Claudio Fontana

Available identifiers

zbMath Open fontana.claudioMaRDI QIDQ271851

List of research outcomes

Publication	Date of Publication	Type
Term structure modeling with overnight rates beyond stochastic continuity	2024-01-18	Paper
Valuation of general GMWB annuities in a low interest rate environment	2023-10-12	Paper
A stochastic control perspective on term structure models with roll-over risk	2023-10-12	Paper
CBI-time-changed Lévy processes	2023-08-14	Paper
Short Communication: Caplet Pricing in Affine Models for Alternative Risk-Free Rates	2023-03-31	Paper
Multiple yield curve modelling with CBI processes	2021-07-08	Paper
Arbitrage concepts under trading restrictions in discrete-time financial markets	2021-03-03	Paper
The value of informational arbitrage	2020-03-25	Paper
Term structure modelling for multiple curves with stochastic discontinuities	2020-03-25	Paper
Martingale spaces and representations under absolutely continuous changes of probability	2019-11-06	Paper
On the existence of sure profits via flash strategies	2019-07-31	Paper
Affine multiple yield curve models	2019-05-23	Paper
General dynamic term structures under default risk	2018-10-31	Paper
Optimal investment with intermediate consumption under no unbounded profit with bounded risk	2018-09-26	Paper
The strong predictable representation property in initially enlarged filtrations under the density hypothesis	2018-02-13	Paper
Financial markets theory. Equilibrium, efficiency and information	2017-05-15	Paper
A note on arbitrage, approximate arbitrage and the fundamental theorem of asset pricing	2016-06-10	Paper
A general HJM framework for multiple yield curve modelling	2016-05-23	Paper
Arbitrage of the first kind and filtration enlargements in semimartingale financial models	2016-04-20	Paper
No-arbitrage Conditions and Absolutely Continuous Changes of Measure	2015-10-21	Paper
A unified approach to pricing and risk management of equity and credit risk	2015-06-17	Paper
Market viability and martingale measures under partial information	2015-04-16	Paper
WEAK AND STRONG NO-ARBITRAGE CONDITIONS FOR CONTINUOUS FINANCIAL MARKETS	2015-04-15	Paper
On arbitrages arising with honest times	2014-09-26	Paper
Information, no-arbitrage and completeness for asset price models with a change point	2014-09-02	Paper
Diffusion-Based Models for Financial Markets Without Martingale Measures	2013-07-30	Paper
Simplified mean-variance portfolio optimisation	2013-02-26	Paper
https://portal.mardi4nfdi.de/entity/Q2888099	2012-05-30	Paper
CREDIT RISK AND INCOMPLETE INFORMATION: FILTERING AND EM PARAMETER ESTIMATION	2010-09-16	Paper

Research outcomes over time

Doctoral students

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Known relations from the MaRDI Knowledge Graph

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This page was built for person: Claudio Fontana