We stand with Ukraine  

Fabio Mercurio

According to our database1, Fabio Mercurio authored at least 5 papers between 2000 and 2005.

Collaborative distances:
  • Dijkstra number2 of six.
  • Erdős number3 of six.

Timeline

Legend:

Book 
In proceedings 
Article 
PhD thesis 
Dataset
Other 

Links

On csauthors.net:

Bibliography

2005
The LIBOR model dynamics: Approximations, calibration and diagnostics.
[BibTeX]
[DOI]
Damiano Brigo
,
Fabio Mercurio
,
Massimo Morini
Eur. J. Oper. Res., 2005

2001
A deterministic-shift extension of analytically-tractable and time-homogeneous short-rate models.
[BibTeX]
[DOI]
Damiano Brigo
,
Fabio Mercurio
Finance Stochastics, 2001

Claim pricing and hedging under market incompleteness and "mean-variance" preferences.
[BibTeX]
[DOI]
Fabio Mercurio
Eur. J. Oper. Res., 2001

2000
Option pricing impact of alternative continuous-time dynamics for discretely-observed stock prices.
[BibTeX]
[DOI]
Damiano Brigo
,
Fabio Mercurio
Finance Stochastics, 2000

An analytically tractable interest rate model with humped volatility.
[BibTeX]
[DOI]
Fabio Mercurio
,
J. M. Moraleda
Eur. J. Oper. Res., 2000


  Loading...