Sfoglia per Autore
Term structure modeling with overnight rates beyond stochastic continuity
2024 Fontana, Claudio; Grbac, Zorana; Schmidt, Thorsten
Valuation of general GMWB annuities in a low interest rate environment
2023 Fontana, Claudio; Rotondi, Francesco
A stochastic control perspective on term structure models with roll-over risk
2023 Fontana, Claudio; Pavarana, Simone; Runggaldier, Wolfgang J.
CBI-time-changed Lévy processes
2023 Fontana, Claudio; Gnoatto, Alessandro; Szulda, Guillaume
Short communication: caplet pricing in affine models for alternative risk-free rates
2023 Fontana, Claudio
CBI-time-changed Lévy processes for multi-currency modeling
2022 Fontana, Claudio; Gnoatto, Alessandro; Szulda, Guillaume
Multiple yield curve modelling with CBI processes
2021 Fontana, Claudio; Gnoatto, Alessandro; Szulda, Guillaume
Arbitrage concepts under trading restrictions in discrete-time financial markets
2021 Fontana, Claudio; Runggaldier, Wolfgang J.
The value of informational arbitrage
2020 Chau, H. N.; Cosso, A.; Fontana, C.
Term structure modelling for multiple curves with stochastic discontinuities
2020 Fontana, C.; Grbac, Z.; Gümbel, S.; Schmidt, T.
On the existence of sure profits via flash strategies
2019 Fontana, Claudio; Pelger, Markus; Eckhard, Platen
Affine multiple yield curve models
2019 Cuchiero, Christa; Fontana, Claudio; Gnoatto, Alessandro
Martingale spaces and representations under absolutely continuous changes of probability
2019 Aksamit, Anna; Fontana, Claudio
General dynamic term structures under default risk
2018 Fontana, Claudio; Schmidt, Thorsten
The strong predictable representation property in initially enlarged filtrations under the density hypothesis
2018 Fontana, Claudio
Financial Markets Theory: Equilibrium, Efficiency and Information
2017 Barucci, Emilio; Fontana, Claudio
Optimal investment with intermediate consumption under no unbounded profit with bounded risk
2017 Chau, Huy N.; Cosso, Andrea; Fontana, Claudio; Mostovyi, Oleksii
Arbitrage of the first kind and filtration enlargements in semimartingale financial models
2016 Acciaio, Beatrice; Fontana, Claudio; Kardaras, Constantinos
A general HJM framework for multiple yield curve modelling
2016 Cuchiero, Christa; Fontana, Claudio; Gnoatto, Alessandro
Market Viability and Martingale Measures under Partial Information
2015 Fontana, Claudio; Oksendal, Bernt; Sulem, Agnès
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