Fabio Mercurio und Libor - Info zur Person

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Discounting, LIBOR, CVA and Funding: Interest Rate and Credit Pricing...

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Providing the most up-to-date tools and techniques for pricing interest rate and credit products for the new financial world, this book discusses pricing and...

The LIBOR Market Model in Practice - Dariusz Gatarek, Przemyslaw...

books.google.de

We are indebted to Damiano Brigo, Fabio Mercurio and Raoul Pietersz for numerous very helpful discussions. We would like to thank Caitlin Cornish and Emily Pears for their continuous support from Wiley. The remarks and edits by Simon Pascoe, who did a great job reading the final manuscript, are of special value.

XVA: Credit, Funding and Capital Valuation Adjustments - Andrew Green...

books.google.de

365–382. Brigo, Damiano and Fabio Mercurio (2003). “Analytical Pricing of the Smile in a Forward LIBOR Market Model”. 3.1, Quantitative Finance, pp. 15–27. Brigo, Damiano and Fabio Mercurio (2006). Interest Rate Models – Theory and Practice. 2nd ed., Springer. Brigo, Damiano and Massimo Morini (2011). “Close Out ...

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Discounting, LIBOR, CVA and Funding: Interest Rate and Credit Pricing...

The LIBOR Market Model in Practice - Dariusz Gatarek, Przemyslaw...

XVA: Credit, Funding and Capital Valuation Adjustments - Andrew Green...

LIBOR Market Models and Smile von Fabio Mercurio | ISBN...

LIBOR Market Models with Stochastic Basis by Fabio Mercurio :: SSRN

No-Arbitrage Dynamics for a Tractable SABR Term Structure Libor Model...

T - Fabio Mercurio - Yumpu

EconPapers: Yes, Libor Models can capture Interest Rate Derivatives...

Interest Rate Models - Theory and Practice - With Smile, Inflation...

Quants of the year: Andrei Lyashenko and Fabio Mercurio - Risk.net

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