Publications
 
Books
D. Brigo and F. Mercurio (2006), "Interest Rate Models: Theory and Practice", 2nd edition", Springer Finance, Heidelberg.

Click here to view the book's new cover page, table of contents and some sample sections.

F. Mercurio (2009), "Modelling Interest Rates: Advances in Derivatives Pricing". Risk Books.

Click here to view the book's table of contents.


Publications in journals
F. Mercurio and N. Moreni (2009) “Inflation modelling with SABR dynamics”.  Risk June, 106-111.
F. Mercurio and M. Morini (2009) "Joining the SABR and Libor models together”. Risk March, 80-85.
F. Mercurio (2008) "Cash-settled swaptions and no-arbitrage". Risk February, 96-98.
A. Castagna and F. Mercurio (2007), "The Vanna-Volga Method for Implied Volatilities", Risk January, 106-111.
F. Rapisarda, D. Brigo and F. Mercurio (2006), "Parameterizing correlations: a geometric interpretation", IMA Journal of Management Mathematics, doi:10.1093/imaman/dpl010. Available online at: http://imaman.oxfordjournals.org/cgi/content/short/dpl010v1
F. Mercurio and A. Pallavicini (2006), "Smiling at convexity: bridging swaption skews and CMS adjustments", Risk August, 64-69.
F. Mercurio and N. Moreni (2006), "Inflation with a smile", Risk March, Vol. 19(3), 70-75.
L. Bisesti, A. Castagna and F. Mercurio (2005), "Consistent Pricing and Hedging of an FX Options Book", Kyoto Economic Review 74(1), 65-83.
F. Mercurio (2005), "Pricing Inflation-Indexed Derivatives", Quantitative Finance 5(3), 289-302.
D. Brigo, F. Mercurio and M. Morini (2005), "The LIBOR Model Dynamics: Approximations, Calibration and Diagnostics", European Journal of Operational Research 163, 30-51.
D. Brigo, F. Mercurio and F. Rapisarda (2004), "Smile at the Uncertainty", Risk May, Vol. 17 (5), 97-101.
D. Brigo, F. Mercurio, F. Rapisarda and R. Scotti (2004), "Approximated Moment-Matching Dynamics for Basket-Options Pricing", Quantitative Finance 4, 1-16.
D. Brigo, F. Mercurio and G. Sartorelli (2003), "Alternative asset-price dynamics and volatility smile", Quantitative Finance 3(3), 173-183.
D. Brigo and F. Mercurio (2003), "Analytical Pricing of the Smile in a Forward LIBOR Market Model", Quantitative Finance 3(1), 15-27.
D. Brigo and F. Mercurio (2002), "Lognormal-Mixture Dynamics and Calibration to Market Volatility Smiles", International Journal of Theoretical & Applied Finance 5(4), 427-446.
D. Brigo and F. Mercurio (2002), "Joint Calibration of the LIBOR Market Model to Caps and Swaptions Volatilities", Risk January, 117-121. 
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.
F. Mercurio and J. Moraleda (2001), "A Family of Humped Volatility Models", The European Journal of Finance 7, 93-116.
F. Mercurio (2001), "Claim Pricing and Hedging under Market Incompleteness and Mean-Variance Preferences", European Journal of Operational Research 133/3, 181-198.
D. Brigo and F. Mercurio (2000), "A Mixed-up Smile", Risk September, Vol. 13 (9), 123-126.
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.
F. Mercurio and J. Moraleda  (2000), "An Analytically Tractable Interest Rate Model with Humped Volatility", European Journal of Operational Research 120/1, 205-214.
D. Brigo and F. Mercurio (1999), "Correction: Is Ito calculus oversold?" Risk April, Vol. 12 (4), 67.
F. Mercurio and A.C.F. Vorst (1996), "Option Pricing with Hedging at Fixed Trading Dates", Applied Mathematical Finance 3, 135-158.
F. Mercurio and W.J. Runggaldier (1993), "Option Pricing for Jump-Diffusion: Approximations and Their Interpretation", Mathematical Finance 3, 191-200.


Publications in journals (in Italian)

F. Mercurio and M. Morini (2009), “Verso l’unione dei modelli SABR e Libor”. Risk Italia, Primavera 2009, 38-44.
F. Mercurio and A. Pallavicini (2006), “Sorridere alle convessit`a”, Risk Italia, Inverno 2006.
D. Brigo, F. Mercurio and F. Rapisarda (2004) “Smile con volatilit`a incerta”, Risk Italia, Novembre 2004.
D. Brigo and F. Mercurio (2002), “Calibrare il Libor”, Risk Italia, Agosto 2002.
A. Adotti, D. Brigo and F. Mercurio (2001) “Uno Smile per Combinazione”, Risk Italia, Marzo 2001, 64-68.

Publications in volumes

F. Mercurio (2009), “Caps and Floors”. To appear in: Encyclopedia of Quantitative Finance, edited by Rama Cont, Wiley (to be published in 2010).
F. Mercurio (2009), “The Lognormal-Mixture Local-Volatility Model”. To appear in: Encyclopedia of Quantitative Finance, edited by Rama Cont, Wiley (to be published in 2010).
F. Mercurio and M. Morini (2009), “No-Arbitrage dynamics for a tractable SABR term structure Libor Model”. In: Modelling Interest Rates: Advances in Derivatives Pricing, edited by F. Mercurio, Risk Books.

F. Mercurio and M. Morini (2009), “A Note on Hedging with Local and Stochastic Volatility Models”. In: Modelling Interest Rates: Advances in Derivatives Pricing, edited by F. Mercurio, Risk Books.
A. Castagna, F. Mercurio and M. Tarenghi (2009), “Smile-consistent CMS adjustments in closed form: introducing the Vanna-Volga approach. In: Modelling Interest Rates: Advances in Derivatives Pricing, edited by F. Mercurio, Risk Books.
F. Mercurio and Y. Yildirim. (2008) “Modelling Inflation”. In: Inflation Risks and Products: The Complete Guide, edited by Brice Benaben and Sebastian Goldenberg, Risk Books.
A. Castagna and F. Mercurio (2007), “Building Implied Volatility Surfaces from the Available Market Quotes: A Unified Approach”. In: Volatility As An Asset Class, edited by I. Nelken, Risk Books.
D. Brigo, F. Mercurio and F. Rapisarda (2005) “Smile at Uncertainty”. In: Derivatives Trading and Option Pricing, Dunbar N. (Editor), Risk Books.
D. Brigo, F. Mercurio and F. Rapisarda (2004), "Connecting Univariate Smiles and Basket Dynamics". In the volume on the Workshop on Risk Management and Model Specifications Issues in Finance, organized by the Institute for Mathematics and its Applications of the University of Minneapolis.
D. Brigo and F. Mercurio (2003) “A mixed-up smile”. In: Lipton, A. (Editor), Exotic Options: The cutting edge collection, Risk Books.
D. Brigo and F. Mercurio (2001), "Displaced and Mixture Diffusions for Analytically-Tractable Smile Models". In: Mathematical Finance - Bachelier Congress 2000, Geman, H., Madan, D.B., Pliska, S.R., Vorst, A.C.F., eds.  Springer Finance, Springer, Heidelberg.
F. Mercurio and A.C.F. Vorst (1997), "Option Pricing and Hedging in Discrete Time with Transaction Costs". In: Mathematics of Derivative Securities, edited by M.A.H. Dempster and S.R. Pliska, Cambridge University Press.


Publications in conference proceedings

D. Brigo and F. Mercurio (2000) "The CIR++ Model and other deterministic-shift extensions of short rate models". Proceedings of the 4th Columbia-JAFEE Conference for Mathematical Finance and Financial Engineering, Tokyo, December 16-17, 2000, pp. 563-584.
D. Brigo and F. Mercurio (2000) "Lognormal-mixture dynamics and calibration to market volatility smiles". Proceedings of the 4th Columbia-JAFEE Conference for Mathematical Finance and Financial Engineering, Tokyo, December 16-17, pp. 281-296.
D. Brigo and F. Mercurio (1999) "Expensive Markovianity and time holes in Black and Scholes". Proceedings of the conference Mathematical Theory of  Networks and Systems, Padova, Italy, July 6-10, 1998. Il Poligrafo, Padova.


Ph.D. thesis

F. Mercurio (1996), "Claim Pricing and Hedging under Market Imperfections", Tinbergen Institute, Erasmus University Rotterdam.


Erasmus University Technical Reports

F. Mercurio and J. Moraleda (1996), "A Family of Humped Volatility Structures", Tinbergen Institute Discussion Paper TI 96-169/2, Erasmus University Rotterdam.
F. Mercurio (1996), "Mean-Variance Pricing and Risk Preferences", Tinbergen Institute Discussion Paper TI 96-44/2, Erasmus University Rotterdam.
F. Mercurio (1996), "A Simple Two-Period Model for Pricing Options with Market Imperfections", Tinbergen Institute Research Bulletin, Erasmus University Rotterdam.
F. Mercurio (1994), "Explicit Formula for the Fair Price of a European Call Option in the Case of Discontinuous Prices", Report 9448/A, Econometric Institute, Erasmus University Rotterdam.
F. Mercurio and W.J. Runggaldier (1992), "On Continuous and Discrete Time Option Pricing: Approximations and their Interpretation", Technical Report 92/4, Department of Pure and Applied Mathematics, University of Padua.