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~isPartOf:"Risk : managing risk in the world's financial markets"
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Mercurio, Fabio
12
Brigo, Damiano
3
Moreni, Nicola
2
Castagna, Antonio
1
Morini, Massimo
1
Pallavicinl, Andrea
1
Rapisarda, Francesco
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Xie, Zhenqiu
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Zhang, Joshua Xingzhi
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Risk : managing risk in the world's financial markets
Discussion paper / Tinbergen Institute
4
Finance and stochastics
4
Bloomberg Portfolio Research Paper
3
Discussion paper / Tinbergen Institute / Tinbergen Institute
3
International journal of theoretical and applied finance
3
European Journal of Operational Research
2
European journal of operational research : EJOR
2
Finance and Stochastics
2
International Journal of Theoretical and Applied Finance (IJTAF)
2
Quantitative Finance
2
Report / Erasmus Center for Financial Research, Erasmus University
2
The Kyoto economic review
2
Tinbergen Institute Discussion Papers
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Applied Mathematical Finance
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Applied mathematical finance
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Bloomberg Education and Quantitative Research Paper
1
Computing in Economics and Finance 2005
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Inflation risks and products : the complete guide
1
Interest rate modelling after the financial crisis
1
Journal of Futures Markets
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Mathematical Finance
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Mathematical finance : an international journal of mathematics, statistics and financial theory
1
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1
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1
Springer Finance
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The European Journal of Finance
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Interest rate derivatives - The basis goes stochastic - The one-curve world of pre-crisis modelling is long gone — Now derivatives desks need to use a variety of fixings depending...
Mercurio, Fabio
;
Xie, Zhenqiu
- In:
Risk : managing risk in the world's financial markets
25
(
2012
)
12
,
pp. 78-83
Persistent link: https://www.econbiz.de/10010061836
Saved in:
2
Inflation derivatives - Reducing approximation error in LPI swaps - Brody, Crosby & Li (2008) introduced a quasi-analytical method to price limited price index (LPI) swaps with the...
Zhang, Joshua Xingzhi
;
Mercurio, Fabio
- In:
Risk : managing risk in the world's financial markets
24
(
2011
)
4
,
pp. 76-80
Persistent link: https://www.econbiz.de/10008996124
Saved in:
3
Interest rate derivatives A Libor market model with a stochastic basis The advent of the financial crisis made the previously negligible bases between different overnight interest...
Mercurio, Fabio
- In:
Risk : managing risk in the world's financial markets
23
(
2010
)
12
,
pp. 84-90
Persistent link: https://www.econbiz.de/10008766078
Saved in:
4
Inflation - Inflation modelling with SABR dynamics - The authors introduce a new forward Consumer Price Index model that is based on a multi-factor volatility structure and leads t...
Mercurio, Fabio
;
Moreni, Nicola
- In:
Risk : managing risk in the world's financial markets
22
(
2009
)
6
,
pp. 98-103
Persistent link: https://www.econbiz.de/10008265090
Saved in:
5
CUTTING EDGE - Interest rates - Joining the SABR and Libor models together - The authors propose a Libor market model consistent with SABR dynamics and develop approximations that...
Mercurio, Fabio
;
Morini, Massimo
- In:
Risk : managing risk in the world's financial markets
22
(
2009
)
3
,
pp. 80-85
Persistent link: https://www.econbiz.de/10008233229
Saved in:
6
Brief communication - Cash-settled swaptions and no-arbitrage - The author derives no-arbitrage conditions that must be satisfied by the pricing function of cash-settled swaptions....
Mercurio, Fabio
- In:
Risk : managing risk in the world's financial markets
21
(
2008
)
2
,
pp. 96-99
Persistent link: https://www.econbiz.de/10007917923
Saved in:
7
OPTION PRICING: The vanna-volga method for implied volatilities
Castagna, Antonio
;
Mercurio, Fabio
- In:
Risk : managing risk in the world's financial markets
20
(
2007
)
1
,
pp. 106-111
Persistent link: https://www.econbiz.de/10007589222
Saved in:
8
CUTTING EDGE: INFLATION-INDEXED SECURITIES Inflation with a smile - In the current inflation-indexed markets most traded options have zero or even negative strikes. This highlights...
Mercurio, Fabio
;
Moreni, Nicola
- In:
Risk : managing risk in the world's financial markets
19
(
2006
)
3
,
pp. 70-75
Persistent link: https://www.econbiz.de/10007221919
Saved in:
9
IMPLIED VOLATILITY: Smiling at convexity - The price of a constant maturity swap (CMS)-based derivative is largely determined by the value of swaption volatilities at extreme strik...
Mercurio, Fabio
;
Pallavicinl, Andrea
- In:
Risk : managing risk in the world's financial markets
19
(
2006
)
8
,
pp. 64-69
Persistent link: https://www.econbiz.de/10007301214
Saved in:
10
Option pricing: Smile at the uncertainty - The authors propose an intuitive stochastic volatility model that allows for consistent revaluation of an options book and the calculatio...
Brigo, Damiano
;
Mercurio, Fabio
;
Rapisarda, Francesco
- In:
Risk : managing risk in the world's financial markets
17
(
2004
)
5
,
pp. 97-101
Persistent link: https://www.econbiz.de/10007027732
Saved in:
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