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Springer-Verlag, that quickly became an international reference for stochastic dynamic interest rate modeling. He is the recipient of the 2020 Risk quant-of-the-year award jointly with Andrei Lyashenko of QRM for their joint paper Lyashenko and Mercurio (2019).
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D. Brigo and F. Mercurio (2002), "Lognormal-Mixture
Dynamics and Calibration to Market Volatility Smiles", International Journal of Theoretical and Applied Finance 5(4), 427–446.
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A. Lyashenko and F. Mercurio (2019), "Libor replacement: a modelling framework for in-arrears term rates", Risk
Magazine, June 2019, recipient of the "Quant of the year" award.
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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.
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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.
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F. Mercurio and J. Moraleda (2000), "An
Analytically Tractable Interest Rate Model with Humped Volatility", European Journal of Operational Research 120/1, 205–214.
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F. Mercurio (2001), "Claim
Pricing and Hedging under Market Incompleteness and Mean-Variance Preferences", European Journal of Operational Research 133/3, 181–198.
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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
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F. Mercurio and W.J. Runggaldier (1993), "Option
Pricing for Jump-Diffusion: Approximations and Their Interpretation", Mathematical Finance 3, 191–200.
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D. Brigo, F. Mercurio and G. Sartorelli (2003), "Alternative asset-price dynamics and volatility smile", Quantitative
Finance 3(3), 173–183.
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L. Bisesti, A. Castagna and F. Mercurio (2005), "Consistent
Pricing and Hedging of an FX Options Book", Kyoto Economic Review 74(1), 65–83.
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F. Mercurio and A.C.F. Vorst (1996), "Option Pricing with Hedging at Fixed Trading Dates", Applied Mathematical Finance 3, 135–158.
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F. Mercurio and A. Pallavicini (2006), "Smiling at convexity: bridging swaption skews and CMS adjustments", Risk August, 64–69.
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F. Mercurio and J. Moraleda (2001), "A Family of Humped Volatility Models", The European Journal of Finance 7, 93–116.
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Brigo, D. & Mercurio, F. (2002), "Lognormal-Mixture Dynamics and Calibration to Market Volatility Smiles",
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F. Mercurio (2005), "Pricing Inflation-Indexed Derivatives", Quantitative Finance 5(3), 289–302.
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F. Mercurio and N. Moreni (2006), "Inflation with a smile", Risk March, Vol. 19(3), 70–75.
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Interest Rate Models: Theory and Practice – with Smile, Inflation and Credit
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Currently Mercurio is the global head of Quantitative Analytics at
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Mercurio, F. & Moreni, N. (2006), "Inflation with a smile",
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theory using dynamic mean-variance hedging techniques. With
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