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