Fabio Mercurio

Publication Activity (10 Years)

Years Active: 2000-2005
Publications (10 Years): 0

Publications

Damiano Brigo, Fabio Mercurio, Massimo Morini
The LIBOR model dynamics: Approximations, calibration and diagnostics. Eur. J. Oper. Res. 163 (1) (2005)
Damiano Brigo, Fabio Mercurio
A deterministic-shift extension of analytically-tractable and time-homogeneous short-rate models. Finance Stochastics 5 (3) (2001)
Fabio Mercurio
Claim pricing and hedging under market incompleteness and "mean-variance" preferences. Eur. J. Oper. Res. 133 (3) (2001)
Damiano Brigo, Fabio Mercurio
Option pricing impact of alternative continuous-time dynamics for discretely-observed stock prices. Finance Stochastics 4 (2) (2000)
Fabio Mercurio, J. M. Moraleda
An analytically tractable interest rate model with humped volatility. Eur. J. Oper. Res. 120 (1) (2000)