Interview with Fabio Mercurio

摘要

As financial institutions adapt to new regulatory regimes, some of the key areas of activity 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. Fabio Mercurio of Bloomberg is at the forefront of quant research and shares his observations on volatility, wrong-way risk (WWR) and interest rate models, including the LIBOR market model, in this interview with Institutional Investor Journals. He presented at Global Derivatives in Budapest.