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Fabio Mercurio
Information about the author Fabio Mercurio will soon be added to the site.
Found
3 papers
in total
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Parameterizing correlations: a geometric interpretation
2007
In this paper, we present a new interpretation of the parameterization of a...
The LIBOR model dynamics: Approximations, calibration and diagnostics
2005
In this paper we consider several parametric assumptions for the instantaneous...
Claim pricing and hedging under market incompleteness and ‘mean–variance’ preferences
2001
This paper derives bid and ask prices of a general contingent claim in an incomplete...
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