# Mercurio, Fabio

From Wilmott Wiki

**Fabio Mercurio** is a senior researcher at Bloomberg LP, New York.

His recent scientific interests include interest rate and inflation modelling for pricing and hedging exotics, the pricing of hybrids and the smile modelling for the equity, FX and interest rate markets. Fabio has published several articles in journals such as Mathematical Finance, Quantitative Finance, Finance and Stochastics and Risk. He has also coauthored the book "Interest Rate Models: Theory and Practice", published by Springer.

## Contents

## Publications

### Books

- D. Brigo and F. Mercurio (2006)
*Interest Rate Models*, 2nd ed. Springer Finance. - D. Brigo and F. Mercurio (2001)
*Interest Rate Models*, Springer Finance.

### Papers

- A. Castagna and F. Mercurio (2007), "The Vanna-Volga Method for Implied Volatilities", Risk January, 106-111.
- F. Mercurio and A. Pallavicini (2006), "Smiling at convexity: bridging swaption skews and CMS adjustments", Risk August, 64-69.
- F. Mercurio and N. Moreni (2006), "Inflation with a smile", Risk March, Vol. 19(3), 70-75.
- L. Bisesti, A. Castagna and F. Mercurio (2005), "Consistent Pricing and Hedging of an FX Options Book", Kyoto Economic Review 74(1), 65-83.
- F. Mercurio (2005), "Pricing Inflation-Indexed Derivatives", Quantitative Finance 5(3), 289-302.
- D. Brigo, F. Mercurio and M. Morini (2005), "The LIBOR Model Dynamics: Approximations, Calibration and Diagnostics", European Journal of Operational Research 163, 30-51.
- D. Brigo, F. Mercurio and F. Rapisarda (2004), "Smile at the Uncertainty", Risk May, Vol. 17 (5), 97-101.
- D. Brigo, F. Mercurio, F. Rapisarda and R. Scotti (2004), "Approximated Moment-Matching Dynamics for Basket-Options Pricing", Quantitative Finance 4, 1-16.
- D. Brigo, F. Mercurio and G. Sartorelli (2003), "Alternative asset-price dynamics and volatility smile", Quantitative Finance 3(3), 173-183.
- D. Brigo and F. Mercurio (2003), "Analytical Pricing of the Smile in a Forward LIBOR Market Model", Quantitative Finance 3(1), 15-27.
- D. Brigo and F. Mercurio (2002), "Lognormal-Mixture Dynamics and Calibration to Market Volatility Smiles", International Journal of Theoretical & Applied Finance 5(4), 427-446.
- D. Brigo and F. Mercurio (2002), "Joint Calibration of the LIBOR Market Model to Caps and Swaptions Volatilities", Risk January, 117-121.
- 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.
- F. Mercurio and J. Moraleda (2001), "A Family of Humped Volatility Models", The European Journal of Finance 7, 93-116.
- F. Mercurio (2001), "Claim Pricing and Hedging under Market Incompleteness and Mean-Variance Preferences", European Journal of Operational Research 133/3, 181-198.
- D. Brigo and F. Mercurio (2000), "A Mixed-up Smile", Risk September, Vol. 13 (9), 123-126.
- 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.
- F. Mercurio and J. Moraleda (2000), "An Analytically Tractable Interest Rate Model with Humped Volatility", European Journal of Operational Research 120/1, 205-214.
- D. Brigo and F. Mercurio (1999), "Correction: Is Ito calculus oversold?" Risk April, Vol. 12 (4), 67.
- F. Mercurio and A.C.F. Vorst (1996), "Option Pricing with Hedging at Fixed Trading Dates", Applied Mathematical Finance 3, 135-158.
- F. Mercurio and W.J. Runggaldier (1993), "Option Pricing for Jump-Diffusion: Approximations and Their Interpretation", Mathematical Finance 3, 191-200.

### Publications in volumes

- D. Brigo, F. Mercurio and F. Rapisarda (2004), "Connecting Univariate Smiles and Basket Dynamics". In the forthcoming volume on the Workshop on Risk Management and Model Specifications Issues in Finance organized by the Institute for Mathematics and its Applications of the University of Minneapolis.
- D. Brigo and F. Mercurio (2001), "Displaced and Mixture Diffusions for Analytically-Tractable Smile Models". In Mathematical Finance - Bachelier Congress 2000, Geman, H., Madan, D.B., Pliska, S.R., Vorst, A.C.F., eds. Springer Finance, Springer, Heidelberg.
- F. Mercurio and A.C.F. Vorst (1997), "Option Pricing and Hedging in Discrete Time with Transaction Costs". In Mathematics of Derivative Securities, edited by M.A.H. Dempster and S.R. Pliska, Cambridge University Press.

### Publications in conference proceedings

- D. Brigo and F. Mercurio (2000) "The CIR++ Model and other deterministic-shift extensions of short rate models". Proceedings of the 4th Columbia-JAFEE Conference for Mathematical Finance and Financial Engineering, Tokyo, December 16-17, 2000, pp. 563-584.
- D. Brigo and F. Mercurio (2000) "Lognormal-mixture dynamics and calibration to market volatility smiles". Proceedings of the 4th Columbia-JAFEE Conference for Mathematical Finance and Financial Engineering, Tokyo, December 16-17, pp. 281-296.
- D. Brigo and F. Mercurio (1999) "Expensive Markovianity and time holes in Black and Scholes". Proceedings of the conference Mathematical Theory of Networks and Systems, Padova, Italy, July 6-10, 1998. Il Poligrafo, Padova.