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Modern LIBOR market models : using different curves for projecting rates and for discounting
Mercurio, Fabio - In: International journal of theoretical and applied finance 13 (2010) 1, pp. 113-137
Persistent link: https://www.econbiz.de/10008860420
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A simple two-period model for option pricing with market imperfections
Mercurio, Fabio - In: PhD research bulletin / Tinbergen Institute 9 (1997) 1, pp. 39-48
Persistent link: https://www.econbiz.de/10001220781
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Mean-variance pricing and risk preferences
Mercurio, Fabio - 1996
Persistent link: https://www.econbiz.de/10000932106
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A Family of Humped Volatility Structures
Mercurio, Fabio; Moraleda, Juan M. - 1996
Persistent link: https://www.econbiz.de/10010324708
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Interest rate models - theory and practice : with smile, inflation and credit ; with 131 tables
Brigo, Damiano; Mercurio, Fabio - 2006 - 2. ed.
Persistent link: https://www.econbiz.de/10002116360
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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/10003379596
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Modelling inflation
Mercurio, Fabio; Yildirim, Yildiray - In: Inflation risks and products : the complete guide, (pp. 367-379). 2008
Persistent link: https://www.econbiz.de/10003970880
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Analytic approximation of finite-maturity timer option prices
Li, Minqiang; Mercurio, Fabio - In: The journal of futures markets 35 (2015) 3, pp. 245-273
Persistent link: https://www.econbiz.de/10011348432
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A family of humped volatility structures
Mercurio, Fabio; Moraleda Novo, Juan Manuel - 1996
Recent empirical studies on interest rate derivatives have shown that the volatil- ity structure of interest rates is frequently humped. Mercurio and Moraleda (1996) and Moraleda and Vorst (1996a) have modelled interest rate dynamics in such a way that humped volatility structures are possible...
Persistent link: https://www.econbiz.de/10010232146
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Libor market models with stochastic basis
Mercurio, Fabio - In: Interest rate modelling after the financial crisis, (pp. 323-368). 2013
Persistent link: https://www.econbiz.de/10011456998