Fabio Mercurio

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.