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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
Cheuk, Terry
1
Morini, Massimo
1
Pallavicinl, Andrea
1
Rapisarda, Francesco
1
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Risk : managing risk in the world's financial markets
Report / Econometric Institute, Erasmus University Rotterdam
18
Report / Erasmus Center for Financial Research, Erasmus University
18
Discussion paper / Tinbergen Institute
16
Tinbergen Institute Discussion Papers
12
Report / Econometric Institute, Erasmus University Rotterdam / Econometric Institute, Erasmus University Rotterdam
7
Discussion paper / Tinbergen Institute / Tinbergen Institute
6
The journal of derivatives : the official publication of the International Association of Financial Engineers
6
Tinbergen Institute Discussion Paper
6
Journal of banking & finance
5
Econometric Institute Research Papers
4
Finance and stochastics
4
Journal of Banking & Finance
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Bloomberg Portfolio Research Paper
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European Journal of Operational Research
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International journal of theoretical and applied finance
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European journal of operational research : EJOR
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Finance
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Finance and Stochastics
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Journal of Economic Dynamics and Control
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Journal of International Money and Finance
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The Kyoto economic review
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Bloomberg Education and Quantitative Research Paper
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Computing in Economics and Finance 1999
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Computing in Economics and Finance 2005
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Credit risk : models, derivatives, and management
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ERIM Report Series Research in Management
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ERIM report series research in management
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European financial management : the journal of the European Financial Management Association
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Inflation risks and products : the complete guide
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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:
2
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:
3
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:
4
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:
5
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:
6
Interest rates - Calibrating Libor
Brigo, Damiano
;
Mercurio, Fabio
- In:
Risk : managing risk in the world's financial markets
15
(
2002
)
1
,
pp. 117-122
Persistent link: https://www.econbiz.de/10007039807
Saved in:
7
IMPLIED VOLATILITY: A MIXED-UP SMILE - Using lognormal mixtures to construct a local volatility model that is analytically tractable and can be flexibly calibrated to market data.
Brigo, Damiano
;
Mercurio, Fabio
- In:
Risk : managing risk in the world's financial markets
13
(
2000
)
9
,
pp. 123-126
Persistent link: https://www.econbiz.de/10007047801
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
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:
10
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
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