profile photo

Fabio Mercurio
Director of the Research Committee

Linkedin
Fabio is global head of Quantitative Analytics at Bloomberg LP, New York. His team is responsible for the research on and implementation of cross-asset analytics for derivatives pricing, XVA valuations and credit and risk management. Fabio is also adjunct professor at NYU. He has jointly authored the book "Interest rate models: theory and practice" and published extensively in books and international journals, including 16 cutting-edge articles in Risk Magazine. Fabio holds a BSc in Applied Mathematics from the University of Padua, Italy, and a PhD in Mathematical Finance from the Erasmus University of Rotterdam, The Netherlands.
Consistent pricing of FX options
Authors: Antonio Castagna, Fabio Mercurio
Abstract

2013-01:
Standard

Smile-consistent CMS adjustment in closed form: introducing the Vanna-Volga approach
Authors: Antonio Castagna, Fabio Mercurio, Marco Tarenghi
Abstract

2013-01:
Standard

Analytical pricing of CDOs in a multi-factor setting by a moment-matching approach

2012-01:
Standard

Analytical credit VaR with stochastic probabilities of defaults and recoveries
Authors: Michele Bonollo, Fabio Mercurio, Paola Mosconi
Abstract

2009-06:
Standard

Basel II second pillar: an analytical VaR with contagion and sectorial risks
Authors: Michele Bonollo, Fabio Mercurio, Paola Mosconi
Abstract

2009-01:
Standard