Fabio Mercurio

Available identifiers

zbMath Open mercurio.fabioWikidataQ5427844 ScholiaQ5427844MaRDI QIDQ188064

List of research outcomes

Publication	Date of Publication	Type
Approximated moment-matching dynamics for basket-options pricing	2019-01-15	Paper
Analytical pricing of the smile in a forward LIBOR market model	2019-01-14	Paper
Alternative asset-price dynamics and volatility smile	2019-01-14	Paper
Bergman, Piterbarg, and Beyond: Pricing Derivatives Under Collateralization and Differential Rates	2016-01-27	Paper
Closed-form approximation of perpetual timer option prices	2014-08-08	Paper
MODERN LIBOR MARKET MODELS: USING DIFFERENT CURVES FOR PROJECTING RATES AND FOR DISCOUNTING	2010-05-19	Paper
Parameterizing correlations: a geometric interpretation	2007-11-27	Paper
Interest rate models -- theory and practice. With smile, inflation and credit	2006-12-29	Paper
Pricing inflation-indexed derivatives	2005-12-09	Paper
LOGNORMAL-MIXTURE DYNAMICS AND CALIBRATION TO MARKET VOLATILITY SMILES	2005-06-22	Paper
The LIBOR model dynamics: Approximations, calibration and diagnostics	2005-01-12	Paper
https://portal.mardi4nfdi.de/entity/Q2782353	2003-05-31	Paper
A deterministic-shift extension of analytically-tractable and time-homogeneous short-rate models	2001-12-12	Paper
Interest rate models -- theory and practice	2001-07-09	Paper
Claim pricing and hedging under market incompleteness and ``mean-variance preferences	2001-01-01	Paper
https://portal.mardi4nfdi.de/entity/Q4218382	2000-11-12	Paper
Option pricing impact of alternative continuous-time dynamics	2000-11-01	Paper
An analytically tractable interest rate model with humped volatility	2000-09-14	Paper
Option Pricing For Jump Diffusions: Approximations and Their Interpretation	1998-01-21	Paper
https://portal.mardi4nfdi.de/entity/Q3126758	1997-04-01	Paper
Option pricing with hedging at fixed trading dates	1996-01-01	Paper

Research outcomes over time

This page was built for person: Fabio Mercurio