An analytically tractable interest rate model with humped volatility. - Fabio Mercurio; J. M. Moraleda (Eur. J. Oper. Res., 2000)

Option pricing impact of alternative continuous-time dynamics for discretely-observed stock prices. - Damiano Brigo; Fabio Mercurio (Finance Stochastics, 2000)

Claim pricing and hedging under market incompleteness and "mean-variance" preferences. - Fabio Mercurio (Eur. J. Oper. Res., 2001)

A deterministic-shift extension of analytically-tractable and time-homogeneous short-rate models. - Damiano Brigo; Fabio Mercurio (Finance Stochastics, 2001)

The LIBOR model dynamics: Approximations, calibration and diagnostics. - Damiano Brigo; Fabio Mercurio; Massimo Morini (Eur. J. Oper. Res., 2005)