Fabio Mercurio

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Fabio Mercurio | PubFacts

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Fabio Mercurio

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EconPapers: Fabio Mercurio

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Details about Fabio Mercurio. E-mail: Homepage: http://www.fabiomercurio.it. Access statistics for papers by Fabio Mercurio A Family of Humped Volatility Structures ...

Damiano Brigo and Fabio Mercurio: Interest Rate Models – Theory and...

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Title: Damiano Brigo and Fabio Mercurio: Interest Rate Models – Theory and Practice; Journal: Financial Markets and Portfolio Management

Fabio Mercurio - Wikipedia

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T - Fabio Mercurio - Yumpu

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PRICING THE SMILE IN A FORWARD LIBOR. MARKET MODEL. FABIO MERCURIO. BANCA IMI, MILAN. http://www.fabiomercurio.it. Joint work with Damiano ...

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

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By Eymen Errais and Fabio Mercurio; Abstract: We introduce a simple extension of a shifted geometric Brownian motion for modelling forward LIBOR rates under their

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

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The 2nd edition of this successful book has several new features. The calibration discussion of the basic LIBOR market model has been enriched considerably,...

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Fabio Mercurio (born 26 September 1966) is an Italian mathematician, internationally known for a number of results in mathematical finance.

User:Fabio Mercurio - OeisWiki

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Hi! My name is Fabio Mercurio, I'm from Italy. I have a Master Degree in Physics, also I was a PhD student at University of Rome, TorVergata.

Forward Rate - Open Ideas

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The continuously compounded forward rate is frequently used in a theoretical ... Brigo, Damiano; Fabio Mercurio: Interest rate models - theory and practice ...

Fabio Mercurio - Wikidata

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Financial economist

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