RT Journal Article
SR Electronic
T1 Practical Applications of Interview with Fabio Mercurio
JF Practical Applications
FD Institutional Investor Journals
SP 1
OP 3
DO 10.3905/icbi.2016.4.1.007
VO 4
IS 1
A1 Fabio Mercurio
A1 Barbara J. Mack
YR 2016
UL https://pm-research.com/content/4/1/1.10.abstract
AB Interview with Fabio Mercurio Fabio Mercurio Some of the key areas of innovation in quantitative finance include new approaches to modeling stochastic processes, development of methods for valuing risk factors and expanding historic models to accommodate new and complex market dynamics.In this interview with Institutional Investor Journals , Fabio Mercurio of Bloomberg shares his observations on volatility, wrong-way risk (WWR) and interest rate models, including the LIBOR market model . He will be speaking at Global Derivatives in Budapest.