Zobrazeno 1 - 10
of 78
pro vyhledávání: '"Fabio Mercurio"'
Autor:
Valeria Cento, Carmen Mirabelli, Romina Salpini, Salvatore Dimonte, Anna Artese, Giosuè Costa, Fabio Mercurio, Valentina Svicher, Lucia Parrotta, Ada Bertoli, Marco Ciotti, Daniele Di Paolo, Cesare Sarrecchia, Massimo Andreoni, Stefano Alcaro, Mario Angelico, Carlo Federico Perno, Francesca Ceccherini-Silberstein
Publikováno v:
PLoS ONE, Vol 7, Iss 7, p e39652 (2012)
BACKGROUND: Because of the extreme genetic variability of hepatitis C virus (HCV), we analyzed whether specific HCV-genotypes are differently prone to develop resistance to linear and macrocyclic protease-inhibitors (PIs). METHODS: The study includes
Externí odkaz:
https://doaj.org/article/7a82c09e2afb4ab78ffd2e41aa1f4bb4
Publikováno v:
The Journal of Derivatives. 30:1-2
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::600f5f1d7714a171a60ddafa497042c8
https://doi.org/10.3905/jod.2022.30.2.001
https://doi.org/10.3905/jod.2022.30.2.001
Autor:
Fabio Mercurio
Publikováno v:
SSRN Electronic Journal.
In this note, we introduce a simple approach for building volatility cubes of an interest-rate index based on the existing volatility cube of another index. Our approach can be formulated as a specific linear factor model, but it is dynamical in natu
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::7b313733a554908df37050cdc7aa825a
https://doi.org/10.2139/ssrn.3381666
https://doi.org/10.2139/ssrn.3381666
Autor:
Fabio Mercurio, Andrei Lyashenko
Publikováno v:
SSRN Electronic Journal.
In this paper, we define and model forward risk-free term rates, which appear in the payoff definition of derivatives, and possibly cash instruments, based on the new interest-rate benchmarks that will be replacing IBORs globally. We show that the cl
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ae797153e6039db7fb2cb5ba2ab35268
https://doi.org/10.2139/ssrn.3330240
https://doi.org/10.2139/ssrn.3330240
Autor:
Oleg Kovrizhkin, Fabio Mercurio
Publikováno v:
Wilmott. 2016:62-73
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::064c05cb7992e7a56d7d7c198d61f3d9
https://doi.org/10.1002/wilm.10493
https://doi.org/10.1002/wilm.10493
Autor:
Fabio Mercurio
Publikováno v:
SSRN Electronic Journal.
In this note we propose a simple two-factor multi-curve model where Fed-fund, SOFR and LIBOR rates are modeled jointly. The model is used to price the newly quoted SOFR futures as well as Eurodollar futures. We then derive pricing formulas for SOFR-b
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::a1cee71441c93925aa262ab6f776cff8
https://doi.org/10.2139/ssrn.3225872
https://doi.org/10.2139/ssrn.3225872
Publikováno v:
SSRN Electronic Journal.
We derive an efficient closed-form approximation for the moment generating function of the integral of a mean-reverting stochastic process, following a linear SDE, which we call GARCH. We then consider a financial application, namely the pricing of a
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::699dfb40261674dda2d63ac8be132bb7
https://doi.org/10.2139/ssrn.3188272
https://doi.org/10.2139/ssrn.3188272
Autor:
Fabio Mercurio
Publikováno v:
SSRN Electronic Journal.
Futures convexity adjustments in the multi-curve world depend on: i) the distribution of forward LIBORs, ii) the distribution of OIS rates, and iii) the correlation between LIBORs and OIS rates. In this article, we introduce a new multi-curve framewo
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::a6a8541b6ec279e03849ff3f30ce9f3a
https://doi.org/10.2139/ssrn.2987832
https://doi.org/10.2139/ssrn.2987832
Autor:
Fabio Mercurio, Minqiang Li
Publikováno v:
Journal of Futures Markets. 35:245-273
We develop an approximation technique for pricing finite-maturity timer options under Heston-like stochastic volatility models. By approximating the distributions of the accumulated variance and the random variance budget exceeding time, we obtain an
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::5cb042a8fcb4b28738fddefbc3187e8f
https://doi.org/10.1002/fut.21659
https://doi.org/10.1002/fut.21659
Autor:
Fabio Mercurio, Minqiang Li
Publikováno v:
SSRN Electronic Journal.
There are several pricing and risk model applications where the assumption of a deterministic LIBOR-OIS basis can lead to severe mispricing. By modeling such a basis using a jump-diffusion process, we show how stochastic basis can impact the valuatio
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::27d119151391bb4057830a9c1f9b30fa
https://doi.org/10.2139/ssrn.2827769
https://doi.org/10.2139/ssrn.2827769