Fabio Mercurio

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Freight consolidation through carrier collaboration -- a cooperative game Operations Research Letters	2025-05-03	Paper
Approximated moment-matching dynamics for basket-options pricing Quantitative Finance	2019-01-15	Paper
Analytical pricing of the smile in a forward LIBOR market model Quantitative Finance	2019-01-14	Paper
Alternative asset-price dynamics and volatility smile Quantitative Finance	2019-01-14	Paper
Bergman, Piterbarg, and beyond: pricing derivatives under collateralization and differential rates Springer Proceedings in Mathematics & Statistics	2016-01-27	Paper
Closed-form approximation of perpetual timer option prices International Journal of Theoretical and Applied Finance	2014-08-08	Paper
Modern LIBOR market models: using different curves for projecting rates and for discounting International Journal of Theoretical and Applied Finance	2010-05-19	Paper
Parameterizing correlations: a geometric interpretation IMA Journal of Management Mathematics	2007-11-27	Paper
Interest rate models -- theory and practice. With smile, inflation and credit Springer Finance	2006-12-29	Paper
Pricing inflation-indexed derivatives Quantitative Finance	2005-12-09	Paper
LOGNORMAL-MIXTURE DYNAMICS AND CALIBRATION TO MARKET VOLATILITY SMILES International Journal of Theoretical and Applied Finance	2005-06-22	Paper
The LIBOR model dynamics: Approximations, calibration and diagnostics European Journal of Operational Research	2005-01-12	Paper
scientific article; zbMATH DE number 1724293 (Why is no real title available?)	2003-05-31	Paper
A deterministic-shift extension of analytically-tractable and time-homogeneous short-rate models Finance and Stochastics	2001-12-12	Paper
Interest rate models -- theory and practice Springer Finance	2001-07-09	Paper
Claim pricing and hedging under market incompleteness and ``mean-variance'' preferences European Journal of Operational Research	2001-01-01	Paper
scientific article; zbMATH DE number 1222795 (Why is no real title available?)	2000-11-12	Paper
Option pricing impact of alternative continuous-time dynamics Finance and Stochastics	2000-11-01	Paper
An analytically tractable interest rate model with humped volatility European Journal of Operational Research	2000-09-14	Paper
Option Pricing For Jump Diffusions: Approximations and Their Interpretation Mathematical Finance	1998-01-21	Paper
scientific article; zbMATH DE number 995879 (Why is no real title available?)	1997-04-01	Paper
Option pricing with hedging at fixed trading dates Applied Mathematical Finance	1996-01-01	Paper

Research outcomes over time

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