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2020 Quants of the Year: Andrei Lyashenko and Fabio Mercurio
2020 Quants of the Year: Andrei Lyashenko and Fabio Mercurio
Fabio Mercurio, professor of our Interest Rates and Fx Models course, was named Quant of the Year with Andrei Lyashenko for 2020.
Andrei Lyashenko and Fabio Mercurio addressed the challenges arising from the impending demise of Libor in their groundbreaking paper “Libor replacement: a modeling framework for in-arrears rates.” Concerns revolve around the fate of $370 trillion in financial instruments relying on forward-looking rates, necessitating a shift to backward-looking rates. The duo proposed a new Generalized Forward Market Model (FMM), an extension of the classic Libor Market Model (LMM), enabling the simulation of forward values from both forward-looking and backward-looking rates. This approach is deemed a major enabler in the transition to compounded-in-arrears rates, with broad implications for derivatives pricing and modeling. The method’s simplicity and applicability have garnered acclaim, providing a reference point for financial institutions navigating the complexities of Libor replacement.
To read more about this recognition, click this link.
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