While the the surface of Mercury is very hot, there are currently no active volcanoes on Mercury because it no longer has a molten rock core. Volcanoes are formed when molten rock from a planet's core violently explodes to the surface - without a magma to flow, there are no volcanoes. This wasn't always the case, though. Early surveys of Mercury (1974) noticed that its surface is very flat, similar to lava fields on Earth, but only found 11 volcanic domes, which wouldn't be enough to cover the planet.

The most recent NASA probe, MESSENGER, passed Mercury in October 2011 and found evidence of fissure vents. This showed that lava on Mercury flowed from rifts in the ground, like water from an overflowing bathtub, and not in explosions like many volcanoes on Earth. These vents erupted 1 to 4 billion years ago. So, the surface of Mercury was shaped by volcanoes for nearly 3 billion years after its formation (~4.5 billion years ago), but the molten core responsible has since cooled into solid rock - no more volcanoes for Mercury.

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As far as we know, none. Mercury is so small that all of the heat inside of it that could have made volcanoes escaped the planet long ago.