Fabio Mercurio is an Italian

Italy

Italy , officially the Italian Republic languages]] under the European Charter for Regional or Minority Languages. In each of these, Italy's official name is as follows:;;;;;;;;), is a unitary parliamentary republic in South-Central Europe. To the north it borders France, Switzerland, Austria and...

 mathematician

Mathematician

A mathematician is a person whose primary area of study is the field of mathematics. Mathematicians are concerned with quantity, structure, space, and change....

, internationally known for a number of results in mathematical finance

Mathematical finance

Mathematical finance is a field of applied mathematics, concerned with financial markets. The subject has a close relationship with the discipline of financial economics, which is concerned with much of the underlying theory. Generally, mathematical finance will derive and extend the mathematical...

.

Main results

Mercurio worked during his Ph.D. on incomplete markets

Incomplete markets

In economics, incomplete markets refers to markets in which the number of Arrow–Debreu securities is less than the number of states of nature...

 theory using dynamic mean-variance hedging techniques. With Damiano Brigo

Damiano Brigo

Damiano Brigo is an applied mathematician, and current Gilbart Chair of Financial Mathematics at King's College, London, known for a number of results in systems theory, probability and mathematical finance.-Main results:...

 (2002–2003), he has shown how to construct stochastic differential equations consistent with mixture model

Mixture model

In statistics, a mixture model is a probabilistic model for representing the presence of sub-populations within an overall population, without requiring that an observed data-set should identify the sub-population to which an individual observation belongs...

s, applying this to volatility smile

Volatility Smile

In finance, the volatility smile is a long-observed pattern in which at-the-money options tend to have lower implied volatilities than in- or out-of-the-money options. The pattern displays different characteristics for different markets and results from the probability of extreme moves...

 modeling in the context of local volatility

Local volatility

A local volatility model, in mathematical finance and financial engineering, is one which treats volatility as a function of the current asset level S_t and of time t .-Formulation:...

 models. He is also one of the main authors in inflation modeling. Mercurio has also authored several publications in top journals and co-authored the book Interest rate models: theory and practice for Springer-Verlag, that quickly became an international reference for stochastic dynamic interest rate modeling.

Affiliations

Currently Mercurio is a senior researcher at Bloomberg L.P.

Bloomberg L.P.

Bloomberg L.P. is an American privately held financial software, media, and data company. Bloomberg makes up one third of the $16 billion global financial data market with estimated revenue of $6.9 billion. Bloomberg L.P...

, New York City

New York City

New York is the most populous city in the United States and the center of the New York Metropolitan Area, one of the most populous metropolitan areas in the world. New York exerts a significant impact upon global commerce, finance, media, art, fashion, research, technology, education, and...

. He holds a Ph.D.

Doctor of Philosophy

Doctor of Philosophy, abbreviated as Ph.D., PhD, D.Phil., or DPhil , in English-speaking countries, is a postgraduate academic degree awarded by universities...

 in mathematical finance from the Erasmus University

Erasmus University

Erasmus University Rotterdam is a university in the Netherlands, located in Rotterdam. The university is named after Desiderius Erasmus Roterodamus, a 15th century humanist and theologian...

 in Rotterdam

Rotterdam

Rotterdam is the second-largest city in the Netherlands and one of the largest ports in the world. Starting as a dam on the Rotte river, Rotterdam has grown into a major international commercial centre...

.

Selected publications

• F. Mercurio and A. Pallavicini (2006), "Smiling at convexity: bridging swaption skews and CMS adjustments", Risk August, 64-69.
• F. Mercurio and N. Moreni (2006), "Inflation with a smile", Risk March, Vol. 19(3), 70-75.
• L. Bisesti, A. Castagna and F. Mercurio (2005), "Consistent Pricing and Hedging of an FX Options Book", Kyoto Economic Review 74(1), 65-83.
• F. Mercurio (2005), "Pricing Inflation-Indexed Derivatives", Quantitative Finance 5(3), 289-302.
• D. Brigo, F. Mercurio and G. Sartorelli (2003), "Alternative asset-price dynamics and volatility smile", Quantitative Finance 3(3), 173-183.
• D. Brigo and F. Mercurio (2002), "Lognormal-Mixture Dynamics and Calibration to Market Volatility Smiles", International Journal of Theoretical & Applied Finance 5(4), 427-446.
• D. Brigo and F. Mercurio (2001), "A Deterministic-Shift Extension of Analytically-Tractable and Time-Homogeneous Short-Rate Models", Finance and Stochastics 5(3), 369-387.
• F. Mercurio and J. Moraleda (2001), "A Family of Humped Volatility Models", The European Journal of Finance 7, 93-116.
• F. Mercurio (2001), "Claim Pricing and Hedging under Market Incompleteness and Mean-Variance Preferences", European Journal of Operational Research 133/3, 181-198.
• D. Brigo and F. Mercurio (2000), "Option Pricing Impact of Alternative Continuous Time Dynamics for Discretely Observed Stock Prices", Finance and Stochastics 4 (2), 147-160.
• F. Mercurio and J. Moraleda (2000), "An Analytically Tractable Interest Rate Model with Humped Volatility", European Journal of Operational Research 120/1, 205-214.
• F. Mercurio and A.C.F. Vorst (1996), "Option Pricing with Hedging at Fixed Trading Dates", Applied Mathematical Finance 3, 135-158.
• F. Mercurio and W.J. Runggaldier (1993), "Option Pricing for Jump-Diffusion: Approximations and Their Interpretation", Mathematical Finance 3, 191-200.

External links

• Fabio Mercurio's personal web page