Fabio Mercurio

Q: What Schools Are Affiliated With Fabio Mercurio

Fabio Mercurio is affiliated with the following schools: Imperial College London, Erasmus University Rotterdam

Fabio Mercurio's AcademicInfluence.com Rankings

Fabio Mercurio

Economics

#1872

World Rank

#2148

Historical Rank

Financial Economics

#81

World Rank

#81

Historical Rank

economics Degrees

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Economics

Why Is Fabio Mercurio Influential?

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According to Wikipedia, Fabio Mercurio is an Italian mathematician, internationally known for a number of results in mathematical finance. Main results Mercurio worked during his Ph.D. on incomplete markets theory using dynamic mean-variance hedging techniques. With Damiano Brigo , he has shown how to construct stochastic differential equations consistent with mixture models, applying this to volatility smile modeling in the context of local volatility 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 Interest rate models: theory and practice 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 .

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Fabio Mercurio's Published Works

Number of citations in a given year to any of this author's works

Total number of citations to an author for the works they published in a given year. This highlights publication of the most important work(s) by the author

Published Works

Interest-Rate Models: Theory and Practice (2001) (1376)
Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit (2001) (917)
Lognormal-mixture dynamics and calibration to market volatility smiles (2002) (155)
Interest Rates and The Credit Crunch: New Formulas and Market Models (2009) (144)
Parameterizing correlations: a geometric interpretation (2007) (92)
LIBOR Market Models with Stochastic Basis (2010) (86)
A deterministic–shift extension of analytically–tractable and time–homogeneous short–rate models (2001) (85)
Pricing inflation-indexed derivatives (2005) (84)
Approximated moment-matching dynamics for basket-options pricing (2004) (71)
Displaced and Mixture Diffusions for Analytically-Tractable Smile Models (2002) (68)
MODERN LIBOR MARKET MODELS: USING DIFFERENT CURVES FOR PROJECTING RATES AND FOR DISCOUNTING (2010) (64)
An analytically tractable interest rate model with humped volatility (2000) (57)
SMILE AT THE UNCERTAINTY (2003) (49)
Option pricing impact of alternative continuous-time dynamics for discretely-observed stock prices (2000) (44)
Alternative asset-price dynamics and volatility smile (2003) (35)
Looking Forward to Backward-Looking Rates: A Modeling Framework for Term Rates Replacing LIBOR (2019) (33)
Option pricing with hedging at fixed trading dates (1996) (31)
Option Pricing For Jump Diffusions: Approximations and Their Interpretation (1993) (31)
No-Arbitrage Dynamics for a Tractable SABR Term Structure Libor Model (2007) (28)
Consistent Pricing of FX Options (2006) (28)
The LIBOR model dynamics: Approximations, calibration and diagnostics (2005) (25)
Implied Volatility: A mixed up smile (2000) (21)
On Deterministic Shift Extensions of Short Rate Models (2001) (21)
Discrete Time vs Continuous Time Stock-Price Dynamics and Implications for Option Pricing (2008) (20)
Approximated Moment-Matching Dynamics for Basket-Options Simulation (2001) (19)
Analytical pricing of the smile in a forward LIBOR market model (2003) (19)
Smiling at Convexity: Bridging Swaption Skews and Cms Adjustments (2006) (18)
Bergman, Piterbarg and Beyond: Pricing Derivatives under Collateralization and Differential Rates (2013) (17)
A Simple Multi-Curve Model for Pricing SOFR Futures and Other Derivatives (2018) (16)
Swaption Skews and Convexity Adjustments (2005) (14)
Option Pricing and Hedging in Discrete Time with Transaction Costs and Incomplete Markets (1997) (14)
Consistent Pricing and Hedging of an FX Options Book (2005) (14)
Yes, Libor Models Can Capture Interest Rate Derivatives Skew: A Simple Modelling Approach (2005) (11)
A multi-stage uncertain-volatility model (2003) (11)
A LIBOR Market Model with Stochastic Basis (2010) (11)
On the joint calibration of the Libor market model to caps and swaptions market volatilities É (2001) (10)
A Multi-Factor SABR Model for Forward Inflation Rates (2009) (10)
The Basis Goes Stochastic: A Jump-Diffusion Model for Financial Risk Applications (2016) (10)
Claim pricing and hedging under market incompleteness and "mean-variance" preferences (2001) (9)
Basel II Second Pillar: An Analytical VAR with Contagion and Sectorial Risks (2009) (9)
PRICING INFLATION-INDEXED OPTIONS WITH STOCHASTIC VOLATILITY (2005) (8)
Mixing Gaussian Models to Price Cms Derivatives (2005) (8)
CLOSED-FORM APPROXIMATION OF PERPETUAL TIMER OPTION PRICES (2014) (7)
A family of humped volatility models (2001) (7)
The GARCH Linear SDE: Explicit Formulas and the Pricing of a Quanto CDS (2018) (7)
Closed-Form Approximation of Timer Option Prices under General Stochastic Volatility Models (2013) (7)
A Family of Humped Volatility Structures (1996) (6)
Connecting univariate smiles and basket dynamics: a new multidimensional dynamics for basket options (2004) (6)
No-arbitrage conditions for cash-settled swaptions (2007) (6)
Jumping with Default: Wrong-Way-Risk Modeling for Credit Valuation Adjustment (2016) (6)
A Note on Hedging with Local and Stochastic Volatility Models (2008) (5)
Analytical Credit VAR with Stochastic Probabilities of Default and Recoveries (2009) (5)
Lognormal-Mixture Dynamics and Calibration to Volatility Smiles and Skews (2001) (5)
A Note on Correlation in Stochastic Volatility Term Structure Models (2007) (5)
The Present of Futures: Valuing Eurodollar-Futures Convexity Adjustments in a Multi-Curve World (2017) (5)
Dierent Covariance Parameterizations of the Libor Market Model and Joint Caps/Swaptions Calibration ⁄ (2002) (5)
Fitting volatility skews and smiles with analytical stock-price models (2000) (3)
New Frontiers in Practical Risk Management (2014) (3)
The Widening of the Basis: New Market Formulas for Swaps, Caps and Swaptions (2013) (3)
Interest Rate Models I (2019) (3)
Looking Forward to Backward-Looking Rates: Completing the Generalized Forward Market Model (2019) (2)
Pricing the smile in a forward LIBOR market model (2002) (2)
Definitions and Notation (2001) (1)
The Heath-Jarrow-Morton (HJM) Framework (2001) (1)
Other Interest-Rate Models (2001) (1)
Cases of Calibration of the LIBOR Market Model (2001) (1)
Lognormal Mixture Diffusion Model (2010) (0)
Approximating Diffusions with Trees (2001) (0)
Caps and Floors (2010) (0)
Analytical Pricing of CDOs in a Multi-Factor Setting by a Moment Matching Approach (2012) (0)
List of Publications for Damiano Brigo (2021) (0)
Pricing Derivatives on a Single Interest-Rate Curve (2001) (0)
Monte Carlo Tests for LFM Analytical Approximations (2001) (0)
Pricing Derivatives on Two Interest-Rate Curves (2001) (0)
The Practice of Local Correlation: An Empirical Study of Multi‐Currency Option Pricing (2016) (0)
A Crash Introduction to Stochastic Differential Equations (2001) (0)
Talking to the Traders (2001) (0)
A Useful Calculation (2001) (0)
Practical Applications of Interview with Fabio Mercurio (2016) (0)
The LIBOR and Swap Market Models (LFM and LSM) (2001) (0)
A Note on Building Proxy Volatility Cubes (2019) (0)
Pricing Equity Derivatives under Stochastic Rates (2001) (0)
Two-Factor Short-Rate Models (2001) (0)
No-Arbitrage Pricing and Numeraire Change (2001) (0)
Smile-consistent CMS adjustments in closed form : introducing the Vanna-Volga approach (2007) (0)
Pricing Inflation Derivatives (2012) (0)
One-factor short-rate models (2001) (0)

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Other Resources About Fabio Mercurio

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What Schools Are Affiliated With Fabio Mercurio?

Fabio Mercurio is affiliated with the following schools: