| Interest rate models-theory and practice: with smile, inflation and credit D Brigo, F Mercurio Springer, 2006 | 3499 | 2006 |
| Lognormal-mixture dynamics and calibration to market volatility smiles D Brigo, F Mercurio International Journal of Theoretical and Applied Finance 5 (04), 427-446, 2002 | 211 | 2002 |
| Interest rates and the credit crunch: new formulas and market models F Mercurio Bloomberg portfolio research paper, 2009 | 170 | 2009 |
| LIBOR market models with stochastic basis F Mercurio Bloomberg education and quantitative research paper, 2010 | 151 | 2010 |
| A deterministic–shift extension of analytically–tractable and time–homogeneous short–rate models D Brigo, F Mercurio Finance and Stochastics 5, 369-387, 2001 | 151 | 2001 |
| Pricing inflation-indexed derivatives F Mercurio* Quantitative Finance 5 (3), 289-302, 2005 | 147 | 2005 |
| Parameterizing correlations: a geometric interpretation F Rapisarda, D Brigo, F Mercurio IMA Journal of Management Mathematics 18 (1), 55-73, 2007 | 130 | 2007 |
| OPTION PRICING: The vanna-volga method for implied volatilities A Castagna, F Mercurio Risk 20 (1), 106, 2007 | 108 | 2007 |
| Approximated moment-matching dynamics for basket-options pricing D Brigo, F Mercurio, F Rapisarda, R Scotti Quantitative Finance 4 (1), 1, 2003 | 88 | 2003 |
| Modern LIBOR market models: using different curves for projecting rates and for discounting F Mercurio International Journal of Theoretical and Applied Finance 13 (01), 113-137, 2010 | 81 | 2010 |
| Displaced and mixture diffusions for analytically-tractable smile models D Brigo, F Mercurio Mathematical Finance—Bachelier Congress 2000: Selected Papers from the …, 2002 | 80 | 2002 |
| An analytically tractable interest rate model with humped volatility F Mercurio, JM Moraleda European Journal of Operational Research 120 (1), 205-214, 2000 | 64 | 2000 |
| Smile at the uncertainty D Brigo, F Mercurio, F Rapisarda Risk 17 (5), 97-101, 2004 | 59 | 2004 |
| Looking forward to backward-looking rates: a modeling framework for term rates replacing LIBOR A Lyashenko, F Mercurio Available at SSRN 3330240, 2019 | 57 | 2019 |
| Alternative asset-price dynamics and volatility smile D Brigo, F Mercurio, G Sartorelli Quantitative Finance 3 (3), 173, 2003 | 50 | 2003 |
| Inflation with a smile F Mercurio, N Moreni Risk 19 (3), 70-75, 2006 | 48 | 2006 |
| Option pricing for jump diffusions: approximations and their interpretation F Mercurio, WJ Runggaldier Mathematical Finance 3 (2), 191-200, 1993 | 46 | 1993 |
| The basis goes stochastic F Mercurio, Z Xie Risk 25 (12), 78, 2012 | 44 | 2012 |
| Option pricing with hedging at fixed trading dates F Mercurio, TCF Vorst Applied Mathematical Finance 3 (2), 135-158, 1996 | 44 | 1996 |
| Discrete time vs continuous time stock-price dynamics and implications for option pricing D Brigo, F Mercurio arXiv preprint arXiv:0812.4010, 2008 | 37 | 2008 |
