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Brigo, Damiano
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Risk : managing risk in the world's financial markets
18
Journal of risk management in financial institutions
4
Finance and stochastics
3
European journal of operational research : EJOR
2
Mathematical finance : an international journal of mathematics, statistics and financial theory
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The LIBOR model dynamics: Approximations, calibration and diagnostics
Brigo, Damiano
;
Mercurio, Fabio
;
Morini, Massimo
- In:
European journal of operational research : EJOR
163
(
2005
)
1
,
pp. 30-51
Persistent link: https://www.econbiz.de/10006641727
Saved in:
2
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. 369-388
Persistent link: https://www.econbiz.de/10008216993
Saved in:
3
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. 147-160
Persistent link: https://www.econbiz.de/10008217584
Saved in:
4
Interest rates - Calibrating Libor
Brigo, Damiano
;
Mercurio, Fabio
- In:
Risk : managing risk in the world's financial markets
15
(
2002
)
1
,
pp. 117-122
Persistent link: https://www.econbiz.de/10007039807
Saved in:
5
IMPLIED VOLATILITY: A MIXED-UP SMILE - Using lognormal mixtures to construct a local volatility model that is analytically tractable and can be flexibly calibrated to market data.
Brigo, Damiano
;
Mercurio, Fabio
- In:
Risk : managing risk in the world's financial markets
13
(
2000
)
9
,
pp. 123-126
Persistent link: https://www.econbiz.de/10007047801
Saved in:
6
Claim pricing and hedging under market incompleteness and "mean-variance" preferences
Mercurio, Fabio
- In:
European journal of operational research : EJOR
133
(
2001
)
3
,
pp. 635-652
Persistent link: https://www.econbiz.de/10006658595
Saved in:
7
OPTION PRICING: The vanna-volga method for implied volatilities
Castagna, Antonio
;
Mercurio, Fabio
- In:
Risk : managing risk in the world's financial markets
20
(
2007
)
1
,
pp. 106-111
Persistent link: https://www.econbiz.de/10007589222
Saved in:
8
Brief communication - Cash-settled swaptions and no-arbitrage - The author derives no-arbitrage conditions that must be satisfied by the pricing function of cash-settled swaptions. He then identifies a strategy leading to an arbitrage when such conditions are met.
Mercurio, Fabio
- In:
Risk : managing risk in the world's financial markets
21
(
2008
)
2
,
pp. 96-99
Persistent link: https://www.econbiz.de/10007917923
Saved in:
9
Inflation - Inflation modelling with SABR dynamics - The authors introduce a new forward Consumer Price Index model that is based on a multi-factor volatility structure and leads to SABR-like dynamics for forward inflation rates. Their approach reconciles zero-coupon and year-on-year quotes, giving both fast and accurate calibration to market options data. Explicit formulas for year-on-year caps ...
Mercurio, Fabio
;
Moreni, Nicola
- In:
Risk : managing risk in the world's financial markets
22
(
2009
)
6
,
pp. 98-103
Persistent link: https://www.econbiz.de/10008265090
Saved in:
10
IMPLIED VOLATILITY: Smiling at convexity - The price of a constant maturity swap (CMS)-based derivative is largely determined by the value of swaption volatilities at extreme strikes. The authors propose a simple procedure for stripping consistently implied volatilities and CMS adjustments from the market quotes of swaption smiles and CMS swap spreads.
Mercurio, Fabio
;
Pallavicinl, Andrea
- In:
Risk : managing risk in the world's financial markets
19
(
2006
)
8
,
pp. 64-69
Persistent link: https://www.econbiz.de/10007301214
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