Concepedia

Fabio Mercurio

FM

Statistics

Publications

34

Citations

1.4K

H-Index

21

Active since

1993

Affiliations

Bloomberg (United States)(Current)

Imperial College London

Intesa Sanpaolo (Italy)

Fabio Mercurio is an author at Bloomberg (United States) specializing in business, asset pricing, and finance.

Top concepts

BusinessAsset PricingFinanceEngineeringOption PricingEconomicsVolatility ModelingStochastic ProcessesFinancial EngineeringStatistics

Publications per year

1993–2019

34

Publications

34

LOGNORMAL-MIXTURE DYNAMICS AND CALIBRATION TO MARKET VOLATILITY SMILES

Damiano Brigo, Fabio Mercurio · International Journal of Theoretical and Applied Finance · 2002 · 137 citations

Volatility Modeling, Multivariate Stochastic Volatility, Option Pricing +15

Interest Rates and The Credit Crunch: New Formulas and Market Models

Fabio Mercurio · SSRN Electronic Journal · 2009 · 125 citations · Full text

Economics, Term Structure Model, Financial Economics +15

Parameterizing correlations: a geometric interpretation

Francesco Rapisarda, Damiano Brigo, Fabio Mercurio · IMA Journal of Management Mathematics · 2006 · 105 citations

Integral Geometry, Geometric Interpretation, Engineering +14

A deterministic–shift extension of analytically–tractable and time–homogeneous short–rate models

Damiano Brigo, Fabio Mercurio · Finance and Stochastics · 2001 · 91 citations

Deterministic System, Engineering, Stochastic Processes +3

Approximated moment-matching dynamics for basket-options pricing

Damiano Brigo, Fabio Mercurio, Francesco Rapisarda et al. · Quantitative Finance · 2004 · 75 citations

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