FONTANA, CLAUDIO
FONTANA, CLAUDIO
Dipartimento di Matematica "Tullio Levi-Civita" - DM
The geometry of multi-curve interest rate models
In corso di stampa Fontana, Claudio; Lanaro, Giacomo; Murgoci, Agatha
CBI-time-changed Lévy processes for multi-currency modeling
2024 Fontana, Claudio; Gnoatto, Alessandro; Szulda, Guillaume
Recent advances in mathematical methods for finance
2024 Callegaro, Giorgia; Fontana, Claudio; Grasselli, Martino; Runggaldier, Wolfgang J.; Vargiolu, Tiziano
Term structure modeling with overnight rates beyond stochastic continuity
2024 Fontana, Claudio; Grbac, Zorana; Schmidt, Thorsten
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
Valuation of general GMWB annuities in a low interest rate environment
2023 Fontana, Claudio; Rotondi, Francesco
Arbitrage concepts under trading restrictions in discrete-time financial markets
2021 Fontana, Claudio; Runggaldier, Wolfgang J.
Multiple yield curve modelling with CBI processes
2021 Fontana, Claudio; Gnoatto, Alessandro; Szulda, Guillaume
Term structure modelling for multiple curves with stochastic discontinuities
2020 Fontana, C.; Grbac, Z.; Gümbel, S.; Schmidt, T.
The value of informational arbitrage
2020 Chau, H. N.; Cosso, A.; Fontana, C.
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
On the existence of sure profits via flash strategies
2019 Fontana, Claudio; Pelger, Markus; Eckhard, Platen
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
Optimal investment with intermediate consumption under no unbounded profit with bounded risk
2017 Chau, Huy N.; Cosso, Andrea; Fontana, Claudio; Mostovyi, Oleksii
A general HJM framework for multiple yield curve modelling
2016 Cuchiero, Christa; Fontana, Claudio; Gnoatto, Alessandro
Arbitrage of the first kind and filtration enlargements in semimartingale financial models
2016 Acciaio, Beatrice; Fontana, Claudio; Kardaras, Constantinos