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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
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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
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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
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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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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
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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