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Fabio Mercurio : ウィキペディア英語版 | Fabio Mercurio
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.
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