Lognormal Mixture Smile Consistent Option Pricing

Fabio Mercurio is Head of Financial Models at Banca IMI, Milan.
Event information
Date 29th October 2002
Time 1:00pm - 2:00pm
Venue ICMA Centre, Room G03/04
Event types:
Research Seminars

He holds a B.A. in Applied Mathematics from the University of Padua and a PhD in Mathematical Finance from the Tinbergen Institute of Rotterdam. In 1996,Fabio worked in the Risk Management department of Cariplo Bank, Milan, where his tasks included market risk evaluations and measurements and the study and implementations of financial models for pricing derivatives. He joined Banca IMI in 1998, where is leading a group of advanced modelists who provide quantitative support to the bank options traders. His current tasks include the pricing and hedging of interest rate, FX and equity derivatives under smile effects, the pricing of hybrid products and portfolio insurance strategies. His recent research focuses on possible extensions of the BGM model and the pricing of the implied volatility smile effect in both the FX and equity markets. Fabio has published extensively in international academic journals, such as Mathematical Finance, Applied Mathematical Finance, Finance and Stochastics, International Journal of Theoretical & Applied Finance, Quantitative Finance and Risk Magazine. He is co-author (with Damiano Brigo) of Interest Rate Models: Theory and Practice Springer-Verlag (2001).

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