FONTANA, CLAUDIO
FONTANA, CLAUDIO
Dipartimento di Matematica "Tullio Levi-Civita" - DM
A general HJM framework for multiple yield curve modelling
2016 Cuchiero, Christa; Fontana, Claudio; Gnoatto, Alessandro
A note on arbitrage, approximate arbitrage and the fundamental theorem of asset pricing
2014 Fontana, Claudio
A stochastic control perspective on term structure models with roll-over risk
2023 Fontana, Claudio; Pavarana, Simone; Runggaldier, Wolfgang J.
A unified approach to pricing and risk management of equity and credit risk
2014 Fontana, Claudio; Montes, Juan Miguel A.
Affine multiple yield curve models
2019 Cuchiero, Christa; Fontana, Claudio; Gnoatto, Alessandro
Arbitrage concepts under trading restrictions in discrete-time financial markets
2021 Fontana, Claudio; Runggaldier, Wolfgang J.
Arbitrage of the first kind and filtration enlargements in semimartingale financial models
2016 Acciaio, Beatrice; Fontana, Claudio; Kardaras, Constantinos
CBI-time-changed Lévy processes
2023 Fontana, Claudio; Gnoatto, Alessandro; Szulda, Guillaume
CBI-time-changed Lévy processes for multi-currency modeling
2022 Fontana, Claudio; Gnoatto, Alessandro; Szulda, Guillaume
Credit risk and incomplete information: filtering and EM parameter estimation.
2010 Fontana, Claudio; Runggaldier, WOLFGANG JOHANN
General dynamic term structures under default risk
2018 Fontana, Claudio; Schmidt, Thorsten
Information, no-arbitrage and completeness for asset price models with a change point
2014 Fontana, Claudio; Grbac, Zorana; Jeanblanc, Monique; Li, Qinghua
Market Viability and Martingale Measures under Partial Information
2015 Fontana, Claudio; Oksendal, Bernt; Sulem, Agnès
Martingale spaces and representations under absolutely continuous changes of probability
2019 Aksamit, Anna; Fontana, Claudio
Multiple yield curve modelling with CBI processes
2021 Fontana, Claudio; Gnoatto, Alessandro; Szulda, Guillaume
On arbitrages arising with honest times
2014 Fontana, Claudio; Jeanblanc, Monique; Song, Shiqi
On the existence of sure profits via flash strategies
2019 Fontana, Claudio; Pelger, Markus; Eckhard, Platen
Optimal investment with intermediate consumption under no unbounded profit with bounded risk
2017 Chau, Huy N.; Cosso, Andrea; Fontana, Claudio; Mostovyi, Oleksii
Short communication: caplet pricing in affine models for alternative risk-free rates
2023 Fontana, Claudio
Simplified mean-variance portfolio optimisation
2012 Fontana, Claudio; Schweizer, Martin