418:
417:
416:
414:
413:
412:
378:
377:
373:Google Scholar
351:
346:
345:
334:
330:
320:
319:
315:
301:
300:
296:
281:10.1.1.210.4165
265:
264:
260:
255:
206:
178:
141:
102:
90:
84:Alma mater
59:Academic career
40:
34:
32:
24:
17:
12:
11:
5:
421:
419:
411:
410:
405:
400:
395:
390:
380:
379:
376:
375:
366:
357:
350:
349:External links
347:
344:
343:
328:
313:
294:
274:(4): 427–446,
257:
256:
254:
251:
250:
249:
246:
243:
240:
237:
234:
231:
228:
225:
222:
219:
216:
213:
210:
205:
202:
182:Bloomberg L.P.
177:
174:
157:mixture models
140:
137:
125:Fabio Mercurio
120:
119:
116:
115:
105:
104:
103:A. C. F. Vorst
99:
95:
94:
85:
81:
80:
78:Bloomberg L.P.
75:
71:
70:
65:
61:
60:
56:
55:
52:
51:
48:
44:
43:
30:
26:
25:
23:Fabio Mercurio
22:
15:
13:
10:
9:
6:
4:
3:
2:
420:
409:
406:
404:
403:Living people
401:
399:
396:
394:
391:
389:
386:
385:
383:
374:
370:
367:
365:
361:
358:
356:
353:
352:
348:
341:
340:Risk Magazine
337:
332:
329:
324:
317:
314:
309:
305:
298:
295:
291:
287:
282:
277:
273:
269:
262:
259:
252:
247:
244:
241:
238:
235:
232:
229:
226:
223:
220:
217:
214:
211:
208:
207:
203:
201:
199:
195:
191:
188:. He holds a
187:
186:New York City
183:
175:
173:
170:
166:
162:
158:
154:
150:
149:Damiano Brigo
146:
138:
136:
134:
130:
129:mathematician
126:
117:
114:
110:
106:
100:
96:
93:
89:
86:
82:
79:
76:
72:
69:
66:
62:
57:
53:
49:
45:
41:(age 57)
31:
27:
20:
331:
322:
316:
307:
303:
297:
271:
267:
261:
179:
176:Affiliations
168:
142:
139:Main results
124:
123:
408:1966 births
109:Information
74:Institution
47:Nationality
382:Categories
310:(3): 70–75
304:Risk March
253:References
98:Influences
35:1966-09-26
276:CiteSeerX
198:Rotterdam
362:at the
50:Italian
278:
338:from
190:Ph.D.
64:Field
29:Born
371:at
286:doi
196:in
111:at
384::
308:19
306:,
284:,
270:,
200:.
184:,
135:.
37:)
288::
272:5
33:(
Text is available under the Creative Commons Attribution-ShareAlike License. Additional terms may apply.