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Fabio Mercurio
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#	Item
1	Fitting volatility skews and smiles with analytical stock-price models Damiano Brigo Fabio Mercurio Add to Reading List Source URL: www.istfin.eco.usi.ch Language: English - Date: 2009-01-27 08:17:15 Mathematical finance Options Applied mathematics Economy Finance Volatility smile Damiano Brigo Fabio Mercurio Volatility BlackScholes model Implied volatility Greeks
2	Asset Pricing in Continuous Time Paul Schneider October 4, 2013 1 Add to Reading List Source URL: www.istfin.eco.usi.ch Language: English - Date: 2013-10-07 03:07:57 Economy Mathematical finance Academia Finance Financial economics Financial econometrics Economic model Risk Fabio Mercurio Damiano Brigo
3	cutting edge. option pricing The vanna-volga method for implied volatilities European-style claims, is consistent with static-replication arguments. Finally, we derive first- and second-order approximations Add to Reading List Source URL: www.risk.net Language: English - Date: 2007-08-09 12:30:23 Finance Investment Implied volatility Volatility smile Black–Scholes Volatility Foreign-exchange option Fabio Mercurio Vanna Volga pricing Mathematical finance Financial economics Options
4	The Department of mathematics and The Department Add to Reading List Source URL: www.pstat.ucsb.edu Language: English - Date: 2007-09-18 00:56:25 Bruno Dupire Local volatility Investment Volatility Risk Quantitative analyst Option Arbitrage Fabio Mercurio Financial economics Finance Mathematical finance
5	The Department of mathematics and The Department Add to Reading List Source URL: www.pstat.ucsb.edu Language: English - Date: 2007-05-01 18:53:23 Bruno Dupire Mathematical sciences Local volatility Investment Volatility Quantitative analyst Risk Option Fabio Mercurio Financial economics Mathematical finance Finance
6	PRICING INFLATION-INDEXED OPTIONS WITH STOCHASTIC VOLATILITY FABIO MERCURIO AND NICOLA MORENI Add to Reading List Source URL: www.fabiomercurio.it Language: English - Date: 2005-11-22 10:42:20 Statistics Stochastic volatility Interest rate cap and floor Black–Scholes Heath–Jarrow–Morton framework Fabio Mercurio Forward measure LIBOR market model Hull–White model Mathematical finance Financial economics Finance
7	PDF Document Add to Reading List Source URL: www.damianobrigo.it Language: English - Date: 2002-11-28 13:38:01 Finance Options Stochastic processes Damiano Brigo Local volatility Equations Fabio Mercurio Volatility smile Volatility Mathematical finance Financial economics Statistics