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, 106111. 

F. Mercurio and M. Morini (2009) "Joining the SABR and Libor models together”. Risk March, 8085. 

F. Mercurio (2008) "Cashsettled swaptions and noarbitrage". Risk February, 9698. 

A. Castagna and F.
Mercurio
(2007), "The VannaVolga Method for Implied Volatilities", Risk January, 106111. 

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, 6469. 

F. Mercurio and N. Moreni
(2006), "Inflation with a smile", Risk
March, Vol. 19(3), 7075. 

L. Bisesti, A. Castagna
and F. Mercurio (2005), "Consistent Pricing and
Hedging of an FX Options Book", Kyoto
Economic Review 74(1), 6583. 

F. Mercurio (2005), "Pricing InflationIndexed Derivatives",
Quantitative
Finance 5(3), 289302. 

D. Brigo, F. Mercurio and M. Morini (2005), "The LIBOR
Model Dynamics: Approximations, Calibration and Diagnostics", European
Journal of Operational Research 163, 3051. 

D. Brigo, F. Mercurio and F. Rapisarda (2004), "Smile
at the Uncertainty", Risk May, Vol. 17
(5), 97101. 

D. Brigo, F. Mercurio, F.
Rapisarda and R. Scotti (2004), "Approximated
MomentMatching Dynamics for BasketOptions Pricing", Quantitative
Finance 4, 116. 

D. Brigo, F. Mercurio and G. Sartorelli (2003),
"Alternative assetprice
dynamics and volatility smile", Quantitative
Finance 3(3), 173183. 

D. Brigo and F. Mercurio (2003),
"Analytical
Pricing of the Smile in a Forward LIBOR Market Model", Quantitative
Finance 3(1),
1527. 

D. Brigo and F. Mercurio (2002),
"LognormalMixture
Dynamics and Calibration to Market Volatility Smiles", International
Journal of Theoretical & Applied Finance 5(4), 427446. 

D. Brigo and F. Mercurio (2002),
"Joint Calibration
of the LIBOR Market Model to Caps and Swaptions Volatilities", Risk
January, 117121. 

D. Brigo and F. Mercurio (2001),
"A DeterministicShift
Extension of AnalyticallyTractable and TimeHomogeneous ShortRate
Models", Finance
and Stochastics 5(3), 369387. 

F. Mercurio and J. Moraleda
(2001), "A Family
of Humped Volatility Models", The
European
Journal of Finance 7, 93116. 

F. Mercurio (2001), "Claim
Pricing and Hedging
under Market Incompleteness and MeanVariance Preferences", European
Journal of Operational Research 133/3,
181198. 

D. Brigo and F. Mercurio (2000),
"A Mixedup
Smile", Risk September,
Vol. 13 (9), 123126. 

D. Brigo and F. Mercurio (2000),
"Option Pricing
Impact of Alternative Continuous Time Dynamics for Discretely Observed
Stock Prices", Finance and
Stochastics
4 (2), 147160. 

F. Mercurio and J. Moraleda
(2000), "An
Analytically Tractable Interest Rate Model with Humped Volatility", European
Journal of Operational Research 120/1,
205214. 

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, 135158. 

F. Mercurio and W.J. Runggaldier
(1993), "Option
Pricing for JumpDiffusion: Approximations and Their Interpretation", Mathematical
Finance 3, 191200. 
Publications in journals (in Italian)

F. Mercurio and M. Morini (2009), “Verso l’unione dei modelli SABR e Libor”. Risk Italia, Primavera 2009, 3844. 

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, 6468. 
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 LognormalMixture LocalVolatility
Model”. To appear in: Encyclopedia of Quantitative Finance, edited by
Rama Cont, Wiley (to be published in 2010). 

F.
Mercurio and M. Morini (2009), “NoArbitrage 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),
“Smileconsistent CMS adjustments in closed form: introducing the
VannaVolga 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 mixedup smile”. In: Lipton, A. (Editor), Exotic Options: The cutting edge collection, Risk Books. 

D. Brigo and F. Mercurio (2001),
"Displaced and
Mixture Diffusions for AnalyticallyTractable 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 deterministicshift extensions of short rate models".
Proceedings
of the 4th ColumbiaJAFEE Conference
for Mathematical
Finance and Financial Engineering, Tokyo,
December 1617, 2000, pp. 563584. 

D. Brigo and F. Mercurio (2000)
"Lognormalmixture
dynamics and calibration to market volatility smiles". Proceedings of
the 4th
ColumbiaJAFEE Conference for Mathematical Finance
and Financial Engineering, Tokyo, December 1617, pp. 281296. 

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 610, 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 96169/2, Erasmus University Rotterdam. 

F. Mercurio (1996),
"MeanVariance Pricing and
Risk Preferences", Tinbergen Institute Discussion Paper TI 9644/2,
Erasmus
University Rotterdam. 

F. Mercurio (1996), "A Simple
TwoPeriod 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. 
