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Fabio Mercurio

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This is information that was supplied by Fabio Mercurio in registering through RePEc. If you are Fabio Mercurio , you may change this information at the RePEc Author Service. Or if you are not registered and would like to be listed as well, register at the RePEc Author Service. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Personal Details

First Name: Fabio
Middle Name:
Last Name: Mercurio
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RePEc Short-ID: pme35

Email:
Homepage: http://www.fabiomercurio.it
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Affiliation

Lists

This author is featured on the following reading lists, publication compilations or Wikipedia entries:
  1. Fabio Mercurio in Wikipedia (English)

Works

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Working papers

  1. Fabio Mercurio & Juan M. Moraleda, 1996. "A Family of Humped Volatility Structures," Tinbergen Institute Discussion Papers 96-169/2, Tinbergen Institute.

Articles

  1. Damiano Brigo & Fabio Mercurio, 2001. "A deterministic-shift extension of analytically-tractable and time-homogeneous short-rate models," Finance and Stochastics, Springer, vol. 5(3), pages 369-387.
  2. Damiano Brigo & Fabio Mercurio, 2000. "Option pricing impact of alternative continuous-time dynamics for discretely-observed stock prices," Finance and Stochastics, Springer, vol. 4(2), pages 147-159.

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