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Mercurio, Fabio's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
20,856 |
Total
Citations
116 |
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1.
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Mercurio, Fabio
Bloomberg L.P.
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24 Jan 09
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Last Revised:
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11 May 10
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4,805
(590)
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22
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credit crunch, credit, liquidity, market rates, forward curve, discount curve, bootstrapping, FRAs, swaps, caps, swaptions, LIBOR market models, measure changes, stochastic volatility, Heston volatility, closed form formulas
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2.
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Mercurio, Fabio
Bloomberg L.P. Pallavicini, Andrea
Imperial College London - Department of Mathematics
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1,955
(2,944)
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7
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swaption, CMS, volatility smile, volatility skew, convexity adjustment, SABR, stochastic volatility, calibration
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3.
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Morini, Massimo
Banca IMI Mercurio, Fabio
Bloomberg L.P.
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02 Oct 07
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Last Revised:
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07 Apr 10
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1,928
(3,004)
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6
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stochastic volatility, SABR, no-arbitrage,libor market model, BGM
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4.
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Castagna, Antonio
Iason Ltd. Mercurio, Fabio
Bloomberg L.P.
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1,647
(3,940)
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4
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FX option, smile, consisten pricing, stochastic volatility
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5.
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Mercurio, Fabio
Bloomberg L.P.
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| Posted: |
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05 Mar 10
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Last Revised:
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08 Jun 10
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1,539
(4,456)
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15
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LIBOR market model, stochastic basis, forward curves, discount curve, OIS rates, FRAs, swaps, caps, swaptions, measure changes, stochastic volatility, multiple tenors, closed form formulas
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6.
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Brigo, Damiano
Department of Mathematics, Imperial College, London Mercurio, Fabio
Bloomberg L.P. Rapisarda, Francesco
Method Investments and Advisory Scotti, Rita
affiliation not provided to SSRN
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1,253
(6,357)
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6
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7.
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Mercurio, Fabio
Bloomberg L.P. Moreni, Nicola
Banca IMI
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| Posted: |
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05 Feb 09
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Last Revised:
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08 Apr 10
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1,083
(8,132)
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Inflation, SABR dynamics, closed-form formulas, calibration
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8.
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Mercurio, Fabio
Bloomberg L.P. Morini, Massimo
Banca IMI
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| Posted: |
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03 Nov 08
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Last Revised:
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13 Jan 09
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1,038
(8,748)
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1
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hedging, local volatility, stochastic volatility, sabr
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9.
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Mercurio, Fabio
Bloomberg L.P.
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935
(10,281)
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14
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LIBOR market model, stochastic basis, forward curves, discount curve, OIS rates, FRAs, swaps, caps, swaptions, measure changes, stochastic volatility, multiple tenors, closed form formulas
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10.
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Mercurio, Fabio
Bloomberg L.P. Pallavicini, Andrea
Imperial College London - Department of Mathematics
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837
(12,272)
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2
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swaption, CMS, volatility smile, volatility skew, convexity adjustment, Gaussian model, Hull and White model, stochastic volatility, uncertain volatility, calibration
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11.
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Castagna, Antonio
Iason Ltd. Mercurio, Fabio
Bloomberg L.P. Mosconi, Paola
San Paolo IMI - Banca IMI
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| Posted: |
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02 Jun 09
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Last Revised:
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28 Aug 09
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737
(14,808)
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2
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Basel II, second pillar, credit VaR, analytical formula, contagion risk, sectoral risk, stochastic default probability, stochastic recovery, scenario
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12.
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Brigo, Damiano
Department of Mathematics, Imperial College, London Mauri, Gianvittorio
Banca IMI Mercurio, Fabio
Bloomberg L.P.
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698
(16,045)
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20
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13.
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Errais, Eymen
Stanford University Mercurio, Fabio
Bloomberg L.P.
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586
(20,578)
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5
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Libor models, caps, swaptions
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14.
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Brigo, Damiano
Department of Mathematics, Imperial College, London Mercurio, Fabio
Bloomberg L.P.
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487
(26,369)
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5
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Short-rate models, Analytical tractability, Yield-Curve fitting, Vasicek's model, Dothan's model, Cox-Ingersoll-Ross' model, Longstaff and Schwartz's model, Monte Carlo evaluation
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15.
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Morini, Massimo
Banca IMI Mercurio, Fabio
Bloomberg L.P.
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451
(29,182)
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5
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correlation, stochastic volatility, libor market model
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16.
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Brigo, Damiano
Department of Mathematics, Imperial College, London Mercurio, Fabio
Bloomberg L.P.
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403
(33,710)
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Stochastic Differential Equations, Fokker--Planck Equation, Exponential Families, Stock Price Models, Black and Scholes model, Option Pricing, Trading Time Grid, Delta-Markovianity, Market Incompleteness, Option replication error
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17.
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Bonollo, Michele
affiliation not provided to SSRN Mercurio, Fabio
Bloomberg L.P. Mosconi, Paola
San Paolo IMI - Banca IMI
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349
(40,242)
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2
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Basel II, second pillar, credit VaR, analytical formula, contagion, sectorial risk
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18.
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Castagna, Antonio
Iason Ltd. Mercurio, Fabio
Bloomberg L.P. Mosconi, Paola
affiliation not provided to SSRN
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84
(151,591)
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CDO pricing, moment matching, credit risk transfer, multifactor credit model
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19.
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Li, Minqiang
Bloomberg LP Mercurio, Fabio
Bloomberg L.P.
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41
(217,652)
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Timer options, Asymptotic expansion, Closed-form approximation, Perturbation
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20.
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Zhang, Joshua Xingzhi
Bloomberg L.P. Mercurio, Fabio
Bloomberg L.P.
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inflation, LPI, ASW, YOY, cap/floor
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21.
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Mercurio, Fabio
Bloomberg L.P.
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| Posted: |
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08 Jun 10
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Last Revised:
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09 Jun 10
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Credit crisis, interest rates, basis, forward curves, discount curve, LIBOR market model, measure change, caps, swaptions, analytical formulas, stochastic volatility
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22.
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Moraleda, Juan M.
Tinbergen Institute Mercurio, Fabio
Bloomberg L.P.
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Records 1 -
22
of 22 matches
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