Mercurio, Fabio Pricing inflation-indexed derivatives. (English) Zbl 1134.91452 Quant. Finance 5, No. 3, 289-302 (2005). MSC: 91B28 91B26 PDFBibTeX XMLCite \textit{F. Mercurio}, Quant. Finance 5, No. 3, 289--302 (2005; Zbl 1134.91452) Full Text: DOI
Brigo, Damiano; Mercurio, Fabio; Rapisarda, Francesco; Scotti, Rita Approximated moment-matching dynamics for basket-options pricing. (English) Zbl 1405.91592 Quant. Finance 4, No. 1, 1-16 (2004). MSC: 91G20 PDFBibTeX XMLCite \textit{D. Brigo} et al., Quant. Finance 4, No. 1, 1--16 (2004; Zbl 1405.91592) Full Text: DOI
Brigo, Damiano; Mercurio, Fabio; Sartorelli, Giulio Alternative asset-price dynamics and volatility smile. (English) Zbl 1405.91593 Quant. Finance 3, No. 3, 173-183 (2003). MSC: 91G20 PDFBibTeX XMLCite \textit{D. Brigo} et al., Quant. Finance 3, No. 3, 173--183 (2003; Zbl 1405.91593) Full Text: DOI
Brigo, D.; Mercurio, F. Analytical pricing of the smile in a forward LIBOR market model. (English) Zbl 1405.91659 Quant. Finance 3, No. 1, 15-27 (2003). MSC: 91G30 PDFBibTeX XMLCite \textit{D. Brigo} and \textit{F. Mercurio}, Quant. Finance 3, No. 1, 15--27 (2003; Zbl 1405.91659) Full Text: DOI