Fontana, Claudio
- Arbitrage of the first kind and filtration enlargements in\n semimartingale financial models
2014/01/28 by Beatrice Acciaio, Acciaio, Beatrice, Claudio Fontana +3 · 1 citation
Decision Sciences · Economics, Econometrics and Finance · #60G44 #91G10 #Economic theories and models #FOS: Economics and business #FOS: Mathematics #Portfolio Management (q-fin.PM) #Probability (math.PR) #Risk and Portfolio Optimization #Stochastic processes and financial applications
- The strong predictable representation property in initially enlarged filtrations under the density hypothesis
2015/08/13 by Claudio Fontana, Fontana, Claudio · 1 citation
Economics, Econometrics and Finance · #60G07 #60G44 #FOS: Economics and business #FOS: Mathematics #Financial Risk and Volatility Modeling #Insurance and Financial Risk Management #Mathematical Finance (q-fin.MF) #Probability (math.PR) #Stochastic processes and financial applications
- Caplet pricing in affine models for alternative risk-free rates
2022/02/18 by Claudio Fontana, Fontana, Claudio · 2 citations
Economics, Econometrics and Finance · #60J25 #91G15 #91G20 #91G30 #FOS: Economics and business #Mathematical Finance (q-fin.MF) #Pricing of Securities (q-fin.PR) #Stochastic processes and financial applications
- Real-world models for multiple term structures: a unifying HJM semimartingale framework
2024/11/04 by Fontana, Claudio, Platen, Eckhard, Tappe, Stefan · 1 citation
#FOS: Economics and business #FOS: Mathematics #Mathematical Finance (q-fin.MF) #Probability (math.PR)
- Term structure modelling with overnight rates beyond stochastic continuity
2022/02/02 by Fontana, Claudio, Grbac, Zorana, Schmidt, Thorsten · 1 citation
#60G15 #60G44 #60G57 #91G15 #91G20 #91G30 #FOS: Economics and business #FOS: Mathematics #Mathematical Finance (q-fin.MF) #Pricing of Securities (q-fin.PR) #Probability (math.PR)