Nationality Italy Institution Bloomberg L.P. | Name Fabio Mercurio Fields Mathematical finance | |
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Born 26 September 1966 (age 57) ( 1966-09-26 ) Alma mater Erasmus University Rotterdam
University of Padova Influences W. J. Runggaldier
A. C. F. Vorst Education Erasmus University Rotterdam Books Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit Similar People Damiano Brigo, Attilio Meucci, Bruno Dupire | ||
T3 - C7 Models and Interest Rates - Interview with Fabio Mercurio, Bloomberg
Fabio Mercurio (born 26 September 1966) is an Italian mathematician, internationally known for a number of results in mathematical finance.
Contents
- T3 C7 Models and Interest Rates Interview with Fabio Mercurio Bloomberg
- Main results
- Affiliations
- Selected publications
- References
Main results
Mercurio worked during his Ph.D. on incomplete markets theory using dynamic mean-variance hedging techniques. With Damiano Brigo (2002–2003), he has shown how to construct stochastic differential equations consistent with mixture models, applying this to volatility smile modeling in the context of local volatility 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 the head of derivatives research at Bloomberg L.P., New York City. He holds a Ph.D. in mathematical finance from the Erasmus University in Rotterdam.