Siddhesh Joshi (Editor)

Fabio Mercurio

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Nationality  Italy
Institution  Bloomberg L.P.

Name  Fabio Mercurio
Fields  Mathematical finance
Fabio Mercurio wwwfabiomercurioitFabioSpringSchoolLowSharpredjpg
Born  26 September 1966 (age 49) (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.


Fabio Mercurio Models and Interest Rates Interview with Fabio Mercurio Bloomberg

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.


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.

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.
  • References

    Fabio Mercurio Wikipedia