Fabio Mercurio

Bloomberg L.P.

731 Lexington Avenue

New York, NY 10022

United States

SCHOLARLY PAPERS

31

DOWNLOADS
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Top 770

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41,011

SSRN CITATIONS
Rank 9,113

SSRN RANKINGS

Top 9,113

in Total Papers Citations

26

CROSSREF CITATIONS

115

Scholarly Papers (31)

1.

Interest Rates and The Credit Crunch: New Formulas and Market Models

Bloomberg Portfolio Research Paper No. 2010-01-FRONTIERS
Number of pages: 39 Posted: 24 Jan 2009 Last Revised: 11 May 2010
Fabio Mercurio
Bloomberg L.P.
Downloads 6,986 (1,207)
Citation 1

Abstract:

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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

2.

Looking Forward to Backward-Looking Rates: A Modeling Framework for Term Rates Replacing LIBOR

Number of pages: 25 Posted: 05 Mar 2019 Last Revised: 13 Feb 2020
Andrei Lyashenko and Fabio Mercurio
Quantitative Risk Management, Inc. and Bloomberg L.P.
Downloads 5,374 (1,870)
Citation 16

Abstract:

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IBOR replacement, RFR, SOFR, LMM, market model, forward rates

3.

LIBOR Market Models with Stochastic Basis

Bloomberg Education and Quantitative Research Paper No. 2010-05-FRONTIERS
Number of pages: 39 Posted: 05 Mar 2010 Last Revised: 08 Jun 2010
Fabio Mercurio
Bloomberg L.P.
Downloads 2,992 (5,225)
Citation 35

Abstract:

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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

4.

Smiling at Convexity: Bridging Swaption Skews and Cms Adjustments

Number of pages: 16 Posted: 21 Mar 2006
Fabio Mercurio and Andrea Pallavicini
Bloomberg L.P. and Intesa Sanpaolo
Downloads 2,674 (6,267)
Citation 8

Abstract:

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swaption, CMS, volatility smile, volatility skew, convexity adjustment, SABR, stochastic volatility, calibration

5.

Consistent Pricing of FX Options

Number of pages: 15 Posted: 05 Jan 2006
Antonio Castagna and Fabio Mercurio
Iason Ltd. and Bloomberg L.P.
Downloads 2,599 (6,557)
Citation 10

Abstract:

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FX option, smile, consisten pricing, stochastic volatility

6.

No-Arbitrage Dynamics for a Tractable SABR Term Structure Libor Model

Bloomberg Portfolio Research Paper No. 2010-03-FRONTIERS
Number of pages: 20 Posted: 02 Oct 2007 Last Revised: 22 Jun 2016
Massimo Morini and Fabio Mercurio
Banca IMI and Bloomberg L.P.
Downloads 2,308 (7,946)
Citation 1

Abstract:

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stochastic volatility, SABR, no-arbitrage,libor market model, BGM

7.

A Simple Multi-Curve Model for Pricing SOFR Futures and Other Derivatives

Number of pages: 18 Posted: 17 Aug 2018
Fabio Mercurio
Bloomberg L.P.
Downloads 2,294 (8,034)
Citation 4

Abstract:

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LIBOR, SOFR, Multi-Curve Model, Futures, Swap, Basis Swap

8.

A LIBOR Market Model with Stochastic Basis

Number of pages: 16 Posted: 05 Apr 2010
Fabio Mercurio
Bloomberg L.P.
Downloads 1,780 (12,126)
Citation 30

Abstract:

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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

9.

A Note on Hedging with Local and Stochastic Volatility Models

Number of pages: 13 Posted: 03 Nov 2008 Last Revised: 22 Jun 2016
Fabio Mercurio and Massimo Morini
Bloomberg L.P. and Banca IMI
Downloads 1,597 (14,361)
Citation 3

Abstract:

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hedging, local volatility, stochastic volatility, sabr

10.

A Multi-Factor SABR Model for Forward Inflation Rates

Bloomberg Portfolio Research Paper No. 2009-08-FRONTIERS
Number of pages: 19 Posted: 05 Feb 2009 Last Revised: 08 Apr 2010
Fabio Mercurio and Nicola Moreni
Bloomberg L.P. and Intesa Sanpaolo, CIB Division, Global Markets
Downloads 1,561 (14,876)
Citation 2

Abstract:

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Inflation, SABR dynamics, closed-form formulas, calibration

11.

Approximated Moment-Matching Dynamics for Basket-Options Simulation

Number of pages: 39 Posted: 29 Apr 2001
Imperial College London - Department of Mathematics, Bloomberg L.P., Bloomberg L.P. and affiliation not provided to SSRN
Downloads 1,471 (16,381)
Citation 6

Abstract:

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12.

Mixing Gaussian Models to Price Cms Derivatives

Number of pages: 13 Posted: 29 Dec 2005
Fabio Mercurio and Andrea Pallavicini
Bloomberg L.P. and Intesa Sanpaolo
Downloads 931 (32,039)
Citation 4

Abstract:

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swaption, CMS, volatility smile, volatility skew, convexity adjustment, Gaussian model, Hull and White model, stochastic volatility, uncertain volatility, calibration

13.

Lognormal-Mixture Dynamics and Calibration to Volatility Smiles and Skews

Number of pages: 21 Posted: 11 Jul 2001
Damiano Brigo, Gianvittorio Mauri and Fabio Mercurio
Imperial College London - Department of Mathematics, Banca IMI and Bloomberg L.P.
Downloads 928 (32,182)
Citation 7

Abstract:

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14.

Analytical Credit VAR with Stochastic Probabilities of Default and Recoveries

Bloomberg Portfolio Research Paper No. 2009-05-FRONTIERS
Number of pages: 32 Posted: 02 Jun 2009 Last Revised: 28 Aug 2009
Antonio Castagna, Fabio Mercurio and Paola Mosconi
Iason Ltd., Bloomberg L.P. and IntesaSanpaolo Group
Downloads 877 (34,769)
Citation 2

Abstract:

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Basel II, second pillar, credit VaR, analytical formula, contagion risk, sectoral risk, stochastic default probability, stochastic recovery, scenario

15.

On Deterministic Shift Extensions of Short Rate Models

Number of pages: 25 Posted: 30 Nov 2001
Damiano Brigo and Fabio Mercurio
Imperial College London - Department of Mathematics and Bloomberg L.P.
Downloads 781 (40,811)
Citation 9

Abstract:

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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

16.

Jumping with Default: Wrong-Way-Risk Modeling for Credit Valuation Adjustment

Number of pages: 33 Posted: 14 May 2015 Last Revised: 23 Aug 2016
Minqiang Li and Fabio Mercurio
Bloomberg LP and Bloomberg L.P.
Downloads 722 (45,332)
Citation 4

Abstract:

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Wrong-way risk; Credit value adjustment; jump diffusion model; default

17.

Yes, Libor Models Can Capture Interest Rate Derivatives Skew: A Simple Modelling Approach

Number of pages: 27 Posted: 10 Mar 2005
Eymen Errais and Fabio Mercurio
Stanford University and Bloomberg L.P.
Downloads 702 (47,087)
Citation 8

Abstract:

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Libor models, caps, swaptions

18.

Looking Forward to Backward-Looking Rates: Completing the Generalized Forward Market Model

Number of pages: 22 Posted: 15 Nov 2019
Andrei Lyashenko and Fabio Mercurio
Quantitative Risk Management, Inc. and Bloomberg L.P.
Downloads 572

Abstract:

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IBOR replacement, LMM, HJM, markovianity, market model, forward rates

19.

The Present of Futures: Valuing Eurodollar-Futures Convexity Adjustments in a Multi-Curve World

Number of pages: 20 Posted: 19 Jun 2017 Last Revised: 15 Jun 2018
Fabio Mercurio
Bloomberg L.P.
Downloads 560 (63,036)
Citation 4

Abstract:

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Eurodollar Futures, Convexity Adjustments, Multi-Curve Models

20.

A Note on Correlation in Stochastic Volatility Term Structure Models

Number of pages: 8 Posted: 02 Oct 2007
Massimo Morini and Fabio Mercurio
Banca IMI and Bloomberg L.P.
Downloads 523 (68,706)
Citation 1

Abstract:

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correlation, stochastic volatility, libor market model

21.

A Note on Building Proxy Volatility Cubes

Number of pages: 13 Posted: 17 May 2019 Last Revised: 25 May 2019
Fabio Mercurio
Bloomberg L.P.
Downloads 496 (73,493)

Abstract:

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interest rates, volatility cube, proxy volatility, linear factor model, LIBOR, SOFR

22.

Basel II Second Pillar: An Analytical VAR with Contagion and Sectorial Risks

Number of pages: 17 Posted: 01 Feb 2009
Michele Bonollo, Fabio Mercurio and Paola Mosconi
affiliation not provided to SSRN, Bloomberg L.P. and IntesaSanpaolo Group
Downloads 474 (77,487)
Citation 4

Abstract:

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Basel II, second pillar, credit VaR, analytical formula, contagion, sectorial risk

23.

Bergman, Piterbarg and Beyond: Pricing Derivatives under Collateralization and Differential Rates

Number of pages: 19 Posted: 17 Sep 2013 Last Revised: 18 Dec 2013
Fabio Mercurio
Bloomberg L.P.
Downloads 470 (78,286)
Citation 7

Abstract:

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Derivatives pricing, collateralization, funding, differential rates, no-arbitrage bounds

24.

Discrete Time vs Continuous Time Stock-Price Dynamics and Implications for Option Pricing

Number of pages: 19 Posted: 30 Nov 2001
Damiano Brigo and Fabio Mercurio
Imperial College London - Department of Mathematics and Bloomberg L.P.
Downloads 454 (81,596)

Abstract:

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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

25.

The Basis Goes Stochastic: A Jump-Diffusion Model for Financial Risk Applications

Number of pages: 18 Posted: 24 Aug 2016 Last Revised: 26 Aug 2016
Minqiang Li and Fabio Mercurio
Bloomberg LP and Bloomberg L.P.
Downloads 271 (144,599)
Citation 1

Abstract:

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LIBOR-OIS basis, jump-diffusion dynamics, zero-coupon swap, swap gap risk

26.

Closed-Form Approximation of Timer Option Prices under General Stochastic Volatility Models

Number of pages: 44 Posted: 04 Apr 2013
Minqiang Li and Fabio Mercurio
Bloomberg LP and Bloomberg L.P.
Downloads 231 (169,187)
Citation 2

Abstract:

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Timer options, Asymptotic expansion, Closed-form approximation, Perturbation

27.

Analytical Pricing of CDOs in a Multi-Factor Setting by a Moment Matching Approach

Number of pages: 18 Posted: 17 Jan 2012
Antonio Castagna, Fabio Mercurio and Paola Mosconi
Iason Ltd., Bloomberg L.P. and affiliation not provided to SSRN
Downloads 194 (199,044)

Abstract:

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CDO pricing, moment matching, credit risk transfer, multifactor credit model

28.

The GARCH Linear SDE: Explicit Formulas and the Pricing of a Quanto CDS

Number of pages: 18 Posted: 25 Jun 2018
Minqiang Li, Fabio Mercurio and Serge Resnick
Bloomberg LP, Bloomberg L.P. and Independent
Downloads 189 (203,848)

Abstract:

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linear SDE, chaos expansion, PDE, perturbation approach, quanto CDS

29.

Pricing Inflation Derivatives

Posted: 14 Aug 2012
Joshua Xingzhi Zhang and Fabio Mercurio
Bloomberg L.P. and Bloomberg L.P.

Abstract:

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inflation, LPI, ASW, YOY, cap/floor

30.

Modern Libor Market Models: Using Different Curves for Projecting Rates and for Discounting

International Journal of Theoretical and Applied Finance (IJTAF), 2010
Posted: 08 Jun 2010 Last Revised: 09 Jun 2010
Fabio Mercurio
Bloomberg L.P.

Abstract:

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Credit crisis, interest rates, basis, forward curves, discount curve, LIBOR market model, measure change, caps, swaptions, analytical formulas, stochastic volatility

31.

A Family of Humped Volatility Structures

Posted: 03 May 1998
Juan M. Moraleda and Fabio Mercurio
Tinbergen Institute and Bloomberg L.P.

Abstract:

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