Fabio Mercurio

Finance · 2001–2010

A researcher in the Science corpus: 8 papers; trusts 15 researchers and is trusted by 22 researchers here, as inferred from the citation graph.

Subfields

Whom Fabio Mercurio trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

  1. R. Rebonato
  2. Masaaki Kijima
  3. Vladimir V. Piterbarg
  4. Damiano Brigo
  5. Lixin Wu
  6. Keiichi Tanaka
  7. Tony Siu Tung Wong
  8. Marek Musiela
  9. Michael Johannes
  10. Fan Zhang

Who trusts Fabio Mercurio overall

  1. Damiano Brigo
  2. St'ephane Cr'epey
  3. Daniel Sevcovic
  4. Carol Alexander
  5. David Hobson *
  6. Lingfei Li
  7. Nicolai Meinshausen
  8. Fred Espen Benth
  9. Donald Aingworth
  10. Damir Filipovi'c

Papers from Fabio Mercurio's perspective

Ordered by how strongly the researchers Fabio Mercurio trusts endorse each paper. Same corpus, a different order for every researcher.

  1. The Pricing of Options and Corporate Liabilities
  2. Martingale Methods in Financial Modelling
  3. Numerical recipes in C
  4. Interest Rates and The Credit Crunch: New Formulas and Market Models
  5. A multi-quality model of interest rates
  6. Matrix computations
  7. Unconstrained parametrizations for variance-covariance matrices
  8. The Most General Methodology to Create a Valid Correlation Matrix for Risk Management and Option Pricing Purposes
  9. Displaced and Mixture Diffusions for Analytically-Tractable Smile Models
  10. The SABR/LIBOR Market Model: Pricing, Calibration and Hedging for Complex Interest-Rate Derivatives

Their papers