With Damiano Brigo (2002–2003), he has shown how to construct stochastic differential equations consistent with mixture models, applying this to volatility smile modeling in the context of local volatility models.[1] He is also one of the main authors in inflation modeling.[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. He is the recipient of the 2020 Risk quant-of-the-year award jointly with Andrei Lyashenko of QRM.