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Mercurio, Fabio


 SSRN Author Rank: 537 by Downloads
 

Bloomberg L.P.


 731 Lexington Avenue
 New York, NY 10022
 United States
 email address

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. Mercurio, Fabio's Scholarly Papers Click on the title of any column to sort the table by that column.
Aggregate Statistics
Total
Downloads
23,345
Total
Citations
126
Authors Date Downloads
 (Rank)
Citations
ACTIONS:    Email Selected Abstracts    Export Selected Bibliographic Info    VIEW: Selected      Original List     All Versions       All Abstracts       Legend
1.  
Interest Rates and The Credit Crunch: New Formulas and Market Models | Show Abstract | Download |
Bloomberg Portfolio Research Paper No. 2010-01-FRONTIERS
Accepted Paper Series
Mercurio, Fabio
Bloomberg L.P.
Posted:
24 Jan 09
Last Revised:
11 May 10
5,496
(603)
25

2.  
Mercurio, Fabio
Bloomberg L.P.
Pallavicini, Andrea
Imperial College London - Department of Mathematics
Posted:
21 Mar 06
2,094
(3,272)
7

3.  
No-Arbitrage Dynamics for a Tractable SABR Term Structure Libor Model | Show Abstract | Download |
Bloomberg Portfolio Research Paper No. 2010-03-FRONTIERS
Working Paper Series
Morini, Massimo
Banca IMI
Mercurio, Fabio
Bloomberg L.P.
Posted:
02 Oct 07
Last Revised:
07 Apr 10
2,051
(3,382)
6

4.  
LIBOR Market Models with Stochastic Basis | Show Abstract | Download |
Bloomberg Education and Quantitative Research Paper No. 2010-05-FRONTIERS
Working Paper Series
Mercurio, Fabio
Bloomberg L.P.
Posted:
05 Mar 10
Last Revised:
08 Jun 10
1,931
(3,754)
17

5.  
Castagna, Antonio
Iason Ltd.
Mercurio, Fabio
Bloomberg L.P.
Posted:
05 Jan 06
1,837
(4,095)
5

6.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Mercurio, Fabio
Bloomberg L.P.
Rapisarda, Francesco
Method Investments and Advisory LTD
Scotti, Rita
affiliation not provided to SSRN
Posted:
29 Apr 01
1,293
(7,479)
7

7.  
Mercurio, Fabio
Bloomberg L.P.
Morini, Massimo
Banca IMI
Posted:
03 Nov 08
Last Revised:
13 Jan 09
1,233
(8,088)
1

8.  
A Multi-Factor SABR Model for Forward Inflation Rates | Show Abstract | Download |
Bloomberg Portfolio Research Paper No. 2009-08-FRONTIERS
Working Paper Series
Mercurio, Fabio
Bloomberg L.P.
Moreni, Nicola
Banca IMI
Posted:
05 Feb 09
Last Revised:
08 Apr 10
1,175
(8,803)
 

9.  
Mercurio, Fabio
Bloomberg L.P.
Posted:
05 Apr 10
1,130
(9,372)
16

10.  
Mercurio, Fabio
Bloomberg L.P.
Pallavicini, Andrea
Imperial College London - Department of Mathematics
Posted:
29 Dec 05
858
(14,378)
2

11.  
Analytical Credit VAR with Stochastic Probabilities of Default and Recoveries | Show Abstract | Download |
Bloomberg Portfolio Research Paper No. 2009-05-FRONTIERS
Working Paper Series
Castagna, Antonio
Iason Ltd.
Mercurio, Fabio
Bloomberg L.P.
Mosconi, Paola
IntesaSanpaolo Group
Posted:
02 Jun 09
Last Revised:
28 Aug 09
757
(17,323)
2

12.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Mauri, Gianvittorio
Banca IMI
Mercurio, Fabio
Bloomberg L.P.
Posted:
11 Jul 01
714
(18,855)
21

13.  
Errais, Eymen
Stanford University
Mercurio, Fabio
Bloomberg L.P.
Posted:
10 Mar 05
613
(23,386)
5

14.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Mercurio, Fabio
Bloomberg L.P.
Posted:
30 Nov 01
506
(30,389)
5

15.  
Morini, Massimo
Banca IMI
Mercurio, Fabio
Bloomberg L.P.
Posted:
02 Oct 07
472
(33,323)
5

16.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Mercurio, Fabio
Bloomberg L.P.
Posted:
30 Nov 01
411
(39,654)
 

17.  
Bonollo, Michele
affiliation not provided to SSRN
Mercurio, Fabio
Bloomberg L.P.
Mosconi, Paola
IntesaSanpaolo Group
Posted:
01 Feb 09
370
(45,078)
2

18.  
Li, Minqiang
Bloomberg LP
Mercurio, Fabio
Bloomberg L.P.
Posted:
04 Apr 13
150
(116,234)
 

19.  
Mercurio, Fabio
Bloomberg L.P.
Posted:
17 Sep 13
Last Revised:
18 Dec 13
132
(129,432)
 

20.  
Castagna, Antonio
Iason Ltd.
Mercurio, Fabio
Bloomberg L.P.
Mosconi, Paola
affiliation not provided to SSRN
Posted:
17 Jan 12
122
(139,468)
 

21.  
Zhang, Joshua Xingzhi
Bloomberg L.P.
Mercurio, Fabio
Bloomberg L.P.
Posted:
14 Aug 12
 

22.  
Modern Libor Market Models: Using Different Curves for Projecting Rates and for Discounting | Show Abstract |
International Journal of Theoretical and Applied Finance (IJTAF), 2010
Accepted Paper Series
Mercurio, Fabio
Bloomberg L.P.
Posted:
08 Jun 10
Last Revised:
09 Jun 10
 

23.  
Moraleda, Juan M.
Tinbergen Institute
Mercurio, Fabio
Bloomberg L.P.
Posted:
03 May 98
 


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