Fabio Mercurio

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Fabio Mercurio
Born(1966-09-26) 26 September 1966 (age 47)
NationalityItaly
InstitutionBloomberg L.P.
FieldMathematical finance
Alma materErasmus University Rotterdam
University of Padova
InfluencesW. J. Runggaldier
A. C. F. Vorst
Information at IDEAS/RePEc
 
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Fabio Mercurio
Born(1966-09-26) 26 September 1966 (age 47)
NationalityItaly
InstitutionBloomberg L.P.
FieldMathematical finance
Alma materErasmus University Rotterdam
University of Padova
InfluencesW. J. Runggaldier
A. C. F. Vorst
Information at IDEAS/RePEc

Fabio Mercurio (born 26 September 1966) is an Italian mathematician, internationally known for a number of results in mathematical finance.

Main results[edit]

Mercurio worked during his Ph.D. on incomplete markets theory using dynamic mean-variance hedging techniques. With Damiano Brigo (2002–2003), he has shown how to construct stochastic differential equations consistent with mixture models, applying this to volatility smile modeling in the context of local volatility models.[1] He is also one of the main authors in inflation modeling.[2] Mercurio has also authored several publications in top journals and co-authored the book Interest rate models: theory and practice for Springer-Verlag,[3] that quickly became an international reference for stochastic dynamic interest rate modeling.

Affiliations[edit]

Currently Mercurio is a senior researcher at Bloomberg L.P., New York City. He holds a Ph.D. in mathematical finance from the Erasmus University in Rotterdam.

Selected publications[edit]

References[edit]

  1. ^ Brigo, D. & Mercurio, F. (2002), "Lognormal-Mixture Dynamics and Calibration to Market Volatility Smiles", International Journal of Theoretical & Applied Finance 5 (4): 427–446, doi:10.1142/S0219024902001511 
  2. ^ Mercurio, F. & Moreni, N. (2006), "Inflation with a smile", Risk March 19 (3): 70–75 
  3. ^ Brigo, D. & Mercurio, F. (2001), Interest Rate Models: Theory and Practice – with Smile, Inflation and Credit, Heidelberg: Springer Verlag 

External links[edit]