Fabio Mercurio (born 26 September 1966) is an Italian mathematician, internationally known for a number of results in mathematical finance.
Mercurio worked during his Ph.D. on incomplete markets theory using dynamic mean-variance hedging techniques.
[2] Mercurio has also authored several publications in top journals and co-authored the book Interest rate models: theory and practice for Springer-Verlag,[3] that quickly became an international reference for stochastic dynamic interest rate modeling.
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.