FABIO MERCURIO

Instructor in 2011

FABIO MERCURIO
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Fabio is global head of Quantitative Analytics at Bloomberg LP, New York. His team is responsible for the research on and implementation of cross-asset analytics for derivatives pricing, XVA valuations and credit and risk management. Fabio has jointly authored the book “Interest Rate Models: Theory and Practice”and published extensively in books and international journals, including 19 cutting-edge articles in Risk Magazine. Fabio holds a B.S. in Applied Mathematics from the University of Padua, Italy, and a Ph.D. in Mathematical Finance from the Erasmus University of Rotterdam, The Netherlands.

SELECTED PUBLICATIONS
The Present of Futures: Valuing Eurodollar-Futures Convexity Adjustments in a Multi-Curve World (June 19, 2017)

Fabio Mercurio

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The Basis Goes Stochastic: A Jump-Diffusion Model for Financial Risk Application (August 26, 2016)

Fabio Mercurio and Minquang Li

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umping with Default: wrong-Way-Risk Modeling for Credit Valuation Adjustment (August 23, 2016)

Fabio Mercurio and Minqiang Li

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Analytic Approximation of Finite-Maturity Timer Option Prices (March 2015)

Fabio Mercurio and Minqiang Li

Closed-Form Approximation of Perpetual Timer Option Prices (June 2014)

Fabio Mercurio and Minqiang Li

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Bergman, Piterbarg and beyond: Pricing Derivatives under Collateralization and Differential Rates (December 18, 2013)

Fabio Mercurio

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The Basis Goes Stochastic (December 2012)

Fabio Mercurio and Zhenqiu Xie

Interest Rates and the Credit Crunch: New Formulas and market Models (May 2010)

Fabio Mercurio

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Modern LIBOR Market Models: Using Different Curves for Projecting Rates and for Discounting (2010)

Fabio Mercurio

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Analytical Pricing of the Smile in a Forward LIBOR Market Model (2010)

Fabio Mercurio and D. Brigo

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LIBOR Market Models with Stochastic Basis. (June 2010)

Fabio Mercurio

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Inflation modelling with SABR dynamics (June 2009)

Fabio Mercurio and N. Moreni

Joining the SABR and Libor models together (March 2009)

Fabio Mercurio and N. Moreni

Cash-settled swaptions and no-arbitrage (February 2008)

Fabio Mercurio

Parameterizing correlations: a geometric interpretation (2006)

Fabio Mercurio and A. Castagna

The Vanna-Volga Method for Implied Volatilities (January 2007)

Fabio Mercurio , F. Rapisarda, and D. Brigo

Smiling at convexity: bridging swaption skews and CMS adjustments (August 2006)

Fabio Mercurio and A. Pallavicini

Inflation with a smile (March 2006)

Fabio Mercurio and N. Moreni

Consistent Pricing and Hedging of an FX Options Book (2005)

Fabio Mercurio L. Bisesti, and A. Castagna

Pricing Inflation-Indexed Derivatives (2005)

Fabio Mercurio

he LIBOR Model Dynamics: Approximations, Calibration and Diagnostics (2005)

Fabio Mercurio, D. Brigo, and M. Morini

Smile at the Uncertainty (May 2004)

Fabio Mercurio, D. Brigo, and F. Rapisarda

Approximated Moment-Matching Dynamics for Basket-Options Pricing (2004)

Fabio Mercurio, D. Brigo, F. Rapisarda and R. Scotti

Alternative asset-price dynamics and volatility smile (2003)

Fabio Mercurio, D. Brigo, and G. Sartorelli,

Analytical Pricing of the Smile in a Forward LIBOR Market Model (2003)

Fabio Mercurio and D. Brigo

Lognormal-Mixture Dynamics and Calibration to Market Volatility Smiles (2002)

Fabio Mercurio and D. Brigo

Joint Calibration of the LIBOR Market Model to Caps and Swaptions Volatilities (2002)

Fabio Mercurio and D. Brigo

A Deterministic-Shift Extension of Analytically-Tractable and Time-Homogeneous Short-Rate Models (2001)

Fabio Mercurio and D. Brigo

A Family of Humped Volatility Models (2001)

Fabio Mercurio and J. Moraleda

Claim Pricing and Hedging under Market Incompleteness and Mean-Variance Preferences (2001)

Fabio Mercurio

A Mixed-up Smile (September 2001)

Fabio Mercurio and D. Brigo

Lognormal-Mixture Dynamics and Calibration to Volatility Smiles and Skews (July 2001)

Fabio Mercurio, D. Brigo and G. Mauri

Option Pricing Impact of Alternative Continuous Time Dynamics for Discretely Observed Stock Prices (2000)

Fabio Mercurio and D. Brigo

An Analytically Tractable Interest Rate Model with Humped Volatility (2000)

Fabio Mercurio and J. Moraleda

Correction: Is Ito calculus oversold? (April 1999)

Fabio Mercurio and D. Brigo

Option Pricing with Hedging at Fixed Trading Dates (1996)

Fabio Mercurio and A.C.F. Vorst

Option Pricing for Jump-Diffusion: Approximations and Their Interpretation (1993)

Fabio Mercurio and W.J. Runggaldier

Modelling Interest Rates (May 31, 2009)

Fabio Mercurio

Interest Rate Models - Theorgy and Practice: With Smile, Inflation and Credit (August 2, 2006) Show less

Damiano Brigo & Fabio Mercurio

Other Faculty

MEHDI H. SONTHONNAX

MEHDI H. SONTHONNAX

RICHARD LINDESEY

RICHARD LINDESEY

MERRELL HORA

MERRELL HORA

DEANE YANG

DEANE YANG

Chair, Committee on Mathematics in Finance, Professor of Mathematics

RIAN JOHNSON

RIAN JOHNSON

Administrative Aide

ARIANE SANEY

ARIANE SANEY

Director, Office of Career Services

NANCY ANCOWITZ

NANCY ANCOWITZ

Director, Office of Career Services

KENNETH WINSTON

KENNETH WINSTON

Instructor since 2019

LEON TATEVOSSIAN

LEON TATEVOSSIAN

Instructor since 2009

RODNEY SUNADA-WONG

RODNEY SUNADA-WONG

Instructor since 2014

AMIR SADR

AMIR SADR

Instructor since 2017

GORDON RITTER

GORDON RITTER

Instructor since 2013

ROBERT REIDER

ROBERT REIDER

Instructor since 2007

MIQUEL NOGUER I ALONSO

MIQUEL NOGUER I ALONSO

Visiting Professor at NYU Courant Institute

FABIO MERCURIO

FABIO MERCURIO

Instructor in 2011

LEE MACLIN

LEE MACLIN

Instructor since 2000

YADONG LI

YADONG LI

Instructor since 2015

DAVID LI

DAVID LI

Instructor since 2020

ALEXEY KUPTSOV

ALEXEY KUPTSOV

Instructor since 2009

ROBERT V. KOHN

ROBERT V. KOHN

Professor of Mathematics; Chair of the Committee on Mathematics in Finance (2003-2006 and 2009-2011); Instructor since 1998

IRENA KHREBTOVA

IRENA KHREBTOVA

Director, Risk Management at Bank of America

ALIREZA JAVAHERI

ALIREZA JAVAHERI

Instructor since 2011

JONATHAN B. GOODMAN

JONATHAN B. GOODMAN

Professor of Mathematics; Founding Chair of the Committee on Mathematics in Finance; Instructor since 2000

SAMIM GHAMAMI

SAMIM GHAMAMI

Instructor since 2015

ERAN FISHLER

ERAN FISHLER

Instructor since 2008

TRAVIS FISHER

TRAVIS FISHER

Instructor since 2016

MONTY ESSID

MONTY ESSID

Instructor since 2018

GENE EKSTER

GENE EKSTER

Instructor since 2020

BRUNO DUPIRE

BRUNO DUPIRE

Instructor since 2005

IVAILO DIMOV

IVAILO DIMOV

Instructor since 2017

PAUL BOURGADE

PAUL BOURGADE

Associate Professor of Mathematics, Chair of Financial… Mathematics M.S. Program.

ILIA BOUCHOUEV

ILIA BOUCHOUEV

Instructor since 2020

JEROME BENVENISTE

JEROME BENVENISTE

Instructor since 2015

FARSHID M. ASL, PH.D

FARSHID M. ASL, PH.D

Instructor since 2005

KENNETH C. ABBOTT

KENNETH C. ABBOTT

Instructor since 2004

LEIF ANDERSEN

LEIF ANDERSEN

Industry Adviser to the Program

PETTER N. KOLM

PETTER N. KOLM

Program Director, Clinical Professor of Mathematics

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