Fabio Mercurio (born 26 September 1966) is an Italian mathematician, internationally known for a number of results in mathematical finance.

Main results

Mercurio worked during his Ph.D. on incomplete markets theory using dynamic mean-variance hedging techniques. With Damiano Brigo (2002–2003), he has shown how to construct stochastic differential equations consistent with mixture models, applying this to volatility smile modeling in the context of local volatility models. He is also one of the main authors in inflation modeling. Mercurio has also authored several publications in top journals and co-authored the book Interest rate models: theory and practice for Springer-Verlag, that quickly became an international reference for stochastic dynamic interest rate modeling. He is the recipient of the 2020 Risk quant-of-the-year award jointly with Andrei Lyashenko of QRM for their joint paper Lyashenko and Mercurio (2019).

Affiliations

Currently Mercurio is the global head of Quantitative Analytics at Bloomberg L.P., New York City. He holds a Ph.D. in mathematical finance from the Erasmus University in Rotterdam.

Selected publications