The following pages link to Fabio Mercurio (Q188064):
Displaying 22 items.
- The LIBOR model dynamics: Approximations, calibration and diagnostics (Q704056) (← links)
- Interest rate models -- theory and practice. With smile, inflation and credit (Q855091) (← links)
- (Q1579478) (redirect page) (← links)
- An analytically tractable interest rate model with humped volatility (Q1579480) (← links)
- Option pricing impact of alternative continuous-time dynamics (Q1584193) (← links)
- Displaced and mixture diffusions for analytically-tractable smile models (Q2782353) (← links)
- Closed-form approximation of perpetual timer option prices (Q2874732) (← links)
- LOGNORMAL-MIXTURE DYNAMICS AND CALIBRATION TO MARKET VOLATILITY SMILES (Q3022053) (← links)
- (Q3126758) (← links)
- Bergman, Piterbarg, and Beyond: Pricing Derivatives Under Collateralization and Differential Rates (Q3464672) (← links)
- MODERN LIBOR MARKET MODELS: USING DIFFERENT CURVES FOR PROJECTING RATES AND FOR DISCOUNTING (Q3560083) (← links)
- (Q4218382) (← links)
- Option Pricing For Jump Diffusions: Approximations and Their Interpretation (Q4372009) (← links)
- Option pricing with hedging at fixed trading dates (Q4541525) (← links)
- Analytical pricing of the smile in a forward LIBOR market model (Q4647237) (← links)
- Alternative asset-price dynamics and volatility smile (Q4647257) (← links)
- Approximated moment-matching dynamics for basket-options pricing (Q4647590) (← links)
- Parameterizing correlations: a geometric interpretation (Q5427788) (← links)
- Pricing inflation-indexed derivatives (Q5711168) (← links)
- Interest rate models -- theory and practice (Q5936853) (← links)
- Claim pricing and hedging under market incompleteness and ``mean-variance'' preferences (Q5943941) (← links)
- A deterministic-shift extension of analytically-tractable and time-homogeneous short-rate models (Q5950466) (← links)
