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Mercurio, Fabio
17
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9
Brigo, Damiano
6
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2
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2
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2
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Risk : managing risk in the world's financial markets
13
The journal of derivatives : the official publication of the International Association of Financial Engineers
3
European journal of operational research : EJOR
2
Finance and stochastics
2
Annals of operations research
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OLC EcoSci
ECONIS (ZBW)
139
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2
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1
The LIBOR model dynamics: Approximations, calibration and diagnostics
Brigo, Damiano
;
Mercurio, Fabio
;
Morini, Massimo
- In:
European journal of operational research : EJOR
163
(
2005
)
1
,
pp. 30-51
Persistent link: https://www.econbiz.de/10006641727
Saved in:
2
Claim pricing and hedging under market incompleteness and "mean-variance" preferences
Mercurio, Fabio
- In:
European journal of operational research : EJOR
133
(
2001
)
3
,
pp. 635-652
Persistent link: https://www.econbiz.de/10006658595
Saved in:
3
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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4
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:
5
A deterministic-shift extension of analytically-tractable and time-homogeneous short-rate models
Brigo, Damiano
;
Mercurio, Fabio
- In:
Finance and stochastics
5
(
2001
)
3
,
pp. 369-388
Persistent link: https://www.econbiz.de/10008216993
Saved in:
6
Option pricing impact of alternative continuous-time dynamics for discretely-observed stock prices
Brigo, Damiano
;
Mercurio, Fabio
- In:
Finance and stochastics
4
(
2000
)
2
,
pp. 147-160
Persistent link: https://www.econbiz.de/10008217584
Saved in:
7
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:
8
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:
9
Consistent pricing and hedging of an FX options book
Bisesti, Lorenzo
;
Castagna, Antonio
;
Mercurio, Fabio
- In:
The Kyoto economic review
74
(
2005
)
1
,
pp. 65-83
Persistent link: https://www.econbiz.de/10009934646
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
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