User profiles for Fabio Mercurio
Fabio MercurioGlobal Head of Quantitative Analytics, Bloomberg LP Verified email at bloomberg.net Cited by 6003 |
LIBOR market models with stochastic basis
F Mercurio - Bloomberg education and quantitative research paper, 2010 - papers.ssrn.com
We extend the LIBOR market model to accommodate the new market practice of using
different forward and discount curves in the pricing of interest-rate derivatives. Our extension is …
different forward and discount curves in the pricing of interest-rate derivatives. Our extension is …
[BOOK][B] Interest rate models-theory and practice: with smile, inflation and credit
D Brigo, F Mercurio - 2006 - Springer
Authors work as Head of Credit Models and Head of Financial Models at an Italian bank, this
first-hand contact with trading gives them a practical insights on the subject
first-hand contact with trading gives them a practical insights on the subject
Interest rates and the credit crunch: new formulas and market models
F Mercurio - Bloomberg portfolio research paper, 2009 - papers.ssrn.com
We start by describing the major changes that occurred in the quotes of market rates after
the 2007 subprime mortgage crisis. We comment on their lost analogies and consistencies, …
the 2007 subprime mortgage crisis. We comment on their lost analogies and consistencies, …
Pricing inflation-indexed derivatives
F Mercurio* - Quantitative Finance, 2005 - Taylor & Francis
In this article, we start by briefly reviewing the approach proposed by Jarrow and Yildirim for
modelling inflation and nominal rates in a consistent way. Their methodology is applied to …
modelling inflation and nominal rates in a consistent way. Their methodology is applied to …
Lognormal-mixture dynamics and calibration to market volatility smiles
D Brigo, F Mercurio - … Journal of Theoretical and Applied Finance, 2002 - World Scientific
We introduce a general class of analytically tractable models for the dynamics of an asset
price based on the assumption that the asset-price density is given by the mixture of known …
price based on the assumption that the asset-price density is given by the mixture of known …
A deterministic–shift extension of analytically–tractable and time–homogeneous short–rate models
D Brigo, F Mercurio - Finance and Stochastics, 2001 - Springer
In the present paper we show how to extend any time-homogeneous short-rate model to a
model that can reproduce any observed yield curve, through a procedure that preserves the …
model that can reproduce any observed yield curve, through a procedure that preserves the …
Parameterizing correlations: a geometric interpretation
F Rapisarda, D Brigo, F Mercurio - IMA Journal of Management …, 2007 - academic.oup.com
In this paper, we present a new interpretation of the parameterization of a correlation matrix
proposed earlier by some authors (Jäckel & Rebonato, 1999). This interpretation is based on …
proposed earlier by some authors (Jäckel & Rebonato, 1999). This interpretation is based on …
[HTML][HTML] HCV genotypes are differently prone to the development of resistance to linear and macrocyclic protease inhibitors
Background Because of the extreme genetic variability of hepatitis C virus (HCV), we analyzed
whether specific HCV-genotypes are differently prone to develop resistance to linear and …
whether specific HCV-genotypes are differently prone to develop resistance to linear and …
[PDF][PDF] Looking forward to backward-looking rates: a modeling framework for term rates replacing LIBOR
A Lyashenko, F Mercurio - Available at SSRN, 2019 - deriscope.com
In this paper, we define and model forward risk-free term rates, which appear in the payoff
definition of derivatives, and possibly cash instruments, based on the new interest-rate …
definition of derivatives, and possibly cash instruments, based on the new interest-rate …
Modern LIBOR market models: using different curves for projecting rates and for discounting
F Mercurio - International Journal of Theoretical and Applied …, 2010 - World Scientific
We introduce an extended LIBOR market model that is compatible with the current market
practice of building different yield curves for different tenors and for discounting. The new …
practice of building different yield curves for different tenors and for discounting. The new …