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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
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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
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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
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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
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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
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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
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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
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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
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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
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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