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Mercurio, Fabio
53
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5
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Mean-variance pricing and risk preferences
Mercurio, Fabio
-
1996
Persistent link: https://www.econbiz.de/10000932106
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2
A simple two-period model for option pricing with market imperfections
Mercurio, Fabio
- In:
PhD research bulletin / Tinbergen Institute
9
(
1997
)
1
,
pp. 39-48
Persistent link: https://www.econbiz.de/10001220781
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3
Modern LIBOR market models : using different curves for projecting rates and for discounting
Mercurio, Fabio
- In:
International journal of theoretical and applied finance
13
(
2010
)
1
,
pp. 113-137
Persistent link: https://www.econbiz.de/10008860420
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4
Option pricing impact of alternative continuous-time dynamics for discretely-observed stock prices
Brigo, Damiano
;
Mercurio, Fabio
- In:
Finance and stochastics
4
(
2000
)
2
,
pp. 147-159
Persistent link: https://www.econbiz.de/10001486694
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5
Option pricing with hedging at fixed trading dates
Mercurio, Fabio
;
Vorst, Ton
-
1997
Persistent link: https://www.econbiz.de/10000969030
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6
A family of humped volatility structures
Mercurio, Fabio
;
Moraleda Novo, Juan Manuel
-
1996
Persistent link: https://www.econbiz.de/10000948314
Saved in:
7
Claim pricing and hedging under market imperfections
Mercurio, Fabio
-
1996
Persistent link: https://www.econbiz.de/10000956322
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8
An analytically tractable interest rate model with humped volatility
Mercurio, Fabio
;
Moraleda Novo, Juan Manuel
-
1996
Persistent link: https://www.econbiz.de/10000939515
Saved in:
9
Option pricing for jump diffusions : approximations and their interpretation
Mercurio, Fabio
- In:
Mathematical finance : an international journal of …
3
(
1993
)
2
,
pp. 191-200
Persistent link: https://www.econbiz.de/10001333345
Saved in:
10
A deterministic-shift extension of analytically-tractable and time-homogeneous short-rate models
Brigo, Damiano
;
Mercurio, Fabio
- In:
Finance and stochastics
5
(
2001
)
3
,
pp. 369-387
Persistent link: https://www.econbiz.de/10001599290
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