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6 - 9 December 2021
Barcelona

Fabio Mercurio
Head of Quant Analytics at Bloomberg L.P.

Profile

Fabio is global head of Quantitative Analytics at Bloomberg LP, New York. His team is responsible for the research on and implementation of cross-asset analytics for derivatives pricing, XVA valuations and credit and market risk. Fabio is also adjunct professor at NYU. He has jointly authored the book "Interest rate models: theory and practice" and published extensively in books and international journals, including 20 cutting-edge articles in Risk Magazine.

Fabio is the recipient of the 2020 Risk quant of the year award.

Agenda Sessions

  • Completing the Generalized Forward Market Model: Genesis and Extensions

    12:50