Claudio Fontana

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List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

PublicationDate of PublicationType
The geometry of multi-curve interest rate models
Quantitative Finance
2025-04-03Paper
CBI-time-changed Lévy processes for multi-currency modeling
Annals of Operations Research
2024-06-04Paper
Term structure modeling with overnight rates beyond stochastic continuity
Mathematical Finance
2024-01-18Paper
Valuation of general GMWB annuities in a low interest rate environment
Insurance Mathematics & Economics
2023-10-12Paper
A stochastic control perspective on term structure models with roll-over risk
Finance and Stochastics
2023-10-12Paper
CBI-time-changed Lévy processes
Stochastic Processes and their Applications
2023-08-14Paper
Short Communication: Caplet Pricing in Affine Models for Alternative Risk-Free Rates
SIAM Journal on Financial Mathematics
2023-03-31Paper
Multiple yield curve modelling with CBI processes
Mathematics and Financial Economics
2021-07-08Paper
Arbitrage concepts under trading restrictions in discrete-time financial markets
Journal of Mathematical Economics
2021-03-03Paper
The value of informational arbitrage
Finance and Stochastics
2020-03-25Paper
Term structure modelling for multiple curves with stochastic discontinuities
Finance and Stochastics
2020-03-25Paper
Term structure modelling for multiple curves with stochastic discontinuities
Finance and Stochastics
2020-03-25Paper
Martingale spaces and representations under absolutely continuous changes of probability
Electronic Communications in Probability
2019-11-06Paper
Martingale spaces and representations under absolutely continuous changes of probability
Electronic Communications in Probability
2019-11-06Paper
On the existence of sure profits via flash strategies
Journal of Applied Probability
2019-07-31Paper
Affine multiple yield curve models
Mathematical Finance
2019-05-23Paper
General dynamic term structures under default risk
Stochastic Processes and their Applications
2018-10-31Paper
Optimal investment with intermediate consumption under no unbounded profit with bounded risk
Journal of Applied Probability
2018-09-26Paper
Optimal investment with intermediate consumption under no unbounded profit with bounded risk
Journal of Applied Probability
2018-09-26Paper
The strong predictable representation property in initially enlarged filtrations under the density hypothesis
Stochastic Processes and their Applications
2018-02-13Paper
Financial markets theory. Equilibrium, efficiency and information
Springer Finance
2017-05-15Paper
A note on arbitrage, approximate arbitrage and the fundamental theorem of asset pricing
Stochastics
2016-06-10Paper
A general HJM framework for multiple yield curve modelling
Finance and Stochastics
2016-05-23Paper
Arbitrage of the first kind and filtration enlargements in semimartingale financial models
Stochastic Processes and their Applications
2016-04-20Paper
No-arbitrage conditions and absolutely continuous changes of measure
Arbitrage, Credit and Informational Risks
2015-10-21Paper
A unified approach to pricing and risk management of equity and credit risk
Journal of Computational and Applied Mathematics
2015-06-17Paper
Market viability and martingale measures under partial information
Methodology and Computing in Applied Probability
2015-04-16Paper
Weak and strong no-arbitrage conditions for continuous financial markets
International Journal of Theoretical and Applied Finance
2015-04-15Paper
On arbitrages arising with honest times
Finance and Stochastics
2014-09-26Paper
Information, no-arbitrage and completeness for asset price models with a change point
Stochastic Processes and their Applications
2014-09-02Paper
Diffusion-based models for financial markets without martingale measures
EAA Series
2013-07-30Paper
Simplified mean-variance portfolio optimisation
Mathematics and Financial Economics
2013-02-26Paper
Credit risk and incomplete information: A filtering framework for pricing and risk management2012-05-30Paper
Credit risk and incomplete information: filtering and EM parameter estimation
International Journal of Theoretical and Applied Finance
2010-09-16Paper


Research outcomes over time


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